SANM Options History — February 2022

In February 2022, SANM traded between $38.19 and $40.51. ATM implied volatility averaged 36.1%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 0.8% (HV 20d: 37.0%). Max pain ranged from $37.00 to $38.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.86.

Notable Days

2022-02-01: Highest Volume — 428 contracts
2022-02-02: Largest IV drop — 35.0% change
2022-02-01: Highest IV Rank — 47.5%
2022-02-01: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.41	$38.19	$40.51	$39.98	$39.60
Max Pain	$37.53	$37.00	$38.00	$38.00	$38.00
ATM IV	36.1%	31.5%	51.1%	51.1%	40.9%
Expected Move	10.1%	9.0%	14.6%	14.6%	11.7%
HV 20d	37.0%	35.2%	38.7%	35.9%	38.5%
HV 60d	30.3%	29.1%	34.1%	34.1%	29.8%
IV Rank	24.3%	17.1%	47.5%	47.5%	31.8%
IV Percentile	63.1%	48.0%	94.8%	94.8%	82.1%
Term Structure	-3.5%	-24.9%	7.7%	-24.9%	-7.7%
VWIV	36.8%	31.2%	47.9%	47.8%	46.8%
Skew 25d	2.2%	-46.1%	13.7%	-46.1%	2.6%
Skew 10d	18.6%	-25.5%	67.1%	-4.1%	25.3%
Call IV 25d	39.3%	31.1%	93.6%	93.6%	44.5%
Put IV 25d	41.5%	35.7%	52.7%	47.5%	47.1%
Bid-Ask Spread %	90.87	61.99	110.67	98.74	110.67
Gamma HHI	0.18	0.14	0.28	0.17	0.26
Net GEX	22.2K	11.7K	36.9K	14.9K	30.4K
Net DEX	-708.3K	-944.3K	-463.4K	-714.2K	-716.1K
Net VEX	-3.4K	-4.0K	-2.9K	-3.8K	-2.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.59	1.38	1.19	0.84
Total Volume	325.684	251	428	428	294
Total OI	696.579	484	781	709	496

Daily Data (19 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Vol	Put Vol	Call OI	Put OI
2022-02-01	$39.98	$38.00	51.1%	14.6%	35.9%	47.5%	47.8%	-46.1%	-24.9%	14.9K	-714.2K	-3.8K	1.19	98.74	195	233	408	301
2022-02-02	$40.04	$38.00	33.2%	9.5%	35.2%	19.8%	38.3%	4.6%	-1.4%	18.4K	-821.7K	-3.8K	1.38	87.51	177	245	440	318
2022-02-03	$40.41	$37.00	36.8%	9.2%	35.3%	25.3%	34.2%	3.6%	-0.6%	18.6K	-897.4K	-3.8K	1.20	65.40	176	212	443	317
2022-02-04	$39.12	$37.00	36.5%	9.1%	37.0%	24.9%	32.4%	3.6%	-0.2%	15.3K	-605.8K	-4.0K	0.99	63.53	176	174	458	322
2022-02-07	$38.28	$37.00	40.5%	10.2%	37.1%	31.1%	34.2%	5.0%	-0.5%	11.7K	-463.4K	-3.8K	0.93	61.99	179	166	458	323
2022-02-08	$38.41	$37.00	34.1%	9.6%	37.0%	21.1%	31.8%	4.0%	-2.6%	13.1K	-537.8K	-3.7K	0.92	65.93	180	166	454	315
2022-02-09	$39.20	$37.00	31.9%	9.2%	37.8%	17.8%	32.3%	4.3%	-0.8%	21.8K	-688.4K	-3.6K	0.90	82.82	178	160	454	315
2022-02-10	$38.70	$37.00	32.5%	9.3%	37.9%	18.8%	33.1%	13.7%	-1.3%	18.3K	-656.0K	-3.5K	0.87	88.52	178	154	455	315
2022-02-11	$38.51	$37.00	33.2%	9.5%	37.9%	19.7%	31.2%	1.6%	7.7%	13.7K	-540.8K	-3.6K	0.78	96.73	180	141	455	315
2022-02-14	$39.57	$37.00	31.5%	9.0%	38.7%	17.1%	34.9%	6.0%	1.1%	29.0K	-801.1K	-3.3K	0.78	93.43	180	141	457	320
2022-02-15	$40.16	$37.00	34.2%	9.8%	37.2%	21.3%	33.8%	6.7%	-3.5%	21.8K	-777.9K	-3.5K	0.79	96.77	182	143	458	320
2022-02-16	$40.51	$38.00	32.2%	9.2%	36.4%	18.2%	35.9%	9.9%	-2.9%	18.6K	-859.9K	-3.3K	0.78	103.69	183	143	460	320
2022-02-17	$40.16	$38.00	32.9%	9.4%	35.8%	19.4%	40.9%	3.3%	-2.5%	36.9K	-944.3K	-3.2K	0.80	99.18	179	143	461	320
2022-02-18	$40.02	$38.00	40.1%	11.5%	35.6%	30.4%	33.2%	10.0%	-12.2%	26.3K	-859.0K	-3.1K	0.81	96.95	177	143	461	320
2022-02-22	$39.74	$38.00	33.9%	9.7%	35.3%	20.9%	36.0%	6.9%	-2.3%	26.9K	-722.1K	-2.9K	0.60	109.91	157	94	359	125
2022-02-23	$38.19	$38.00	36.6%	10.5%	37.8%	25.1%	37.5%	7.4%	-1.8%	27.6K	-550.3K	-3.0K	0.59	100.55	159	94	371	125
2022-02-24	$38.58	$38.00	39.6%	11.4%	37.5%	29.8%	47.9%	-15.3%	-4.9%	28.5K	-580.7K	-3.0K	0.59	103.18	159	94	373	125
2022-02-25	$39.67	$38.00	34.9%	10.0%	38.5%	22.4%	36.8%	9.5%	-4.3%	29.3K	-720.6K	-2.9K	0.59	101.06	159	94	373	125
2022-02-28	$39.60	$38.00	40.9%	11.7%	38.5%	31.8%	46.8%	2.6%	-7.7%	30.4K	-716.1K	-2.9K	0.84	110.67	160	134	373	123