SANM Options History — August 2023

In August 2023, SANM traded between $54.04 and $57.64. ATM implied volatility averaged 31.0%, placing in the 17.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 2.1% (HV 20d: 33.1%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 15 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 1.90.

Notable Days

  • 2023-08-21: Highest Volume — 123 contracts
  • 2023-08-02: Largest IV spike — 53.2% change
  • 2023-08-03: Highest IV Rank — 31.3%
  • 2023-08-02: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.23$54.04$57.64$57.64$55.95
Max Pain$51.09$50.00$60.00$60.00$50.00
ATM IV31.0%24.5%37.8%24.5%29.8%
Expected Move8.7%7.0%10.8%7.0%8.6%
HV 20d33.1%15.5%42.3%40.3%15.5%
HV 60d31.9%29.7%34.3%33.6%29.7%
IV Rank17.4%4.0%31.3%4.0%15.0%
IV Percentile22.2%2.0%60.3%2.0%16.7%
Term Structure-0.6%-10.2%8.0%-0.5%0.4%
VWIV31.8%26.6%44.4%26.6%29.8%
Skew 25d2.8%-16.4%10.7%10.0%2.8%
Skew 10d9.9%-22.2%43.4%43.4%4.9%
Call IV 25d32.3%25.7%56.7%25.7%28.0%
Put IV 25d35.2%30.8%43.0%35.6%30.8%
Bid-Ask Spread %97.6090.75108.05100.03103.64
Gamma HHI0.320.250.430.380.28
Net GEX7.0K-12.0K35.7K35.7K13.6K
Net DEX-206.8K-513.6K98.1K-313.2K-468.2K
Net VEX-3.1K-4.0K-2.4K-2.6K-4.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.900.0010.001.6510.00
Total Volume27.5222123612
Total OI747.783414900769616

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-08-01$57.64$60.0024.5%7.0%40.3%4.0%26.6%10.0%-0.5%35.7K-313.2K-2.6K1.65100.032338607162
2023-08-02$55.42$60.0037.6%10.8%42.3%30.9%31.5%8.3%-7.2%12.5K-30.6K-2.7K4.00102.161768617190
2023-08-03$54.86$55.0037.8%8.1%42.3%31.3%32.7%6.3%-0.1%-2.4K59.2K-2.9K0.0098.50280614228
2023-08-04$55.20$50.0035.9%9.2%41.6%27.6%0.0%8.6%-0.6%-1.1K-37.4K-3.1K0.0096.2970634228
2023-08-07$55.20$50.0032.6%8.7%41.2%20.6%31.5%4.2%-0.5%-9.6K10.0K-2.8K0.0991.81464643238
2023-08-08$54.75$50.0034.7%9.2%40.6%25.0%0.0%-5.2%-3.5%-8.5K62.9K-2.7K0.4495.3294658238
2023-08-09$55.50$50.0031.8%9.1%40.2%19.1%37.2%1.5%-0.6%3.6K-192.4K-3.0K2.5095.29615659215
2023-08-10$55.24$50.0027.9%8.0%39.3%11.0%28.9%6.0%-0.3%-5.3K-166.9K-2.7K2.3397.9537665210
2023-08-11$55.20$50.0033.7%9.7%34.7%23.0%29.7%7.8%-10.2%-4.2K-156.2K-2.9K0.0098.1440666214
2023-08-14$55.02$50.0029.7%8.5%34.7%14.7%0.0%5.8%2.4%-12.0K-107.5K-2.5K0.00102.2490667214
2023-08-15$54.98$50.0029.0%8.3%34.3%13.4%0.0%3.8%0.1%5.0K-167.5K-2.8K0.0090.75250673214
2023-08-16$54.04$50.0031.4%9.0%34.5%18.2%0.0%2.2%8.0%-3.3K-51.6K-2.6K0.0094.81360661214
2023-08-17$54.07$50.0032.2%9.2%30.9%19.8%31.6%5.7%-2.7%11.2K-74.0K-2.5K1.3398.7568676214
2023-08-18$54.39$50.0032.0%9.2%31.0%19.3%32.5%3.1%-2.5%7.3K98.1K-2.4K5.0097.82315682218
2023-08-21$54.36$50.0027.4%7.9%30.3%10.0%27.6%10.7%0.3%6.5K-189.9K-2.4K0.7893.726954283131
2023-08-22$55.17$50.0029.4%8.4%29.8%14.0%44.4%-16.4%-0.0%7.8K-323.9K-3.3K0.1799.69366340185
2023-08-23$55.65$50.0029.1%8.3%30.1%13.5%29.5%-14.1%0.5%13.9K-438.6K-3.5K0.1296.78496361185
2023-08-24$54.61$50.0026.4%7.6%30.5%7.8%33.4%4.6%4.5%16.0K-376.9K-3.9K0.5091.0121405186
2023-08-25$55.20$50.0029.2%8.4%30.8%13.7%0.0%-0.6%1.1%16.9K-437.9K-4.0K1.0096.7411406187
2023-08-28$56.00$50.0029.6%8.5%29.9%14.5%29.7%-1.5%-0.1%19.6K-499.5K-3.8K0.0097.1803406188
2023-08-29$56.30$50.0028.9%8.3%20.8%13.0%0.0%5.8%0.8%20.5K-513.6K-3.8K10.0098.19110406189
2023-08-30$55.63$50.0033.2%9.5%15.9%21.9%0.0%5.5%-3.0%16.8K-441.3K-3.7K10.00108.05110407199
2023-08-31$55.95$50.0029.8%8.6%15.5%15.0%29.8%2.8%0.4%13.6K-468.2K-4.0K0.00103.6402407209