SANM Options History — November 2022

In November 2022, SANM traded between $56.16 and $68.25. ATM implied volatility averaged 39.1%, placing in the 24.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 5.1% (HV 20d: 44.2%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 1.08.

Notable Days

2022-11-09: Highest Volume — 462 contracts
2022-11-28: Largest IV spike — 32.8% change
2022-11-01: Highest IV Rank — 45.8%
2022-11-01: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.98	$56.16	$68.25	$57.19	$66.28
Max Pain	$54.52	$50.00	$60.00	$55.00	$60.00
ATM IV	39.1%	26.2%	52.1%	52.1%	37.5%
Expected Move	10.7%	7.5%	14.9%	14.9%	10.7%
HV 20d	44.2%	28.4%	50.4%	28.4%	49.2%
HV 60d	44.3%	39.2%	46.8%	40.7%	44.6%
IV Rank	24.8%	3.9%	45.8%	45.8%	22.2%
IV Percentile	45.3%	1.6%	93.3%	93.3%	43.7%
Term Structure	-2.2%	-19.7%	7.8%	-11.1%	-4.2%
VWIV	41.1%	31.6%	69.1%	57.6%	37.6%
Skew 25d	5.6%	-8.8%	15.7%	6.9%	0.7%
Skew 10d	15.9%	-0.1%	31.3%	16.7%	-0.1%
Call IV 25d	36.6%	25.2%	60.5%	46.3%	34.9%
Put IV 25d	42.2%	30.2%	53.3%	53.3%	35.6%
Bid-Ask Spread %	88.97	74.56	105.46	74.56	102.55
Gamma HHI	0.36	0.22	0.46	0.43	0.44
Net GEX	22.5K	-20.0K	80.0K	-18.3K	70.6K
Net DEX	-1.7M	-2.3M	-531.4K	-678.3K	-2.1M
Net VEX	-3.8K	-4.8K	-2.2K	-4.1K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.08	0.00	1.71	1.35	0.38
Total Volume	249.619	1	462	282	18
Total OI	861.619	703	1,079	707	881

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
2022-11-01	$57.19	$55.00	52.1%	14.9%	28.4%	45.8%	57.6%	6.9%	-11.1%	-18.3K	-678.3K	-4.1K	1.35	74.56	120	162	310	397
2022-11-02	$56.16	$55.00	51.5%	14.8%	29.7%	44.9%	69.1%	-8.8%	-19.7%	-20.0K	-531.4K	-4.2K	1.36	103.29	120	163	313	399
2022-11-03	$56.42	$50.00	51.1%	11.8%	29.5%	44.2%	40.4%	-8.1%	4.9%	-19.4K	-596.9K	-3.9K	1.38	90.38	120	166	313	399
2022-11-04	$57.33	$50.00	51.8%	10.7%	28.6%	45.3%	40.2%	-8.6%	-0.9%	-19.5K	-730.5K	-3.8K	1.37	93.56	121	166	307	396
2022-11-07	$58.49	$50.00	51.8%	11.3%	28.8%	45.4%	39.2%	6.1%	-0.7%	-15.9K	-866.1K	-3.8K	1.22	82.56	142	173	314	398
2022-11-08	$65.41	$50.00	38.4%	10.1%	46.7%	23.7%	38.7%	8.9%	-1.2%	9.8K	-1.9M	-2.2K	1.65	85.25	130	215	348	413
2022-11-09	$64.44	$55.00	35.9%	10.3%	47.0%	19.7%	44.1%	12.4%	-4.4%	-9.6K	-1.6M	-3.1K	0.76	87.27	262	200	346	450
2022-11-10	$68.25	$55.00	33.6%	9.6%	48.9%	15.9%	44.1%	15.7%	-4.2%	20.0K	-2.3M	-3.7K	1.66	84.26	120	199	500	470
2022-11-11	$68.05	$55.00	36.3%	10.4%	47.8%	20.2%	45.5%	8.4%	0.4%	11.3K	-2.2M	-3.9K	1.71	74.66	112	191	502	490
2022-11-14	$66.24	$55.00	37.9%	10.9%	50.0%	22.9%	45.7%	7.6%	-2.9%	7.2K	-2.0M	-4.0K	1.70	79.73	106	180	495	482
2022-11-15	$65.88	$55.00	36.0%	10.3%	50.3%	19.8%	36.4%	5.7%	-1.0%	12.1K	-1.9M	-3.6K	1.23	85.58	153	188	496	472
2022-11-16	$66.06	$55.00	34.2%	9.8%	49.7%	16.8%	33.0%	7.6%	0.1%	17.7K	-2.2M	-3.9K	1.04	93.11	180	188	572	486
2022-11-17	$65.38	$55.00	34.5%	9.9%	50.4%	17.3%	39.6%	5.5%	-1.2%	14.6K	-2.0M	-3.8K	1.37	79.46	114	156	570	486
2022-11-18	$66.41	$55.00	34.7%	9.9%	48.6%	17.7%	35.7%	7.1%	-0.1%	39.1K	-2.3M	-3.7K	0.79	86.52	194	153	581	498
2022-11-21	$65.75	$55.00	37.0%	10.6%	49.0%	21.4%	34.7%	10.1%	-1.3%	50.9K	-1.8M	-4.8K	0.73	89.39	142	103	566	231
2022-11-22	$66.68	$55.00	35.5%	10.2%	49.0%	19.1%	31.6%	11.5%	0.4%	58.5K	-2.1M	-4.0K	0.71	89.58	144	102	573	231
2022-11-23	$66.16	$55.00	34.6%	9.9%	49.1%	17.6%	35.0%	4.2%	-1.4%	64.6K	-2.1M	-4.2K	1.15	89.69	94	108	609	232
2022-11-25	$66.63	$55.00	26.2%	7.5%	48.8%	3.9%	0.0%	3.9%	7.8%	80.0K	-2.1M	-4.1K	0.00	105.46	0	8	611	232
2022-11-28	$65.38	$55.00	34.7%	10.0%	49.6%	17.8%	37.2%	4.5%	-2.8%	58.9K	-1.9M	-3.7K	0.12	93.06	25	3	611	238
2022-11-29	$64.99	$60.00	35.9%	10.3%	49.1%	19.6%	35.8%	15.3%	-3.6%	58.8K	-1.9M	-3.8K	0.00	98.52	1	0	636	240
2022-11-30	$66.28	$60.00	37.5%	10.7%	49.2%	22.2%	37.6%	0.7%	-4.2%	70.6K	-2.1M	-3.9K	0.38	102.55	13	5	641	240