SANM Options History — May 2022

In May 2022, SANM traded between $38.60 and $43.88. ATM implied volatility averaged 39.4%, placing in the 29.1% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 2.5% (HV 20d: 41.9%). Max pain ranged from $38.00 to $43.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.13.

Notable Days

  • 2022-05-10: Highest Volume — 580 contracts
  • 2022-05-11: Largest IV drop — 33.0% change
  • 2022-05-10: Highest IV Rank — 59.5%
  • 2022-05-10: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.78$38.60$43.88$40.82$43.88
Max Pain$41.81$38.00$43.00$38.00$43.00
ATM IV39.4%32.0%59.2%49.2%35.9%
Expected Move11.0%9.2%15.2%14.1%10.3%
HV 20d41.9%25.5%50.4%25.5%49.0%
HV 60d30.5%25.1%33.8%25.1%33.6%
IV Rank29.1%17.8%59.5%44.2%23.8%
IV Percentile67.3%42.9%96.4%90.9%56.7%
Term Structure-5.0%-30.1%5.8%-4.4%-3.6%
VWIV43.9%38.3%53.3%52.1%41.6%
Skew 25d3.0%-24.3%13.2%10.0%3.3%
Skew 10d16.5%-25.9%66.5%-3.9%5.0%
Call IV 25d42.2%33.3%64.7%45.7%43.8%
Put IV 25d45.2%37.8%61.5%55.7%47.1%
Bid-Ask Spread %86.4868.39103.0274.4499.93
Gamma HHI0.160.110.230.140.21
Net GEX46.5K25.1K96.5K29.0K39.9K
Net DEX-882.1K-1.6M-309.1K-749.3K-1.0M
Net VEX-3.5K-4.4K-2.7K-3.6K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.591.980.740.99
Total Volume397.714185580315213
Total OI779.19554960613562

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$40.82$38.0049.2%14.1%25.5%44.2%52.1%10.0%-4.4%29.0K-749.3K-3.6K0.7474.44181134436177
2022-05-03$43.32$38.0040.1%11.5%32.9%30.2%38.3%13.2%-16.6%41.3K-1.3M-3.4K0.59102.96245145467183
2022-05-04$43.29$38.0033.0%9.5%32.0%19.3%42.8%-24.3%-1.5%69.4K-1.5M-3.8K0.7499.06301222577166
2022-05-05$41.29$42.0040.0%10.2%35.7%30.0%38.4%4.7%-2.6%50.3K-924.8K-4.4K0.7482.48301222643243
2022-05-06$40.61$42.0040.5%9.9%36.3%30.7%44.4%-4.0%-2.6%46.5K-718.7K-4.2K0.7482.39302222643243
2022-05-09$40.40$42.0047.7%11.5%36.4%41.8%40.1%9.4%-6.5%45.5K-662.2K-4.0K0.7568.39321242644243
2022-05-10$40.12$42.0059.2%15.2%36.4%59.5%44.3%11.5%-30.1%38.0K-557.1K-3.9K0.8175.23321259622263
2022-05-11$39.75$42.0039.7%11.4%36.4%29.5%45.5%6.1%-2.9%31.7K-446.8K-3.9K0.8176.63321259622286
2022-05-12$38.60$42.0043.1%12.4%36.9%34.8%42.4%-4.7%-7.2%25.1K-309.1K-3.8K0.8186.84321259622286
2022-05-13$40.57$42.0033.4%9.6%40.9%19.9%43.0%12.4%5.8%41.9K-598.4K-3.8K1.0289.18263268621286
2022-05-16$40.69$42.0037.2%10.7%40.9%25.7%41.1%-1.9%-1.5%39.1K-611.2K-3.7K1.0182.93265268628296
2022-05-17$43.60$42.0032.0%9.2%47.0%17.8%46.0%-15.4%-0.4%91.5K-1.5M-3.5K1.9884.61128254631296
2022-05-18$43.61$42.0033.8%9.7%46.8%20.5%43.2%7.4%-2.7%96.5K-1.6M-3.3K1.8287.44132240635293
2022-05-19$43.14$43.0036.0%10.3%46.8%23.8%53.3%7.8%0.9%94.7K-1.4M-3.2K1.9583.92132257638322
2022-05-20$41.02$43.0041.5%11.9%50.1%32.3%47.1%9.3%-6.3%43.7K-658.5K-3.1K1.9580.12132257638320
2022-05-23$41.77$43.0042.5%12.2%50.4%33.8%47.5%5.8%-11.0%25.2K-758.3K-2.9K1.2292.4287106393161
2022-05-24$41.64$43.0039.3%11.3%50.3%28.9%45.8%0.4%-5.0%26.6K-680.5K-3.0K1.2892.0687111408162
2022-05-25$42.10$43.0035.8%10.3%50.4%23.5%44.8%4.9%-1.1%28.9K-780.8K-2.9K1.2883.7187111408167
2022-05-26$43.22$43.0034.0%9.7%49.3%20.7%41.8%6.6%-4.0%33.7K-904.1K-2.9K1.3488.3379106408167
2022-05-27$43.87$43.0033.2%9.5%49.1%19.6%38.4%0.5%-1.6%37.3K-1.0M-2.8K1.25103.0285106410147
2022-05-31$43.88$43.0035.9%10.3%49.0%23.8%41.6%3.3%-3.6%39.9K-1.0M-2.7K0.9999.93107106415147