SANM Options History — October 2023

In October 2023, SANM traded between $50.13 and $54.49. ATM implied volatility averaged 36.7%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 14.4% (HV 20d: 22.3%). 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 4.82.

Notable Days

  • 2023-10-25: Highest Volume — 144 contracts
  • 2023-10-09: Largest IV drop — 21.7% change
  • 2023-10-31: Highest IV Rank — 54.9%
  • 2023-10-31: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.32$50.13$54.49$53.89$50.98
Max Pain$50.68$50.00$55.00$55.00$50.00
ATM IV36.7%29.0%46.5%30.7%46.5%
Expected Move10.6%8.3%13.3%8.8%13.3%
HV 20d22.3%18.3%25.7%25.7%19.3%
HV 60d25.0%20.1%29.3%29.3%20.3%
IV Rank32.3%14.8%54.9%18.6%54.9%
IV Percentile56.7%15.5%89.3%23.4%89.3%
Term Structure-4.1%-12.9%4.9%4.2%-9.1%
VWIV37.2%29.1%47.7%31.8%47.7%
Skew 25d6.5%-6.3%29.4%-2.3%-6.3%
Skew 10d9.3%-12.8%23.0%-0.8%-12.8%
Call IV 25d35.6%21.6%44.5%31.7%44.5%
Put IV 25d42.1%29.4%64.5%29.4%38.2%
Bid-Ask Spread %71.7154.4196.3696.3669.82
Gamma HHI0.310.240.540.300.29
Net GEX5.0K-34.4K15.7K12.3K4.0K
Net DEX-156.7K-480.2K107.9K-357.9K30.2K
Net VEX-4.3K-5.3K-3.7K-4.3K-4.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.820.0071.000.000.00
Total Volume37.3180144046
Total OI817.182619904794823

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-10-02$53.89$55.0030.7%8.8%25.7%18.6%0.0%-2.3%4.2%12.3K-357.9K-4.3K0.0096.3600542252
2023-10-03$53.89$55.0035.0%10.0%23.0%28.6%31.8%3.4%1.3%13.0K-347.5K-4.4K0.0056.931070542252
2023-10-04$53.19$55.0029.0%8.3%23.5%14.8%29.1%3.5%4.9%7.5K-275.6K-4.1K1.0095.1866532252
2023-10-05$52.81$50.0032.8%10.2%22.7%23.4%38.6%6.6%-5.5%4.8K-225.2K-4.3K0.0070.8840535257
2023-10-06$53.26$50.0037.3%9.7%22.9%33.6%0.0%4.5%-3.2%1.2K-201.6K-3.9K0.0067.12130537257
2023-10-09$54.00$50.0029.2%9.7%23.4%15.1%37.3%4.6%-3.1%14.9K-438.9K-3.9K11.6769.09670548257
2023-10-10$53.91$50.0029.6%9.7%22.4%16.1%33.0%13.1%-4.9%8.8K-327.9K-4.3K1.0081.571111547307
2023-10-11$54.49$50.0035.6%10.2%22.7%29.9%36.2%0.4%-12.9%12.7K-480.2K-4.3K1.5558.272031538305
2023-10-12$54.07$50.0033.9%9.7%22.5%25.9%33.9%15.8%-3.6%15.1K-422.4K-4.5K2.0077.2912555308
2023-10-13$53.02$50.0033.6%9.6%22.7%25.4%36.0%7.6%-3.8%1.7K-112.0K-3.8K0.7978.691411554307
2023-10-16$53.25$50.0034.2%9.8%22.7%26.7%33.4%29.4%-5.6%3.8K-219.8K-4.2K0.5073.6863568318
2023-10-17$52.88$50.0033.1%9.5%22.3%24.1%37.3%5.5%-4.4%6.2K-142.6K-4.1K0.2773.824412564319
2023-10-18$52.03$50.0037.6%10.8%22.8%34.5%0.0%3.9%-6.4%3.2K-23.5K-4.0K0.0075.3530573331
2023-10-19$51.09$50.0040.0%11.5%23.4%39.9%0.0%8.9%1.9%-19.6K107.9K-3.9K0.0065.8100572326
2023-10-20$50.77$50.0039.8%11.4%23.4%39.4%0.0%6.5%-4.4%-34.4K102.5K-3.7K0.0564.35412572326
2023-10-23$50.50$50.0037.6%10.8%23.3%34.5%38.3%4.9%-2.0%11.5K-49.0K-4.0K0.6969.175236413206
2023-10-24$51.09$50.0038.5%11.0%23.3%36.5%38.2%5.1%-4.3%15.7K-109.7K-4.2K5.3373.02632459233
2023-10-25$50.13$50.0042.4%12.2%23.2%45.5%42.4%6.3%-5.2%11.3K-36.5K-4.6K71.0054.412142465265
2023-10-26$51.06$50.0044.3%12.7%18.6%49.8%40.1%8.0%-7.0%7.8K-52.6K-5.3K0.2060.3451466355
2023-10-27$50.42$50.0040.9%11.7%18.4%42.0%33.9%5.4%-8.3%4.0K71.8K-4.8K0.0077.35250471356
2023-10-30$50.31$50.0045.4%13.0%18.3%52.3%44.6%7.7%-7.9%4.4K63.2K-5.0K0.4369.183515457356
2023-10-31$50.98$50.0046.5%13.3%19.3%54.9%47.7%-6.3%-9.1%4.0K30.2K-4.8K0.0069.82460452371