SANM Options History — March 2023

In March 2023, SANM traded between $56.72 and $60.83. ATM implied volatility averaged 39.1%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 14.2% (HV 20d: 24.9%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 0.19.

Notable Days

  • 2023-03-07: Highest Volume — 331 contracts
  • 2023-03-10: Largest IV spike — 83.6% change
  • 2023-03-10: Highest IV Rank — 89.4%
  • 2023-03-03: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.76$56.72$60.83$60.83$60.59
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV39.1%22.6%66.2%37.4%31.4%
Expected Move9.7%6.5%13.7%10.7%9.0%
HV 20d24.9%20.3%29.7%29.7%25.8%
HV 60d35.1%34.1%36.1%35.7%34.2%
IV Rank29.4%0.0%89.4%20.3%18.2%
IV Percentile44.9%0.0%99.6%45.6%9.9%
Term Structure-0.4%-18.0%9.7%-6.0%4.4%
VWIV33.1%25.6%55.2%37.3%28.0%
Skew 25d8.0%1.1%19.8%7.9%6.2%
Skew 10d14.0%-9.6%86.5%14.2%10.2%
Call IV 25d30.7%25.3%34.4%30.5%28.7%
Put IV 25d38.7%31.5%48.9%38.4%34.9%
Bid-Ask Spread %88.6868.25107.4787.0784.22
Gamma HHI0.530.460.650.550.65
Net GEX48.4K23.7K100.7K64.0K65.5K
Net DEX-451.8K-906.6K58.0K-677.6K-721.9K
Net VEX-4.2K-5.8K-3.2K-4.7K-3.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.190.002.400.000.07
Total Volume47.21723311831
Total OI941.2177541,283858763

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-03-01$60.83$60.0037.4%10.7%29.7%20.3%37.3%7.9%-6.0%64.0K-677.6K-4.7K0.0087.07018586272
2023-03-02$60.19$60.0035.6%10.2%26.4%17.4%37.8%6.7%-10.0%42.4K-413.1K-4.3K0.0068.2550586289
2023-03-03$60.38$60.0047.9%13.7%26.4%37.7%25.9%4.7%-18.0%43.1K-497.9K-4.4K0.00107.47280591289
2023-03-06$60.31$60.0045.7%8.7%26.3%34.1%0.0%14.5%2.5%58.8K-609.7K-4.5K0.0088.7020600289
2023-03-07$59.97$60.0047.8%8.3%26.4%46.2%29.1%19.8%2.1%51.7K-545.4K-4.1K0.0091.953301600289
2023-03-08$60.39$60.0037.0%8.6%26.4%24.2%27.5%4.0%2.6%100.7K-906.6K-5.8K0.0186.391761914290
2023-03-09$59.55$60.0036.1%9.4%26.3%23.9%28.7%14.1%0.9%78.6K-805.1K-5.8K0.0489.861104992291
2023-03-10$57.74$60.0066.2%7.8%27.5%89.4%28.7%11.6%-5.9%83.2K-750.2K-5.6K0.0396.70933925290
2023-03-13$57.45$60.0061.6%11.3%24.5%79.4%33.6%7.5%1.0%62.0K-436.9K-4.9K0.1991.26265901291
2023-03-14$58.50$60.0048.9%9.2%20.3%51.6%32.4%6.2%1.6%43.9K-411.4K-4.5K2.4094.11512898278
2023-03-15$56.89$60.0037.0%10.6%21.8%25.9%32.9%8.2%-0.3%37.6K-100.4K-4.0K0.1689.40254899279
2023-03-16$57.97$60.0041.7%12.0%23.6%36.2%30.7%11.3%-15.7%35.1K-325.5K-4.6K0.03100.00331905280
2023-03-17$56.72$60.0037.4%10.7%24.3%26.8%32.4%10.4%-2.3%27.8K58.0K-3.6K0.2593.5282914279
2023-03-20$58.02$60.0034.3%9.8%26.4%20.0%32.5%5.7%4.1%38.3K-377.6K-3.9K0.1681.406110581185
2023-03-21$58.47$60.0031.3%9.0%23.1%13.4%31.4%5.1%2.8%41.0K-407.4K-3.9K0.0678.47322588191
2023-03-22$57.95$60.0029.5%8.5%23.2%9.7%36.8%4.4%7.5%32.5K-362.8K-3.7K0.0992.99111568193
2023-03-23$57.32$60.0036.3%10.4%23.3%24.3%32.5%2.0%3.3%23.7K-219.9K-3.4K0.1183.2391570194
2023-03-24$57.29$60.0033.6%9.6%23.0%18.5%44.2%2.4%9.7%24.6K-197.6K-3.3K0.0096.54150572195
2023-03-27$58.31$60.0035.5%10.2%23.9%22.6%33.5%1.1%-0.2%31.8K-338.2K-3.5K0.0080.6850559195
2023-03-28$57.94$60.0031.9%9.2%24.0%14.9%55.2%5.1%4.0%24.8K-240.6K-3.2K0.0081.1060562195
2023-03-29$59.06$60.0022.6%6.5%25.1%0.0%25.6%9.7%3.6%44.8K-476.3K-3.5K0.0088.7640564195
2023-03-30$59.66$60.0032.5%9.3%25.2%20.5%31.0%15.1%-0.2%56.1K-628.2K-3.7K0.5087.6242566195
2023-03-31$60.59$60.0031.4%9.0%25.8%18.2%28.0%6.2%4.4%65.5K-721.9K-3.7K0.0784.22292566197