SANM Options History — September 2022

In September 2022, SANM traded between $43.95 and $48.78. ATM implied volatility averaged 41.1%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 1.3% (HV 20d: 42.4%). Max pain ranged from $40.00 to $49.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 3.94.

Notable Days

2022-09-13: Highest Volume — 402 contracts
2022-09-14: Largest IV drop — 51.9% change
2022-09-13: Highest IV Rank — 76.6%
2022-09-29: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$46.96	$43.95	$48.78	$47.14	$46.42
Max Pain	$40.86	$40.00	$49.00	$49.00	$40.00
ATM IV	41.1%	33.0%	71.1%	38.0%	44.1%
Expected Move	10.5%	8.3%	14.6%	10.9%	12.6%
HV 20d	42.4%	30.2%	53.2%	36.3%	51.9%
HV 60d	38.7%	33.1%	41.3%	40.5%	41.3%
IV Rank	28.4%	14.9%	76.6%	25.8%	32.9%
IV Percentile	59.6%	21.8%	98.4%	57.9%	81.0%
Term Structure	1.4%	-9.3%	18.6%	-3.0%	-5.2%
VWIV	40.4%	28.2%	53.7%	42.3%	48.6%
Skew 25d	9.2%	-12.6%	22.0%	-7.9%	5.9%
Skew 10d	25.6%	-4.8%	68.9%	-4.8%	22.1%
Call IV 25d	34.9%	23.8%	56.9%	50.9%	40.8%
Put IV 25d	44.1%	30.6%	55.3%	43.0%	46.6%
Bid-Ask Spread %	90.02	70.40	107.39	87.11	93.64
Gamma HHI	0.20	0.12	0.44	0.25	0.14
Net GEX	13.9K	-2.1K	49.5K	30.9K	-1.1K
Net DEX	-1.1M	-1.5M	-748.7K	-1.3M	-887.4K
Net VEX	-3.9K	-4.3K	-3.6K	-4.0K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.94	0.00	24.33	0.25	1.32
Total Volume	159.857	0	402	44	346
Total OI	750.619	681	857	736	709

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
2022-09-01	$47.14	$49.00	38.0%	10.9%	36.3%	25.8%	42.3%	-7.9%	-3.0%	30.9K	-1.3M	-4.0K	0.00	87.11	0	44	543	193
2022-09-02	$46.95	$49.00	39.1%	11.2%	36.3%	27.4%	34.8%	8.3%	-9.3%	27.4K	-1.2M	-4.2K	0.25	102.19	4	1	543	235
2022-09-06	$47.13	$40.00	40.4%	9.8%	36.3%	29.3%	40.8%	3.9%	1.2%	25.3K	-1.1M	-4.0K	0.92	79.67	166	153	542	236
2022-09-07	$47.57	$40.00	40.1%	8.7%	33.6%	27.6%	45.7%	19.8%	4.1%	30.2K	-1.3M	-4.0K	0.92	83.38	166	153	542	237
2022-09-08	$47.61	$40.00	48.9%	10.4%	30.2%	40.6%	0.0%	11.4%	-6.0%	30.8K	-1.2M	-4.1K	0.00	107.39	0	0	542	238
2022-09-09	$48.78	$40.00	35.4%	8.3%	31.5%	18.9%	31.0%	9.1%	0.3%	49.5K	-1.5M	-3.7K	24.33	93.85	3	73	542	238
2022-09-12	$48.76	$40.00	50.8%	9.3%	30.9%	43.7%	0.0%	15.4%	4.5%	41.0K	-1.4M	-4.1K	15.00	94.30	2	30	543	285
2022-09-13	$47.01	$40.00	71.1%	9.8%	33.4%	76.6%	42.8%	5.0%	0.4%	21.4K	-1.1M	-4.3K	1.44	86.85	165	237	543	291
2022-09-14	$47.39	$40.00	34.2%	9.8%	32.6%	16.9%	0.0%	18.6%	0.6%	18.3K	-1.2M	-4.0K	18.00	97.50	1	18	545	286
2022-09-15	$43.95	$40.00	37.6%	10.8%	41.0%	22.4%	32.1%	3.7%	4.8%	7.9K	-1.0M	-3.6K	2.00	88.99	5	10	546	304
2022-09-16	$47.33	$40.00	34.8%	10.0%	49.8%	17.9%	39.5%	15.2%	2.1%	5.9K	-953.4K	-4.0K	1.33	86.84	165	219	546	311
2022-09-19	$47.49	$40.00	36.8%	10.5%	49.6%	21.1%	35.8%	8.4%	2.1%	-131	-1.0M	-3.9K	0.20	70.40	5	1	408	273
2022-09-20	$47.32	$40.00	41.1%	11.8%	49.5%	28.1%	0.0%	21.3%	2.1%	1.7K	-959.9K	-4.0K	0.00	92.20	1	0	413	274
2022-09-21	$47.24	$40.00	33.9%	9.7%	49.5%	16.4%	28.2%	22.0%	6.2%	1.4K	-1.0M	-3.9K	0.00	88.17	2	0	412	269
2022-09-22	$46.80	$40.00	33.0%	9.4%	49.5%	14.9%	31.5%	-4.6%	18.6%	945	-949.7K	-3.8K	0.00	100.55	4	0	414	269
2022-09-23	$45.33	$40.00	36.5%	10.5%	48.7%	20.6%	0.0%	-12.6%	3.9%	2.4K	-762.4K	-3.9K	0.00	81.55	0	0	414	269
2022-09-26	$45.83	$40.00	38.0%	10.9%	47.3%	23.0%	53.7%	11.4%	3.5%	2.1K	-793.7K	-3.7K	1.31	84.47	150	196	414	269
2022-09-27	$45.47	$40.00	39.3%	11.3%	47.3%	25.1%	45.4%	10.8%	0.8%	-2.1K	-748.7K	-3.8K	1.32	87.53	149	196	414	297
2022-09-28	$48.37	$40.00	38.2%	11.0%	51.1%	23.4%	46.0%	8.9%	2.5%	-1.4K	-1.1M	-3.6K	1.32	87.18	149	197	414	292
2022-09-29	$46.29	$40.00	50.9%	14.6%	53.2%	43.9%	48.5%	19.0%	-5.3%	-61	-861.2K	-3.9K	1.32	96.66	149	197	415	293
2022-09-30	$46.42	$40.00	44.1%	12.6%	51.9%	32.9%	48.6%	5.9%	-5.2%	-1.1K	-887.4K	-3.7K	1.32	93.64	149	197	416	293