SANM Options History — June 2023

In June 2023, SANM traded between $52.61 and $60.45. ATM implied volatility averaged 31.3%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.5% (HV 20d: 30.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 1.18.

Notable Days

2023-06-20: Highest Volume — 136 contracts
2023-06-07: Largest IV spike — 49.1% change
2023-06-07: Highest IV Rank — 50.9%
2023-06-23: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.09	$52.61	$60.45	$52.61	$60.45
Max Pain	$50.71	$50.00	$55.00	$50.00	$55.00
ATM IV	31.3%	23.1%	47.3%	29.3%	25.5%
Expected Move	8.0%	6.6%	10.1%	8.4%	7.3%
HV 20d	30.8%	26.9%	36.5%	32.8%	26.9%
HV 60d	27.4%	26.5%	28.0%	26.5%	27.4%
IV Rank	18.0%	1.1%	50.9%	13.8%	6.0%
IV Percentile	22.7%	0.4%	84.5%	7.1%	3.2%
Term Structure	2.5%	-4.2%	7.9%	-3.3%	6.1%
VWIV	29.1%	20.7%	41.3%	31.6%	26.4%
Skew 25d	4.2%	-6.5%	17.2%	6.9%	-2.2%
Skew 10d	9.1%	-17.4%	40.4%	4.4%	-3.3%
Call IV 25d	26.8%	20.9%	36.6%	30.6%	27.5%
Put IV 25d	31.0%	24.9%	39.3%	37.5%	25.3%
Bid-Ask Spread %	97.30	86.11	105.14	100.18	100.94
Gamma HHI	0.38	0.32	0.48	0.43	0.48
Net GEX	45.2K	20.5K	64.7K	26.4K	49.7K
Net DEX	-1.3M	-1.8M	-484.7K	-484.7K	-1.8M
Net VEX	-3.1K	-3.8K	-2.5K	-3.3K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.18	0.00	7.40	7.40	0.24
Total Volume	31.19	0	136	42	26
Total OI	790.619	633	858	713	804

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
2023-06-01	$52.61	$50.00	29.3%	8.4%	32.8%	13.8%	0.0%	6.9%	-3.3%	26.4K	-484.7K	-3.3K	7.40	100.18	5	37	478	235
2023-06-02	$54.12	$50.00	31.6%	9.0%	33.6%	18.5%	31.6%	5.5%	-4.2%	24.9K	-711.4K	-3.8K	0.11	96.29	9	1	483	317
2023-06-05	$53.13	$50.00	31.8%	8.0%	33.4%	19.0%	0.0%	3.5%	1.4%	20.5K	-514.1K	-3.7K	0.00	87.93	0	2	492	318
2023-06-06	$54.27	$50.00	31.7%	7.9%	34.1%	18.8%	0.0%	5.3%	1.8%	29.2K	-768.7K	-3.5K	0.25	91.09	8	2	492	320
2023-06-07	$56.22	$50.00	47.3%	8.2%	36.1%	50.9%	29.1%	2.8%	1.6%	41.5K	-1.2M	-3.2K	2.06	88.29	17	35	493	318
2023-06-08	$55.55	$50.00	42.0%	7.8%	36.4%	40.0%	0.0%	-5.0%	2.3%	38.2K	-1.0M	-3.4K	0.00	92.34	0	0	509	324
2023-06-09	$55.33	$50.00	35.7%	7.6%	36.5%	27.1%	0.0%	4.2%	6.7%	40.4K	-1.0M	-3.3K	0.00	95.80	0	2	511	324
2023-06-12	$56.72	$50.00	40.2%	8.5%	28.9%	36.4%	26.8%	5.4%	3.3%	43.6K	-1.2M	-3.1K	1.26	86.11	19	24	511	326
2023-06-13	$57.89	$50.00	43.1%	8.9%	28.0%	42.3%	28.4%	0.6%	0.2%	45.0K	-1.5M	-2.9K	0.21	99.74	39	8	522	321
2023-06-14	$57.92	$50.00	26.1%	7.5%	27.9%	7.3%	26.1%	-6.5%	1.8%	51.6K	-1.6M	-3.0K	0.25	97.65	12	3	537	321
2023-06-15	$59.27	$50.00	25.0%	7.2%	27.8%	5.0%	0.0%	9.2%	6.3%	49.5K	-1.8M	-2.8K	0.00	98.10	11	0	536	321
2023-06-16	$58.38	$50.00	29.3%	8.4%	28.8%	13.8%	20.7%	-1.0%	1.9%	44.4K	-1.6M	-2.8K	0.61	101.00	38	23	531	321
2023-06-20	$59.16	$50.00	26.4%	7.6%	28.5%	7.8%	27.1%	17.2%	5.6%	50.7K	-1.3M	-3.0K	0.00	98.95	136	0	431	202
2023-06-21	$58.73	$50.00	23.1%	6.6%	28.9%	1.1%	29.5%	8.2%	7.9%	59.1K	-1.4M	-3.2K	3.00	97.12	4	12	533	202
2023-06-22	$58.02	$50.00	24.0%	6.9%	29.6%	3.0%	41.3%	4.4%	-1.4%	60.2K	-1.4M	-2.9K	0.00	105.14	8	0	531	181
2023-06-23	$56.80	$50.00	35.4%	10.1%	30.8%	26.3%	35.7%	6.2%	-0.0%	52.1K	-1.2M	-3.4K	0.07	102.75	27	2	557	181
2023-06-26	$57.39	$50.00	32.0%	9.2%	30.5%	19.5%	27.2%	3.2%	1.7%	57.8K	-1.3M	-3.0K	0.00	104.08	14	0	560	182
2023-06-27	$58.17	$50.00	25.3%	7.3%	29.9%	5.7%	31.6%	7.4%	4.5%	64.7K	-1.5M	-3.1K	5.13	98.58	15	77	564	182
2023-06-28	$58.97	$55.00	28.1%	8.1%	29.7%	11.4%	30.6%	8.9%	1.7%	49.7K	-1.4M	-3.0K	0.67	103.83	6	4	555	259
2023-06-29	$59.88	$55.00	25.0%	7.2%	27.2%	4.9%	25.0%	4.7%	6.9%	50.0K	-1.7M	-2.8K	0.00	97.43	29	0	556	262
2023-06-30	$60.45	$55.00	25.5%	7.3%	26.9%	6.0%	26.4%	-2.2%	6.1%	49.7K	-1.8M	-2.5K	0.24	100.94	21	5	542	262