SANM Options History — January 2023

In January 2023, SANM traded between $55.40 and $61.02. ATM implied volatility averaged 40.2%, placing in the 25.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 8.4% (HV 20d: 31.8%). Max pain ranged from $49.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2023-01-30: Highest Volume — 557 contracts
2023-01-27: Largest IV spike — 32.7% change
2023-01-27: Highest IV Rank — 44.1%
2023-01-27: Largest Expected Move — 14.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.68	$55.40	$61.02	$56.74	$60.54
Max Pain	$54.65	$49.00	$60.00	$49.00	$55.00
ATM IV	40.2%	33.4%	51.8%	38.8%	40.6%
Expected Move	11.6%	9.6%	14.8%	11.1%	11.6%
HV 20d	31.8%	24.9%	46.0%	27.6%	46.0%
HV 60d	38.3%	37.0%	42.7%	38.0%	42.7%
IV Rank	25.0%	13.8%	44.1%	22.6%	25.6%
IV Percentile	58.6%	15.1%	94.0%	54.4%	66.7%
Term Structure	-4.7%	-18.3%	13.5%	2.1%	-10.0%
VWIV	39.0%	28.0%	53.8%	29.3%	40.0%
Skew 25d	9.1%	0.2%	22.0%	2.2%	3.7%
Skew 10d	18.0%	-2.2%	36.4%	2.5%	7.8%
Call IV 25d	37.9%	31.8%	53.8%	34.0%	35.9%
Put IV 25d	47.1%	36.1%	59.1%	36.1%	39.6%
Bid-Ask Spread %	88.77	70.47	101.89	100.71	87.92
Gamma HHI	0.40	0.16	0.63	0.16	0.50
Net GEX	37.0K	237	90.3K	2.4K	90.3K
Net DEX	-999.8K	-1.9M	-71.4K	-795.3K	-1.2M
Net VEX	-3.6K	-5.4K	-2.6K	-2.9K	-5.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.00	5.00	0.46	0.09
Total Volume	100.35	2	557	19	335
Total OI	1,089.9	501	1,535	896	1,069

Daily Data (20 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
2023-01-03	$56.74	$49.00	38.8%	11.1%	27.6%	22.6%	29.3%	2.2%	2.1%	2.4K	-795.3K	-2.9K	0.46	100.71	13	6	582	314
2023-01-04	$55.83	$49.00	37.5%	10.8%	25.0%	20.6%	36.7%	9.8%	5.9%	2.1K	-743.4K	-3.0K	1.50	101.89	6	9	585	315
2023-01-05	$55.40	$50.00	37.7%	11.6%	24.9%	20.9%	40.2%	6.8%	-3.4%	237	-640.4K	-2.7K	0.00	86.80	5	0	589	321
2023-01-06	$56.84	$50.00	38.1%	11.8%	27.4%	21.6%	0.0%	6.0%	-3.2%	1.1K	-789.6K	-2.6K	0.00	94.18	22	0	593	321
2023-01-09	$59.01	$50.00	36.7%	11.4%	31.5%	19.2%	38.1%	8.3%	-1.9%	8.5K	-1.1M	-2.9K	0.09	82.86	54	5	604	321
2023-01-10	$58.66	$55.00	37.4%	10.6%	31.1%	20.4%	32.3%	5.1%	-3.4%	44.5K	-1.3M	-4.1K	0.00	85.91	13	0	1,106	326
2023-01-11	$58.45	$50.00	39.4%	11.3%	31.0%	23.6%	46.2%	8.7%	-2.8%	43.4K	-1.3M	-4.2K	0.50	88.00	4	2	1,109	326
2023-01-12	$59.30	$50.00	37.4%	10.7%	31.7%	20.4%	35.4%	12.8%	-6.6%	52.4K	-1.5M	-4.6K	0.01	91.87	111	1	1,112	328
2023-01-13	$60.95	$55.00	40.1%	11.5%	33.3%	24.8%	37.8%	4.2%	-5.2%	74.8K	-1.9M	-5.4K	0.03	85.47	111	3	1,204	331
2023-01-17	$61.02	$55.00	40.4%	11.6%	32.0%	25.4%	43.6%	6.2%	-5.6%	64.0K	-1.9M	-4.4K	0.65	92.97	31	20	1,132	331
2023-01-18	$59.55	$55.00	40.2%	11.5%	32.7%	24.9%	38.6%	6.2%	-3.7%	49.3K	-1.5M	-4.0K	0.33	90.77	9	3	1,144	338
2023-01-19	$59.97	$55.00	33.4%	9.6%	32.5%	13.8%	34.4%	22.0%	-8.7%	42.5K	-1.4M	-3.4K	0.40	95.04	5	2	1,146	341
2023-01-20	$60.37	$55.00	38.9%	11.2%	32.6%	22.9%	39.6%	9.1%	-5.7%	42.3K	-1.6M	-3.8K	0.71	88.23	31	22	1,147	342
2023-01-23	$60.20	$60.00	41.2%	11.8%	31.9%	26.7%	40.5%	8.6%	-7.4%	59.7K	-615.6K	-3.6K	0.91	85.67	11	10	706	117
2023-01-24	$60.72	$60.00	43.8%	12.5%	29.7%	30.8%	43.0%	13.0%	-9.6%	60.3K	-632.6K	-3.9K	5.00	91.20	2	10	714	124
2023-01-25	$60.92	$60.00	41.4%	11.9%	29.7%	26.9%	37.0%	12.0%	-6.8%	60.0K	-618.1K	-3.9K	0.00	86.28	2	0	715	131
2023-01-26	$57.33	$60.00	39.0%	11.2%	37.1%	23.0%	28.0%	18.9%	13.5%	26.2K	-265.9K	-3.1K	0.01	82.70	527	3	726	132
2023-01-27	$56.30	$60.00	51.8%	14.8%	35.1%	44.1%	46.7%	19.1%	-18.3%	12.8K	-153.8K	-2.6K	1.21	86.47	28	34	366	135
2023-01-30	$55.48	$60.00	49.8%	14.3%	33.6%	40.8%	53.8%	0.2%	-14.0%	3.8K	-71.4K	-2.7K	0.52	70.47	366	191	380	175
2023-01-31	$60.54	$55.00	40.6%	11.6%	46.0%	25.6%	40.0%	3.7%	-10.0%	90.3K	-1.2M	-5.2K	0.09	87.92	308	27	743	326