SANM Options History — June 2022

In June 2022, SANM traded between $39.19 and $45.37. ATM implied volatility averaged 36.0%, placing in the 23.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 8.2% (HV 20d: 44.3%). 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 17 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2022-06-06: Highest Volume — 494 contracts
2022-06-08: Largest IV drop — 34.0% change
2022-06-22: Highest IV Rank — 33.7%
2022-06-22: Largest Expected Move — 12.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.40	$39.19	$45.37	$43.74	$40.60
Max Pain	$38.24	$38.00	$43.00	$43.00	$38.00
ATM IV	36.0%	25.1%	42.4%	35.0%	36.4%
Expected Move	10.2%	7.2%	12.2%	10.0%	10.4%
HV 20d	44.3%	33.8%	49.6%	44.3%	49.6%
HV 60d	37.5%	33.4%	42.4%	33.4%	42.4%
IV Rank	23.9%	7.1%	33.7%	22.3%	24.6%
IV Percentile	55.5%	15.1%	81.3%	52.4%	54.8%
Term Structure	3.9%	-2.9%	15.5%	-2.9%	5.5%
VWIV	41.2%	34.5%	49.7%	42.1%	38.4%
Skew 25d	2.1%	-26.8%	10.3%	9.7%	10.3%
Skew 10d	17.1%	2.7%	44.8%	10.1%	20.4%
Call IV 25d	39.0%	29.7%	65.0%	32.8%	35.9%
Put IV 25d	41.1%	35.4%	49.8%	42.5%	46.2%
Bid-Ask Spread %	77.18	52.77	94.33	94.33	92.59
Gamma HHI	0.13	0.09	0.19	0.19	0.11
Net GEX	52.9K	17.1K	86.6K	44.1K	49.3K
Net DEX	-918.4K	-1.9M	131.5K	-1.0M	-624.9K
Net VEX	-3.6K	-4.6K	-2.7K	-2.8K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.39	1.08	1.08	0.49
Total Volume	377.286	227	494	227	351
Total OI	999.048	588	1,271	588	994

Daily Data (21 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
2022-06-01	$43.74	$43.00	35.0%	10.0%	44.3%	22.3%	42.1%	9.7%	-2.9%	44.1K	-1.0M	-2.8K	1.08	94.33	109	118	441	147
2022-06-02	$43.86	$38.00	31.9%	9.4%	44.4%	17.6%	35.7%	-0.9%	4.6%	44.5K	-1.0M	-2.7K	1.05	84.95	112	118	443	158
2022-06-03	$44.78	$38.00	35.2%	9.4%	41.0%	22.6%	35.7%	7.1%	4.4%	45.7K	-1.2M	-2.7K	0.42	77.77	306	128	446	159
2022-06-06	$45.18	$38.00	37.9%	9.4%	40.3%	26.8%	35.0%	7.5%	1.8%	63.5K	-1.6M	-3.8K	0.39	74.98	355	139	613	210
2022-06-07	$45.37	$38.00	38.0%	9.7%	40.1%	26.9%	45.5%	-26.8%	1.7%	86.6K	-1.9M	-4.6K	0.44	79.64	284	124	792	258
2022-06-08	$44.41	$38.00	25.1%	7.2%	41.1%	7.1%	40.2%	-24.9%	15.5%	77.0K	-1.6M	-4.6K	0.45	76.02	274	123	791	265
2022-06-09	$43.99	$38.00	31.3%	9.0%	41.1%	16.7%	34.5%	1.6%	8.8%	80.9K	-1.4M	-4.4K	0.57	69.85	274	156	791	263
2022-06-10	$43.26	$38.00	34.1%	9.8%	39.9%	21.0%	36.0%	3.0%	2.3%	57.5K	-1.0M	-4.3K	0.68	52.77	240	162	794	309
2022-06-13	$41.42	$38.00	40.6%	11.7%	40.0%	31.0%	43.6%	9.1%	-0.5%	36.8K	-465.2K	-4.0K	0.82	56.53	251	206	888	317
2022-06-14	$42.86	$38.00	36.7%	10.5%	41.7%	25.0%	41.8%	4.3%	1.8%	51.6K	-922.3K	-4.3K	0.90	59.83	215	193	897	359
2022-06-15	$43.36	$38.00	37.7%	10.8%	33.8%	26.5%	45.9%	5.6%	-2.1%	65.8K	-1.2M	-4.3K	1.00	82.14	226	227	896	361
2022-06-16	$39.19	$38.00	42.2%	12.1%	49.2%	33.4%	43.9%	6.9%	-0.2%	17.1K	131.5K	-3.5K	0.98	56.13	230	226	887	381
2022-06-17	$39.53	$38.00	38.8%	11.1%	49.4%	28.1%	44.7%	9.0%	2.8%	20.9K	63.1K	-3.5K	0.99	69.59	234	231	894	377
2022-06-21	$40.24	$38.00	37.5%	10.8%	46.8%	26.2%	43.7%	2.5%	4.1%	40.2K	-570.8K	-3.3K	0.56	78.99	197	111	718	203
2022-06-22	$40.30	$38.00	42.4%	12.2%	46.3%	33.7%	35.6%	5.8%	1.8%	40.8K	-528.8K	-3.3K	0.51	80.16	214	110	774	205
2022-06-23	$40.77	$38.00	36.7%	10.5%	46.5%	25.0%	45.3%	-3.4%	3.0%	44.4K	-609.7K	-3.3K	0.51	89.75	214	110	778	209
2022-06-24	$41.74	$38.00	34.5%	9.9%	47.2%	21.6%	39.8%	6.8%	6.5%	55.5K	-805.1K	-3.4K	0.51	83.11	213	109	776	209
2022-06-27	$43.24	$38.00	35.2%	10.1%	48.0%	22.7%	48.3%	3.3%	4.5%	73.5K	-1.2M	-3.5K	0.48	83.59	230	111	787	209
2022-06-28	$41.72	$38.00	33.1%	9.5%	49.2%	19.5%	40.7%	3.6%	5.5%	65.1K	-979.4K	-3.6K	0.47	91.51	235	111	804	184
2022-06-29	$40.91	$38.00	36.1%	10.4%	49.6%	24.0%	49.7%	4.8%	13.2%	51.1K	-660.2K	-3.0K	0.47	86.55	235	111	810	183
2022-06-30	$40.60	$38.00	36.4%	10.4%	49.6%	24.6%	38.4%	10.3%	5.5%	49.3K	-624.9K	-3.0K	0.49	92.59	235	116	810	184