SANM Options History — August 2022

In August 2022, SANM traded between $45.81 and $51.99. ATM implied volatility averaged 34.9%, placing in the 21.0% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 0.3% (HV 20d: 35.1%). Max pain ranged from $40.00 to $49.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.50.

Notable Days

  • 2022-08-04: Highest Volume — 396 contracts
  • 2022-08-04: Largest IV drop — 30.7% change
  • 2022-08-01: Highest IV Rank — 49.4%
  • 2022-08-01: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.73$45.81$51.99$45.81$48.73
Max Pain$48.09$40.00$49.00$40.00$49.00
ATM IV34.9%26.0%53.1%53.1%39.7%
Expected Move9.8%7.5%15.2%15.2%11.4%
HV 20d35.1%25.0%39.6%25.0%34.5%
HV 60d39.7%37.7%41.9%40.8%39.9%
IV Rank21.0%7.2%49.4%49.4%28.5%
IV Percentile41.0%9.5%94.8%94.8%65.9%
Term Structure-3.3%-21.5%5.6%-21.5%-9.2%
VWIV36.3%21.2%75.2%53.7%42.4%
Skew 25d8.7%-10.8%26.4%5.7%7.7%
Skew 10d14.9%-12.3%95.9%8.8%10.3%
Call IV 25d32.6%23.7%50.6%42.4%36.9%
Put IV 25d41.3%30.9%77.0%48.1%44.6%
Bid-Ask Spread %91.2443.36111.1343.3690.66
Gamma HHI0.260.150.390.160.33
Net GEX29.8K13.5K46.3K22.1K36.7K
Net DEX-1.6M-2.5M-739.4K-739.4K-1.5M
Net VEX-3.4K-4.1K-2.0K-2.3K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.500.001.611.610.86
Total Volume121.3040396256310
Total OI680.435386891386732

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-08-01$45.81$40.0053.1%15.2%25.0%49.4%53.7%5.7%-21.5%22.1K-739.4K-2.3K1.6143.3698158277109
2022-08-02$48.80$43.0039.3%11.3%31.2%27.9%37.2%21.8%-20.9%18.1K-1.0M-2.1K1.3583.3998132286174
2022-08-03$50.00$43.0048.9%14.0%31.4%42.9%75.2%26.4%-13.4%13.5K-1.0M-2.0K0.71111.13227162282180
2022-08-04$49.80$49.0033.9%8.6%31.7%19.5%31.1%6.9%-0.2%20.4K-1.4M-3.7K0.6985.98234162408222
2022-08-05$49.79$49.0033.3%8.9%31.9%18.5%32.3%3.0%-0.5%22.7K-1.4M-3.5K0.6487.34232148414222
2022-08-08$49.40$49.0038.6%8.9%32.3%26.9%30.5%-0.6%-0.4%23.2K-1.4M-3.5K0.6780.96231154411223
2022-08-09$47.44$49.0037.2%8.9%36.8%24.6%30.6%12.5%-0.6%25.3K-1.1M-3.7K0.4987.503517411230
2022-08-10$49.35$49.0029.1%8.3%38.5%12.1%0.0%13.0%-0.2%28.1K-1.4M-3.4K0.2597.57123435233
2022-08-11$49.10$49.0030.3%8.7%38.5%13.9%0.0%7.2%0.8%33.7K-1.4M-3.6K0.0086.5340447235
2022-08-12$49.91$49.0028.6%8.2%38.3%11.2%28.3%-7.8%0.7%32.8K-1.5M-3.6K0.2086.84102454235
2022-08-15$49.74$49.0030.0%8.6%38.0%13.5%36.6%11.0%-0.9%31.1K-1.5M-3.3K0.1874.738716444237
2022-08-16$50.72$49.0028.5%8.2%36.1%11.1%0.0%8.6%0.4%29.6K-2.1M-3.2K1.0082.4122531248
2022-08-17$51.23$49.0026.0%7.5%36.0%7.2%21.2%-10.8%5.6%16.1K-2.2M-2.7K0.10108.4710510532250
2022-08-18$51.94$49.0032.8%9.4%35.9%17.8%34.3%8.9%-1.5%46.3K-2.5M-3.7K0.0997.13434631260
2022-08-19$51.00$49.0028.8%8.2%35.3%11.5%29.8%4.1%-0.8%36.8K-2.4M-3.5K0.58106.812615615264
2022-08-22$50.39$49.0031.2%9.0%36.1%15.3%36.0%7.0%1.5%35.7K-1.8M-4.0K0.6774.0332523185
2022-08-23$50.39$49.0032.0%9.2%36.0%16.6%0.0%9.0%0.4%36.5K-1.8M-3.9K0.5088.9521523187
2022-08-24$50.38$49.0037.7%10.8%34.8%25.4%0.0%15.9%-3.0%30.5K-1.8M-3.8K0.00109.4500525187
2022-08-25$51.99$49.0033.7%9.7%36.0%19.2%35.8%6.1%1.1%35.4K-2.0M-3.7K0.00109.24110526187
2022-08-26$49.90$49.0034.5%9.9%39.6%20.5%35.0%20.8%-3.8%35.8K-1.7M-3.9K0.00102.8730529187
2022-08-29$49.85$49.0035.3%10.1%39.3%21.7%0.0%13.2%-6.5%37.8K-1.7M-4.1K0.00101.36230541187
2022-08-30$48.03$49.0039.3%11.3%35.2%27.9%26.3%11.4%-3.9%37.8K-1.6M-3.9K0.50101.8942544187
2022-08-31$48.73$49.0039.7%11.4%34.5%28.5%42.4%7.7%-9.2%36.7K-1.5M-4.0K0.8690.66167143545187