SANM Options History — July 2023

In July 2023, SANM traded between $57.98 and $64.56. ATM implied volatility averaged 34.8%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 6.5% (HV 20d: 28.4%). Max pain ranged from $55.00 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 0.37.

Notable Days

2023-07-31: Highest Volume — 325 contracts
2023-07-21: Largest IV spike — 49.5% change
2023-07-31: Highest IV Rank — 44.5%
2023-07-31: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.59	$57.98	$64.56	$60.09	$61.34
Max Pain	$59.50	$55.00	$60.00	$55.00	$60.00
ATM IV	34.8%	24.4%	44.2%	29.8%	44.2%
Expected Move	10.2%	7.9%	12.7%	8.5%	12.7%
HV 20d	28.4%	20.8%	33.7%	26.0%	33.5%
HV 60d	29.1%	26.7%	31.2%	27.3%	31.1%
IV Rank	25.3%	3.7%	44.5%	14.8%	44.5%
IV Percentile	41.3%	1.6%	80.2%	11.9%	80.2%
Term Structure	-4.2%	-10.1%	3.3%	3.3%	-9.6%
VWIV	41.0%	30.1%	75.6%	75.6%	44.5%
Skew 25d	4.0%	-17.2%	19.3%	-4.7%	-2.8%
Skew 10d	6.6%	-10.2%	42.0%	-4.3%	-6.0%
Call IV 25d	39.0%	30.9%	61.2%	43.6%	45.5%
Put IV 25d	42.9%	32.5%	55.8%	38.9%	42.7%
Bid-Ask Spread %	91.81	79.98	107.56	103.93	79.98
Gamma HHI	0.46	0.31	0.67	0.42	0.34
Net GEX	34.2K	8.8K	52.2K	46.3K	22.9K
Net DEX	-1.4M	-2.2M	-327.6K	-1.6M	-722.9K
Net VEX	-2.3K	-2.6K	-1.7K	-2.6K	-2.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.96	0.33	0.14
Total Volume	44.65	0	325	8	325
Total OI	722.8	390	924	800	532

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
2023-07-03	$60.09	$55.00	29.8%	8.5%	26.0%	14.8%	75.6%	-4.7%	3.3%	46.3K	-1.6M	-2.6K	0.33	103.93	6	2	535	265
2023-07-05	$60.28	$55.00	27.7%	7.9%	24.5%	10.6%	49.5%	19.3%	3.1%	48.1K	-1.7M	-2.3K	0.00	107.56	0	7	538	267
2023-07-06	$59.62	$60.00	24.4%	9.3%	24.6%	3.7%	0.0%	5.3%	-2.5%	52.2K	-1.6M	-2.4K	0.00	84.60	10	0	538	273
2023-07-07	$60.77	$60.00	28.0%	9.4%	22.5%	11.2%	0.0%	5.3%	-2.9%	47.6K	-1.8M	-2.1K	0.00	92.96	0	0	528	273
2023-07-10	$61.47	$60.00	30.1%	9.8%	21.8%	15.6%	34.8%	3.1%	-1.2%	47.0K	-1.9M	-2.0K	0.10	87.48	21	2	528	273
2023-07-11	$62.32	$60.00	37.8%	9.9%	21.7%	31.3%	0.0%	2.5%	-2.5%	48.1K	-2.0M	-2.0K	0.07	86.17	15	1	549	272
2023-07-12	$63.48	$60.00	32.1%	9.2%	21.1%	19.7%	32.0%	-1.8%	-3.7%	38.1K	-2.2M	-1.7K	0.06	87.67	16	1	542	272
2023-07-13	$64.56	$60.00	31.8%	9.1%	20.8%	19.0%	30.1%	-1.6%	-3.6%	43.5K	-2.2M	-1.7K	0.46	86.96	24	11	539	273
2023-07-14	$60.97	$60.00	35.3%	10.1%	30.5%	26.2%	35.7%	5.6%	-5.2%	49.8K	-1.8M	-2.1K	1.96	89.76	24	47	537	284
2023-07-17	$60.67	$60.00	35.4%	10.2%	29.6%	26.5%	35.1%	-0.7%	-3.7%	37.6K	-1.6M	-2.5K	0.00	93.46	9	0	540	328
2023-07-18	$61.27	$60.00	35.7%	10.2%	29.1%	27.0%	34.8%	13.2%	-10.1%	43.0K	-1.7M	-2.4K	0.77	88.68	13	10	540	328
2023-07-19	$60.80	$60.00	38.1%	10.9%	29.0%	32.0%	37.0%	6.2%	-6.3%	39.6K	-1.7M	-2.3K	0.02	92.45	49	1	546	338
2023-07-20	$57.98	$60.00	27.5%	7.9%	33.7%	10.2%	38.8%	14.5%	1.8%	43.9K	-1.2M	-2.2K	0.38	88.02	48	18	550	338
2023-07-21	$58.02	$60.00	41.1%	11.8%	33.5%	38.2%	43.5%	-17.2%	-3.2%	9.7K	-1.3M	-2.3K	0.32	95.12	25	8	575	349
2023-07-24	$58.91	$60.00	39.8%	11.4%	32.9%	35.4%	43.1%	-0.5%	-6.8%	8.8K	-327.6K	-2.3K	0.53	80.30	30	16	275	115
2023-07-25	$60.11	$60.00	40.1%	11.5%	33.4%	36.2%	40.9%	5.5%	-6.1%	11.5K	-449.6K	-2.4K	0.00	97.05	31	0	290	131
2023-07-26	$59.55	$60.00	40.4%	11.6%	33.4%	36.7%	39.4%	3.0%	-7.3%	13.1K	-432.8K	-2.4K	1.50	96.84	10	15	302	131
2023-07-27	$59.65	$60.00	36.9%	10.6%	33.0%	29.5%	42.1%	13.3%	-8.9%	15.3K	-420.6K	-2.5K	0.00	99.22	58	0	308	145
2023-07-28	$59.92	$60.00	40.8%	11.7%	32.6%	37.5%	40.0%	11.4%	-7.7%	18.3K	-506.3K	-2.5K	0.11	97.93	36	4	364	145
2023-07-31	$61.34	$60.00	44.2%	12.7%	33.5%	44.5%	44.5%	-2.8%	-9.6%	22.9K	-722.9K	-2.6K	0.14	79.98	285	40	385	147