SANM Options History — October 2022

In October 2022, SANM traded between $47.28 and $57.16. ATM implied volatility averaged 45.1%, placing in the 34.5% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 2.2% (HV 20d: 42.9%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 1.27.

Notable Days

2022-10-19: Highest Volume — 508 contracts
2022-10-10: Largest IV spike — 22.7% change
2022-10-10: Highest IV Rank — 40.2%
2022-10-21: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.41	$47.28	$57.16	$47.28	$56.23
Max Pain	$45.52	$40.00	$50.00	$40.00	$50.00
ATM IV	45.1%	36.6%	48.6%	44.2%	47.8%
Expected Move	12.8%	10.5%	13.9%	12.7%	13.7%
HV 20d	42.9%	28.3%	54.0%	52.4%	29.7%
HV 60d	41.6%	40.4%	42.5%	41.3%	40.6%
IV Rank	34.5%	20.8%	40.2%	33.1%	38.9%
IV Percentile	77.5%	42.1%	86.5%	81.0%	84.9%
Term Structure	-5.6%	-13.3%	5.9%	-1.6%	-9.2%
VWIV	51.2%	44.9%	58.8%	50.8%	49.5%
Skew 25d	7.0%	1.0%	19.1%	12.8%	1.0%
Skew 10d	16.8%	-13.7%	38.5%	38.5%	13.2%
Call IV 25d	44.1%	34.0%	62.5%	35.7%	46.6%
Put IV 25d	51.0%	45.1%	64.2%	48.5%	47.6%
Bid-Ask Spread %	90.84	81.34	107.47	87.71	90.11
Gamma HHI	0.18	0.13	0.26	0.14	0.26
Net GEX	7.3K	-1.1K	21.7K	-724	21.7K
Net DEX	-1.3M	-1.7M	-887.1K	-996.1K	-1.1M
Net VEX	-3.0K	-3.7K	-2.4K	-3.7K	-3.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.76	2.81	1.33	2.81
Total Volume	368.333	193	508	345	453
Total OI	620.762	394	711	709	487

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
2022-10-03	$47.28	$40.00	44.2%	12.7%	52.4%	33.1%	50.8%	12.8%	-1.6%	-724	-996.1K	-3.7K	1.33	87.71	148	197	416	293
2022-10-04	$48.87	$40.00	37.6%	10.8%	53.6%	22.5%	55.8%	11.1%	5.9%	-1.1K	-1.2M	-3.5K	1.55	107.47	152	236	418	293
2022-10-05	$49.63	$40.00	36.6%	10.5%	53.8%	20.8%	47.4%	8.2%	1.7%	3.5K	-1.4M	-3.2K	1.57	94.70	152	238	423	253
2022-10-06	$50.37	$45.00	39.9%	11.8%	54.0%	26.1%	44.9%	12.2%	-3.4%	783	-1.4M	-3.1K	1.61	82.84	152	244	422	255
2022-10-07	$49.59	$45.00	39.6%	11.8%	53.7%	25.7%	54.2%	7.0%	-4.2%	302	-1.4M	-3.2K	1.55	87.36	157	244	425	261
2022-10-10	$49.51	$45.00	48.6%	12.0%	53.7%	40.2%	51.8%	4.2%	-3.6%	2.1K	-1.3M	-3.3K	1.38	86.36	157	217	425	261
2022-10-11	$50.10	$45.00	46.1%	12.1%	52.0%	36.1%	54.0%	5.0%	-4.3%	-534	-1.4M	-3.1K	1.35	83.53	158	214	425	273
2022-10-12	$49.54	$45.00	44.8%	12.8%	52.2%	34.0%	56.1%	1.7%	-5.7%	4.0K	-1.3M	-3.3K	1.35	100.26	158	214	426	275
2022-10-13	$51.39	$45.00	45.3%	13.0%	44.7%	34.8%	50.0%	4.4%	-5.9%	1.5K	-1.5M	-3.0K	1.26	91.20	172	217	426	275
2022-10-14	$50.45	$45.00	47.9%	13.7%	38.1%	39.1%	52.7%	5.3%	-9.3%	980	-1.5M	-2.9K	1.25	90.22	174	217	432	270
2022-10-17	$51.58	$45.00	47.5%	13.6%	38.7%	38.4%	48.1%	6.7%	-8.1%	2.0K	-1.6M	-2.9K	0.88	90.03	250	221	434	270
2022-10-18	$52.63	$45.00	43.5%	12.5%	39.0%	32.0%	48.9%	12.0%	-6.8%	9.2K	-1.4M	-2.9K	0.80	87.78	277	221	392	273
2022-10-19	$52.09	$45.00	46.6%	13.4%	39.3%	36.9%	49.1%	5.9%	-9.8%	8.3K	-1.4M	-2.9K	0.76	89.56	288	220	396	273
2022-10-20	$52.76	$45.00	48.0%	13.8%	39.1%	39.2%	52.3%	6.6%	-6.3%	9.5K	-1.5M	-2.8K	0.84	93.21	232	196	399	272
2022-10-21	$55.27	$47.00	48.5%	13.9%	38.9%	39.9%	53.3%	19.1%	-13.3%	10.5K	-1.7M	-2.6K	0.94	91.46	208	196	398	274
2022-10-24	$56.17	$47.00	46.9%	13.4%	38.9%	37.4%	53.3%	2.2%	-7.3%	11.9K	-887.1K	-2.4K	1.38	99.81	81	112	239	155
2022-10-25	$56.94	$47.00	46.6%	13.4%	38.4%	36.9%	58.8%	8.3%	-5.5%	13.9K	-970.4K	-2.6K	1.27	89.06	94	119	251	162
2022-10-26	$56.71	$50.00	47.6%	13.7%	33.7%	38.6%	47.0%	3.9%	-6.2%	14.7K	-1.0M	-2.8K	0.81	81.34	147	119	271	179
2022-10-27	$56.25	$50.00	46.0%	13.2%	28.3%	36.0%	47.3%	1.1%	-6.1%	19.4K	-1.1M	-3.1K	0.95	88.58	124	118	303	176
2022-10-28	$57.16	$50.00	47.8%	13.7%	28.3%	38.9%	49.6%	7.2%	-8.9%	20.8K	-1.2M	-2.9K	0.94	95.06	124	117	309	176
2022-10-31	$56.23	$50.00	47.8%	13.7%	29.7%	38.9%	49.5%	1.0%	-9.2%	21.7K	-1.1M	-3.0K	2.81	90.11	119	334	309	178