SANM Options History — July 2022

In July 2022, SANM traded between $40.25 and $46.31. ATM implied volatility averaged 42.3%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 4.7% (HV 20d: 37.6%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2022-07-07: Highest Volume — 384 contracts
2022-07-05: Largest IV spike — 60.1% change
2022-07-05: Highest IV Rank — 50.0%
2022-07-26: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.45	$40.25	$46.31	$40.79	$46.31
Max Pain	$39.85	$38.00	$40.00	$38.00	$40.00
ATM IV	42.3%	33.1%	53.0%	33.1%	45.4%
Expected Move	12.1%	9.5%	14.0%	9.5%	13.0%
HV 20d	37.6%	24.2%	49.6%	49.6%	24.2%
HV 60d	42.1%	40.7%	42.7%	42.2%	40.7%
IV Rank	32.9%	19.5%	50.0%	19.5%	37.4%
IV Percentile	74.9%	35.3%	94.8%	35.3%	84.9%
Term Structure	-4.4%	-14.0%	8.5%	8.5%	-7.7%
VWIV	44.4%	36.8%	52.7%	42.7%	48.5%
Skew 25d	2.6%	-19.4%	13.0%	4.4%	8.3%
Skew 10d	16.2%	-17.5%	48.7%	21.0%	16.7%
Call IV 25d	45.2%	34.1%	67.9%	34.3%	40.3%
Put IV 25d	47.8%	38.7%	59.1%	38.7%	48.5%
Bid-Ask Spread %	65.93	40.71	107.10	89.21	58.19
Gamma HHI	0.19	0.12	0.62	0.13	0.15
Net GEX	28.6K	11.2K	65.5K	49.5K	19.1K
Net DEX	-543.7K	-760.6K	-356.1K	-616.2K	-760.6K
Net VEX	-2.4K	-2.8K	-2.1K	-2.8K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.51	1.55	0.61	1.55
Total Volume	283.1	170	384	376	242
Total OI	695.8	305	1,072	993	374

Daily Data (20 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
2022-07-01	$40.79	$38.00	33.1%	9.5%	49.6%	19.5%	42.7%	4.4%	8.5%	49.5K	-616.2K	-2.8K	0.61	89.21	234	142	810	183
2022-07-05	$40.25	$39.00	53.0%	11.9%	48.9%	50.0%	46.2%	8.2%	-6.6%	43.3K	-498.4K	-2.7K	0.61	50.50	235	143	808	209
2022-07-06	$40.26	$40.00	39.6%	12.4%	48.7%	29.3%	46.1%	7.8%	-5.7%	38.6K	-469.4K	-2.7K	0.56	54.49	230	129	809	236
2022-07-07	$40.37	$40.00	47.4%	12.0%	48.6%	41.3%	42.2%	4.1%	-2.4%	37.3K	-449.1K	-2.6K	0.51	56.44	254	130	812	237
2022-07-08	$40.93	$40.00	33.6%	11.6%	48.7%	20.1%	42.9%	6.2%	-4.4%	42.9K	-563.0K	-2.5K	0.53	54.96	245	130	824	238
2022-07-11	$40.87	$40.00	42.2%	12.2%	48.7%	33.4%	42.1%	8.5%	-5.2%	42.2K	-557.2K	-2.4K	0.56	55.27	245	137	824	238
2022-07-12	$40.90	$40.00	41.1%	12.2%	48.5%	31.6%	43.7%	3.4%	-3.5%	38.7K	-557.4K	-2.4K	0.56	73.34	235	132	824	248
2022-07-13	$41.23	$40.00	43.5%	12.5%	46.1%	35.4%	41.9%	8.8%	-3.6%	39.6K	-614.2K	-2.4K	0.56	63.15	235	132	824	246
2022-07-14	$41.04	$40.00	41.6%	11.9%	44.3%	31.4%	43.0%	13.0%	-3.6%	28.2K	-531.2K	-2.2K	0.58	84.38	226	132	824	246
2022-07-15	$41.96	$40.00	42.6%	12.2%	44.9%	33.0%	43.6%	-19.4%	-6.2%	65.5K	-703.5K	-2.2K	0.58	87.43	228	132	824	246
2022-07-18	$41.56	$40.00	38.1%	10.9%	25.6%	26.0%	36.8%	1.5%	-1.8%	11.2K	-356.1K	-2.1K	1.36	107.10	72	98	203	102
2022-07-19	$43.38	$40.00	42.9%	12.3%	29.2%	33.5%	44.0%	10.5%	-4.7%	12.2K	-440.4K	-2.2K	1.41	72.25	71	100	213	102
2022-07-20	$44.01	$40.00	40.8%	11.7%	29.1%	30.2%	45.8%	-0.0%	-2.5%	13.2K	-490.1K	-2.3K	1.40	67.80	73	102	220	104
2022-07-21	$43.98	$40.00	39.4%	11.3%	29.1%	28.1%	44.9%	-10.1%	-2.7%	13.8K	-497.1K	-2.3K	1.50	69.08	72	108	225	104
2022-07-22	$42.95	$40.00	43.9%	12.6%	30.6%	35.1%	48.3%	-0.7%	-6.1%	13.2K	-432.2K	-2.4K	1.53	70.45	72	110	226	112
2022-07-25	$43.20	$40.00	44.0%	12.6%	29.6%	35.3%	46.2%	-6.8%	-6.0%	13.6K	-462.9K	-2.3K	1.44	40.71	77	111	227	108
2022-07-26	$43.90	$40.00	48.8%	14.0%	27.4%	42.6%	44.5%	-10.9%	-14.0%	15.0K	-540.0K	-2.3K	1.19	45.29	93	111	241	109
2022-07-27	$45.36	$40.00	44.0%	12.6%	26.1%	35.2%	52.7%	12.7%	-6.5%	15.7K	-644.3K	-2.4K	1.26	75.11	92	116	252	111
2022-07-28	$45.69	$40.00	40.8%	11.7%	24.5%	30.2%	41.2%	2.5%	-3.3%	18.2K	-691.1K	-2.4K	1.48	43.48	95	141	258	115
2022-07-29	$46.31	$40.00	45.4%	13.0%	24.2%	37.4%	48.5%	8.3%	-7.7%	19.1K	-760.6K	-2.5K	1.55	58.19	95	147	273	101