SANM Options History — February 2023

In February 2023, SANM traded between $60.58 and $65.08. ATM implied volatility averaged 33.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 12.7% (HV 20d: 46.4%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.31.

Notable Days

2023-02-13: Highest Volume — 190 contracts
2023-02-06: Largest IV spike — 32.5% change
2023-02-06: Highest IV Rank — 26.5%
2023-02-22: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.51	$60.58	$65.08	$62.84	$60.73
Max Pain	$59.74	$55.00	$60.00	$55.00	$60.00
ATM IV	33.7%	29.0%	41.1%	29.1%	33.3%
Expected Move	9.4%	8.2%	10.4%	8.3%	9.6%
HV 20d	46.4%	42.9%	49.3%	47.3%	42.9%
HV 60d	37.0%	34.4%	43.4%	43.4%	36.0%
IV Rank	14.2%	6.5%	26.5%	6.7%	13.6%
IV Percentile	21.3%	2.8%	70.2%	2.8%	15.9%
Term Structure	-1.3%	-5.0%	3.8%	-1.2%	-2.6%
VWIV	31.3%	21.6%	35.8%	26.4%	30.3%
Skew 25d	5.0%	-12.0%	15.3%	-12.0%	4.1%
Skew 10d	12.4%	-7.6%	31.1%	3.1%	10.3%
Call IV 25d	31.8%	21.2%	38.9%	30.7%	30.9%
Put IV 25d	36.8%	18.7%	52.4%	18.7%	35.1%
Bid-Ask Spread %	83.25	51.73	95.43	87.76	51.73
Gamma HHI	0.60	0.53	0.73	0.53	0.55
Net GEX	106.4K	60.4K	165.6K	125.7K	62.2K
Net DEX	-1.6M	-2.7M	-628.6K	-1.8M	-628.6K
Net VEX	-5.7K	-6.3K	-4.6K	-5.8K	-4.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.00	1.28	1.28	0.00
Total Volume	52.474	2	190	66	36
Total OI	1,069.368	806	1,297	1,089	850

Daily Data (19 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
2023-02-01	$62.84	$55.00	29.1%	8.3%	47.3%	6.7%	26.4%	-12.0%	-1.2%	125.7K	-1.8M	-5.8K	1.28	87.76	29	37	753	336
2023-02-02	$63.11	$60.00	33.4%	9.0%	46.7%	13.7%	31.1%	-4.2%	-2.5%	117.9K	-1.8M	-6.1K	0.22	95.43	54	12	746	367
2023-02-03	$62.62	$60.00	31.0%	8.2%	46.7%	9.9%	21.6%	11.7%	3.8%	114.5K	-1.7M	-6.3K	0.50	89.94	14	7	749	376
2023-02-06	$62.50	$60.00	41.1%	9.7%	46.2%	26.5%	29.5%	5.9%	-2.1%	109.4K	-1.6M	-5.9K	0.27	79.13	11	3	751	376
2023-02-07	$62.89	$60.00	37.9%	9.1%	44.5%	21.2%	29.8%	1.5%	-2.0%	111.6K	-1.7M	-5.9K	0.18	85.87	55	10	750	379
2023-02-08	$61.92	$60.00	35.4%	10.1%	44.9%	17.0%	30.8%	9.4%	-0.3%	114.5K	-1.5M	-5.9K	0.00	82.71	2	0	781	379
2023-02-09	$60.67	$60.00	35.9%	10.3%	45.6%	17.9%	35.8%	15.3%	-1.9%	85.0K	-1.2M	-5.5K	0.06	93.33	68	4	783	379
2023-02-10	$62.59	$60.00	31.1%	8.9%	46.6%	9.9%	34.5%	12.3%	-1.2%	122.1K	-1.8M	-6.2K	1.20	87.07	20	24	822	382
2023-02-13	$65.08	$60.00	33.0%	9.5%	47.6%	13.2%	34.6%	3.5%	-0.6%	160.4K	-2.7M	-6.0K	0.21	83.44	157	33	837	371
2023-02-14	$64.81	$60.00	32.8%	9.4%	47.7%	12.8%	34.3%	2.9%	-2.4%	165.6K	-2.5M	-6.0K	0.23	71.15	64	15	836	386
2023-02-15	$64.59	$60.00	31.3%	9.0%	46.6%	10.3%	31.8%	-0.2%	-1.5%	161.7K	-2.4M	-5.9K	0.04	85.72	24	1	851	396
2023-02-16	$64.08	$60.00	29.0%	8.3%	46.8%	6.5%	25.7%	2.1%	1.8%	162.6K	-2.2M	-5.8K	1.04	67.93	48	50	839	395
2023-02-17	$63.87	$60.00	33.2%	9.5%	46.9%	13.5%	33.7%	12.2%	-2.9%	80.5K	-2.0M	-6.2K	0.28	88.02	36	10	854	443
2023-02-21	$61.34	$60.00	36.3%	10.4%	49.3%	18.5%	35.0%	6.7%	-2.7%	65.1K	-873.4K	-5.5K	0.19	86.27	59	11	545	261
2023-02-22	$61.17	$60.00	36.4%	10.4%	49.2%	18.6%	33.9%	8.2%	-5.0%	62.5K	-811.2K	-5.4K	0.00	82.23	20	0	559	272
2023-02-23	$61.37	$60.00	33.5%	9.6%	49.2%	14.0%	35.8%	3.1%	0.6%	73.2K	-895.5K	-5.5K	0.10	85.30	30	3	559	272
2023-02-24	$60.58	$60.00	32.9%	9.4%	44.0%	12.9%	32.9%	5.3%	-0.5%	60.4K	-647.4K	-5.0K	0.00	86.79	9	0	566	274
2023-02-27	$60.96	$60.00	33.4%	9.6%	43.3%	13.8%	27.2%	7.0%	-1.6%	66.9K	-715.7K	-5.0K	0.00	91.89	41	0	569	274
2023-02-28	$60.73	$60.00	33.3%	9.6%	42.9%	13.6%	30.3%	4.1%	-2.6%	62.2K	-628.6K	-4.6K	0.00	51.73	36	0	578	272