SANM Options History — March 2022

In March 2022, SANM traded between $39.16 and $42.49. ATM implied volatility averaged 42.9%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 17.5% (HV 20d: 25.4%). Max pain ranged from $38.00 to $46.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 18 of 23 days. Put/call ratio averaged 0.86.

Notable Days

  • 2022-03-18: Highest Volume — 426 contracts
  • 2022-03-03: Largest IV spike — 68.2% change
  • 2022-03-03: Highest IV Rank — 100.0%
  • 2022-03-03: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.68$39.16$42.49$39.35$40.45
Max Pain$38.38$38.00$46.00$38.00$38.00
ATM IV42.9%29.2%85.6%60.7%36.0%
Expected Move13.2%8.7%24.5%17.4%10.2%
HV 20d25.4%19.6%37.4%37.4%21.2%
HV 60d29.2%28.4%30.0%29.7%28.8%
IV Rank34.5%13.4%100.0%62.5%23.9%
IV Percentile72.2%40.1%100.0%97.2%62.7%
Term Structure0.9%-25.2%7.9%-25.2%-0.9%
VWIV52.5%35.1%85.6%55.4%36.5%
Skew 25d-0.2%-24.0%19.7%19.7%6.1%
Skew 10d12.3%-16.8%70.2%11.8%7.8%
Call IV 25d44.1%32.5%63.9%42.7%34.4%
Put IV 25d43.9%29.3%63.8%62.4%40.5%
Bid-Ask Spread %92.9856.71135.23111.9668.75
Gamma HHI0.170.130.230.230.14
Net GEX36.7K24.3K56.6K25.9K56.6K
Net DEX-1.2M-1.7M-659.7K-659.7K-1.4M
Net VEX-4.3K-5.1K-2.9K-3.1K-4.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.591.100.840.81
Total Volume365.565279426294390
Total OI776.217538996538996

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-03-01$39.35$38.0060.7%17.4%37.4%62.5%55.4%19.7%-25.2%25.9K-659.7K-3.1K0.84111.96160134374164
2022-03-02$40.33$38.0050.9%14.6%29.4%47.3%61.2%6.0%2.0%25.3K-763.3K-2.9K0.92112.46145134374164
2022-03-03$40.21$38.0085.6%24.5%29.4%100.0%82.1%-24.0%2.6%24.3K-792.0K-3.0K0.59125.73228134382164
2022-03-04$39.87$38.0052.3%15.0%29.3%48.8%55.4%8.6%3.0%28.4K-908.5K-4.1K0.87127.88166144468164
2022-03-07$39.26$38.0074.2%21.3%27.5%82.5%71.5%-6.8%7.9%32.9K-879.5K-4.2K0.86123.30167144489174
2022-03-08$39.16$38.0042.1%15.8%26.2%33.3%76.9%0.5%4.1%28.1K-914.9K-4.2K0.85135.23170144490172
2022-03-09$40.07$38.0042.9%14.7%27.4%34.4%85.6%10.5%-2.4%29.6K-1.0M-4.2K0.94121.95180170493172
2022-03-10$40.00$38.0035.7%14.6%26.5%23.4%58.4%-6.3%3.2%30.2K-966.6K-4.4K0.94122.69180170503223
2022-03-11$40.01$38.0036.4%20.3%26.0%24.6%81.5%-0.8%2.2%26.6K-943.7K-4.5K0.93127.68182170504223
2022-03-14$39.79$38.0036.9%12.1%26.0%25.2%47.3%-1.8%7.6%29.1K-973.4K-4.2K0.9356.71182170504223
2022-03-15$40.00$38.0036.4%11.0%24.3%24.4%44.0%8.4%2.2%31.8K-993.8K-4.2K1.1086.42187205504223
2022-03-16$41.01$38.0035.0%11.2%25.3%22.3%43.6%-2.9%5.7%27.7K-1.1M-4.2K0.9768.70202196510260
2022-03-17$41.60$0.0036.1%11.5%25.6%24.0%0.0%8.3%3.8%30.5K-1.3M-4.2K0.8065.92230183530260
2022-03-18$41.78$0.0054.0%8.7%25.4%51.4%42.0%0.5%-21.7%25.7K-1.4M-4.3K0.8490.04232194557273
2022-03-21$42.49$46.0031.1%11.1%25.8%16.4%40.4%2.2%6.7%32.9K-1.4M-3.9K0.8467.34213179525247
2022-03-22$41.81$38.0039.8%10.1%26.5%29.7%38.3%-5.4%6.9%44.6K-1.6M-4.3K0.8492.50203171616250
2022-03-23$41.54$38.0029.3%10.2%21.6%13.6%44.7%-20.6%5.8%52.9K-1.6M-4.7K0.8574.87201171663252
2022-03-24$41.53$38.0029.4%9.7%21.5%13.7%43.5%-22.7%5.3%52.6K-1.7M-4.9K0.8383.61207171679252
2022-03-25$41.83$38.0029.2%9.6%19.6%13.4%36.9%2.1%5.2%53.1K-1.7M-4.8K0.8274.44209171683253
2022-03-28$41.22$38.0036.9%10.0%20.5%25.3%38.2%-0.2%2.1%51.3K-1.5M-4.8K0.9664.85210201680253
2022-03-29$41.69$38.0038.6%9.6%20.5%27.8%35.1%11.7%-7.7%49.3K-1.6M-4.9K0.7964.21227179684283
2022-03-30$40.65$38.0037.6%10.1%21.2%26.3%36.4%3.5%1.6%53.8K-1.4M-5.1K0.7671.20229173711285
2022-03-31$40.45$38.0036.0%10.2%21.2%23.9%36.5%6.1%-0.9%56.6K-1.4M-4.9K0.8168.75215175709287