SANM Options History — May 2023

In May 2023, SANM traded between $49.55 and $54.98. ATM implied volatility averaged 38.2%, placing in the 32.2% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 12.8% (HV 20d: 25.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.24.

Notable Days

  • 2023-05-11: Highest Volume — 586 contracts
  • 2023-05-10: Largest IV drop — 43.1% change
  • 2023-05-09: Highest IV Rank — 79.0%
  • 2023-05-02: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.26$49.55$54.98$52.22$52.84
Max Pain$50.68$50.00$55.00$55.00$50.00
ATM IV38.2%24.3%60.9%52.4%31.1%
Expected Move10.0%7.0%15.7%15.0%8.9%
HV 20d25.4%18.0%32.8%18.1%32.8%
HV 60d24.5%21.8%26.5%23.9%26.5%
IV Rank32.2%3.7%79.0%61.5%17.5%
IV Percentile40.4%0.4%98.8%97.2%11.5%
Term Structure-3.5%-19.7%5.3%-13.1%-2.3%
VWIV35.8%24.7%53.5%46.5%37.0%
Skew 25d7.9%-1.7%19.7%10.3%5.0%
Skew 10d13.4%-15.5%32.2%15.1%5.7%
Call IV 25d32.1%17.3%46.2%39.1%30.7%
Put IV 25d40.0%27.0%55.1%49.4%35.7%
Bid-Ask Spread %82.8759.89101.2897.6495.82
Gamma HHI0.360.260.550.350.44
Net GEX9.6K-42.0K45.4K3829.1K
Net DEX-221.0K-956.2K537.6K15.9K-529.0K
Net VEX-2.5K-3.3K-1.9K-1.9K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.009.000.230.90
Total Volume85.59105861619
Total OI666.7733711,117371686

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-05-01$52.22$55.0052.4%15.0%18.1%61.5%46.5%10.3%-13.1%3815.9K-1.9K0.2397.64133228143
2023-05-02$52.10$55.0054.8%15.7%18.1%66.3%51.4%8.9%-11.5%281-30.9K-2.1K2.2288.19920240146
2023-05-03$52.38$55.0053.2%15.3%18.0%63.2%46.1%7.2%-19.7%307-62.8K-2.3K0.0095.64160248163
2023-05-04$51.54$50.0048.7%11.8%18.2%53.9%0.0%6.5%-1.6%1.4K5.0K-2.2K0.0070.66012264163
2023-05-05$52.78$50.0052.9%10.5%19.3%62.4%0.0%14.6%-5.8%4.7K-111.0K-2.4K0.0067.0600264173
2023-05-08$53.23$50.0055.1%10.1%19.3%67.1%53.5%8.0%-2.8%5.6K-120.5K-2.1K5.1164.87946264173
2023-05-09$52.91$50.0060.9%8.2%19.3%79.0%0.0%8.3%-2.2%1.1K-94.5K-2.4K0.0068.8850275218
2023-05-10$53.34$50.0034.7%9.9%19.7%24.9%35.4%8.0%5.3%3.0K-137.7K-2.3K0.2066.61102280218
2023-05-11$53.63$50.0034.9%10.0%19.4%25.5%38.4%7.8%-3.7%4.4K-148.5K-2.2K0.8168.19324262282220
2023-05-12$50.46$50.0028.6%8.2%27.9%12.4%27.5%3.6%-0.8%-42.0K537.6K-2.3K0.8259.89314258585426
2023-05-15$49.60$50.0028.5%8.2%28.2%12.3%29.0%5.2%-0.2%-24.6K343.3K-2.5K0.5862.0710360716338
2023-05-16$49.55$50.0025.9%7.4%28.2%7.0%25.6%8.3%-0.5%7.1K210.4K-2.6K0.0283.27431795322
2023-05-17$50.78$50.0032.2%9.2%30.0%19.9%30.3%15.0%-3.8%11.8K-241.4K-2.8K0.3894.5812849807307
2023-05-18$51.58$50.0037.0%10.6%30.8%29.6%39.5%-1.7%-6.7%7.5K-359.4K-2.5K0.3087.93278752291
2023-05-19$51.27$50.0031.3%9.0%30.7%18.0%30.8%19.7%-2.1%10.2K-429.2K-2.6K0.1593.32335773290
2023-05-22$51.37$50.0029.8%8.5%30.6%14.9%29.1%-0.3%1.2%11.9K-222.7K-2.3K0.0086.71450390170
2023-05-23$52.03$50.0032.9%9.4%28.7%21.3%32.7%6.2%-2.8%22.7K-386.1K-2.6K9.0077.1919420166
2023-05-24$52.88$50.0024.3%7.0%29.3%3.7%24.7%9.6%3.7%26.6K-480.7K-2.7K0.0097.71230421170
2023-05-25$53.74$50.0032.3%9.3%29.7%20.0%0.0%5.4%-4.4%41.0K-763.1K-3.3K0.00100.3810451170
2023-05-26$54.98$50.0033.6%9.6%30.5%22.6%31.8%5.2%-4.4%44.8K-956.2K-3.2K0.0095.25150453170
2023-05-30$54.41$50.0024.9%7.1%30.9%4.8%37.0%12.8%1.2%45.4K-901.4K-3.1K4.00101.2828468170
2023-05-31$52.84$50.0031.1%8.9%32.8%17.5%0.0%5.0%-2.3%29.1K-529.0K-3.2K0.9095.82109468218