SANM Options History — September 2023

In September 2023, SANM traded between $52.03 and $56.05. ATM implied volatility averaged 31.2%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded above realized volatility by 10.7% (HV 20d: 20.4%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 1.27.

Notable Days

2023-09-28: Highest Volume — 103 contracts
2023-09-05: Largest IV spike — 92.1% change
2023-09-05: Highest IV Rank — 83.0%
2023-09-01: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.23	$52.03	$56.05	$56.05	$54.30
Max Pain	$54.75	$50.00	$55.00	$50.00	$55.00
ATM IV	31.2%	24.8%	62.9%	32.7%	32.2%
Expected Move	8.2%	7.1%	9.4%	9.4%	9.2%
HV 20d	20.4%	15.4%	25.6%	15.4%	25.6%
HV 60d	28.7%	27.9%	29.6%	28.8%	29.6%
IV Rank	18.5%	5.1%	83.0%	20.9%	22.0%
IV Percentile	21.9%	2.4%	99.2%	28.2%	32.5%
Term Structure	2.6%	-10.5%	8.6%	0.6%	1.0%
VWIV	28.5%	20.5%	40.7%	26.0%	32.2%
Skew 25d	4.6%	-1.2%	23.5%	5.6%	23.5%
Skew 10d	11.6%	-13.0%	36.9%	8.5%	36.9%
Call IV 25d	27.2%	21.7%	35.1%	27.8%	35.1%
Put IV 25d	31.9%	27.4%	58.6%	33.4%	58.6%
Bid-Ask Spread %	83.81	50.08	102.46	101.58	102.46
Gamma HHI	0.27	0.24	0.33	0.29	0.28
Net GEX	6.7K	-6.9K	17.3K	15.4K	11.7K
Net DEX	-176.2K	-554.7K	76.3K	-470.1K	-407.7K
Net VEX	-3.7K	-4.5K	-3.0K	-3.7K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.27	0.00	9.00	0.00	1.60
Total Volume	25.4	1	103	6	26
Total OI	666.7	604	784	614	784

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
2023-09-01	$56.05	$50.00	32.7%	9.4%	15.4%	20.9%	26.0%	5.6%	0.6%	15.4K	-470.1K	-3.7K	0.00	101.58	0	6	407	207
2023-09-05	$54.27	$55.00	62.9%	8.7%	19.4%	83.0%	20.5%	3.1%	-10.5%	10.2K	-255.9K	-3.6K	0.00	97.06	2	0	407	208
2023-09-06	$54.18	$55.00	28.4%	7.6%	19.2%	12.0%	25.9%	8.1%	1.1%	8.4K	-168.9K	-3.2K	0.00	89.01	0	1	406	208
2023-09-07	$53.17	$55.00	33.1%	7.8%	19.5%	21.7%	0.0%	9.0%	1.9%	4.9K	-96.8K	-3.1K	0.00	95.44	30	0	406	199
2023-09-08	$53.06	$55.00	37.7%	7.6%	19.4%	31.2%	40.7%	3.8%	2.3%	17.2K	-171.6K	-3.4K	0.00	100.42	16	0	436	199
2023-09-11	$53.08	$55.00	27.8%	7.3%	19.4%	10.7%	34.4%	4.6%	2.8%	16.2K	-159.5K	-3.0K	0.00	88.26	50	0	451	199
2023-09-12	$52.19	$55.00	29.2%	8.5%	20.2%	13.7%	26.0%	4.6%	-1.4%	2.8K	-188.9K	-3.2K	4.25	92.05	8	34	469	189
2023-09-13	$52.25	$55.00	30.0%	8.6%	20.2%	15.2%	0.0%	5.6%	-1.2%	11.4K	-141.8K	-3.4K	1.08	66.73	26	28	471	199
2023-09-14	$52.95	$55.00	25.5%	7.3%	20.2%	6.0%	0.0%	0.7%	5.4%	10.6K	-196.9K	-3.6K	0.86	53.87	7	6	485	224
2023-09-15	$52.03	$55.00	28.3%	8.1%	21.0%	13.1%	32.5%	4.7%	2.2%	-6.9K	16.0K	-3.0K	4.67	67.64	6	28	486	230
2023-09-18	$52.38	$55.00	28.8%	8.2%	21.0%	14.2%	0.0%	6.7%	5.2%	-6.6K	76.3K	-3.5K	0.09	64.87	11	1	366	238
2023-09-19	$53.13	$55.00	24.8%	7.1%	21.8%	5.1%	24.6%	4.5%	4.9%	-4.0K	-83.5K	-3.9K	0.00	61.01	25	0	377	239
2023-09-20	$52.68	$55.00	27.9%	8.0%	21.1%	12.3%	25.1%	1.6%	6.1%	910	-51.4K	-4.0K	0.09	90.58	46	4	401	239
2023-09-21	$53.09	$55.00	26.5%	7.6%	21.0%	9.1%	0.0%	0.9%	5.3%	6.3K	-168.4K	-4.3K	0.17	50.08	18	3	442	240
2023-09-22	$52.74	$55.00	29.1%	8.3%	20.2%	15.0%	28.1%	-1.2%	8.6%	7.3K	-165.7K	-4.3K	9.00	93.73	1	9	456	239
2023-09-25	$52.93	$55.00	28.4%	8.1%	19.7%	13.3%	31.0%	-0.5%	2.7%	4.9K	-160.9K	-4.3K	0.00	89.78	1	0	457	248
2023-09-26	$52.10	$55.00	30.8%	8.8%	19.3%	18.8%	23.1%	3.7%	4.6%	1.3K	-22.1K	-4.0K	1.00	88.83	3	3	458	248
2023-09-27	$52.94	$55.00	29.0%	8.3%	20.3%	14.8%	28.7%	1.9%	3.8%	5.1K	-152.2K	-4.1K	0.00	87.07	6	0	457	251
2023-09-28	$55.13	$55.00	30.8%	8.8%	25.2%	18.9%	29.5%	1.5%	5.8%	17.3K	-554.7K	-4.5K	0.05	95.81	98	5	457	251
2023-09-29	$54.30	$55.00	32.2%	9.2%	25.6%	22.0%	32.2%	23.5%	1.0%	11.7K	-407.7K	-4.3K	1.60	102.46	10	16	538	246