SANM Options History — December 2022

In December 2022, SANM traded between $56.17 and $67.84. ATM implied volatility averaged 35.7%, placing in the 19.2% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 4.7% (HV 20d: 31.0%). Max pain ranged from $48.00 to $60.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.06.

Notable Days

2022-12-02: Highest Volume — 208 contracts
2022-12-13: Largest IV spike — 56.1% change
2022-12-13: Highest IV Rank — 51.9%
2022-12-28: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$61.17	$56.17	$67.84	$67.84	$57.30
Max Pain	$49.81	$48.00	$60.00	$60.00	$49.00
ATM IV	35.7%	28.2%	55.9%	33.6%	35.5%
Expected Move	9.6%	8.1%	11.0%	9.6%	10.2%
HV 20d	31.0%	23.6%	52.0%	48.6%	27.7%
HV 60d	40.9%	37.3%	45.7%	44.7%	38.0%
IV Rank	19.2%	7.2%	51.9%	16.0%	17.3%
IV Percentile	30.9%	2.0%	96.8%	17.5%	32.5%
Term Structure	2.7%	-6.8%	8.4%	-4.6%	5.9%
VWIV	35.7%	29.9%	49.6%	36.8%	33.0%
Skew 25d	4.7%	-6.6%	15.4%	15.4%	2.3%
Skew 10d	7.4%	-4.8%	27.0%	16.8%	2.4%
Call IV 25d	32.2%	26.8%	42.2%	29.5%	31.3%
Put IV 25d	36.9%	29.7%	44.9%	44.9%	33.6%
Bid-Ask Spread %	99.22	89.20	105.05	98.33	101.28
Gamma HHI	0.26	0.15	0.51	0.47	0.16
Net GEX	29.2K	1.6K	98.0K	89.5K	4.6K
Net DEX	-1.3M	-2.4M	-694.9K	-2.4M	-881.3K
Net VEX	-3.4K	-4.1K	-2.9K	-4.1K	-3.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.06	0.00	5.00	0.45	0.13
Total Volume	34.381	3	208	16	9
Total OI	944.286	822	1,119	880	887

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
2022-12-01	$67.84	$60.00	33.6%	9.6%	48.6%	16.0%	36.8%	15.4%	-4.6%	89.5K	-2.4M	-4.1K	0.45	98.33	11	5	641	239
2022-12-02	$67.61	$60.00	36.7%	10.5%	48.7%	20.9%	36.9%	3.5%	-6.8%	98.0K	-2.4M	-4.1K	0.01	94.83	206	2	669	242
2022-12-05	$64.87	$48.00	37.2%	10.4%	51.8%	21.7%	33.0%	5.9%	-2.4%	88.7K	-1.9M	-3.8K	0.05	100.10	63	3	798	242
2022-12-06	$64.00	$48.00	35.7%	9.8%	52.0%	19.3%	35.1%	7.0%	3.5%	53.5K	-1.7M	-3.4K	0.58	103.00	24	14	707	243
2022-12-07	$63.89	$48.00	31.4%	9.2%	33.1%	12.3%	32.2%	8.9%	3.2%	54.6K	-1.7M	-3.1K	0.31	101.40	36	11	704	240
2022-12-08	$63.59	$48.00	47.2%	10.3%	32.7%	37.9%	40.2%	4.4%	0.6%	53.3K	-1.7M	-4.1K	2.00	105.05	3	6	736	256
2022-12-09	$62.49	$48.00	43.0%	10.1%	25.0%	31.1%	41.8%	3.6%	4.3%	28.5K	-1.5M	-3.5K	2.65	101.25	20	53	737	262
2022-12-12	$62.48	$49.00	35.8%	10.4%	25.0%	19.5%	35.0%	5.9%	-1.0%	24.7K	-1.4M	-3.5K	0.00	98.46	17	0	739	313
2022-12-13	$62.52	$49.00	55.9%	8.9%	23.6%	51.9%	30.2%	-2.4%	3.3%	23.2K	-1.5M	-3.3K	0.03	100.26	30	1	749	313
2022-12-14	$61.95	$49.00	33.7%	9.6%	23.7%	16.0%	32.7%	2.4%	1.3%	16.9K	-1.4M	-3.3K	0.85	103.25	26	22	777	313
2022-12-15	$60.41	$49.00	29.4%	8.4%	24.8%	9.1%	38.1%	-3.7%	7.6%	15.6K	-1.2M	-3.3K	4.50	102.72	2	9	784	333
2022-12-16	$59.47	$49.00	28.2%	8.1%	25.0%	7.2%	29.9%	-6.6%	8.4%	9.8K	-1.1M	-3.1K	3.36	104.49	11	37	786	333
2022-12-19	$58.78	$49.00	30.7%	8.8%	23.9%	11.3%	34.8%	3.3%	5.6%	7.8K	-964.7K	-3.0K	0.50	97.29	2	1	534	288
2022-12-20	$58.71	$49.00	30.8%	8.8%	24.0%	11.5%	30.8%	4.7%	3.7%	8.0K	-978.6K	-3.0K	0.59	90.01	17	10	536	289
2022-12-21	$59.83	$49.00	30.1%	8.6%	24.5%	10.3%	37.9%	7.1%	7.2%	10.8K	-1.1M	-3.2K	0.22	89.20	9	2	548	299
2022-12-22	$57.97	$49.00	34.7%	10.0%	26.2%	17.7%	34.7%	7.4%	2.2%	6.5K	-897.0K	-3.2K	0.00	98.92	13	0	544	301
2022-12-23	$58.40	$49.00	33.5%	9.6%	26.3%	15.8%	49.6%	7.6%	5.4%	6.7K	-930.3K	-3.2K	0.60	96.43	5	3	547	301
2022-12-27	$58.36	$49.00	34.4%	9.9%	25.9%	17.2%	38.2%	5.2%	3.0%	5.6K	-931.8K	-3.0K	5.00	99.09	1	5	554	301
2022-12-28	$56.17	$49.00	38.5%	11.0%	28.4%	23.8%	33.6%	11.1%	2.2%	1.6K	-694.9K	-2.9K	0.17	96.55	18	3	558	306
2022-12-29	$57.87	$49.00	34.0%	9.7%	29.9%	14.7%	36.0%	5.9%	4.1%	5.4K	-937.0K	-3.1K	0.20	101.72	10	2	574	307
2022-12-30	$57.30	$49.00	35.5%	10.2%	27.7%	17.3%	33.0%	2.3%	5.9%	4.6K	-881.3K	-3.1K	0.13	101.28	8	1	578	309