SANM Options History — November 2023

In November 2023, SANM traded between $45.20 and $53.41. ATM implied volatility averaged 27.9%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded below realized volatility by 26.4% (HV 20d: 54.2%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 3.14.

Notable Days

  • 2023-11-07: Highest Volume — 706 contracts
  • 2023-11-07: Largest IV drop — 44.8% change
  • 2023-11-06: Highest IV Rank — 76.2%
  • 2023-11-01: Largest Expected Move — 12.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.56$45.20$53.41$51.28$50.00
Max Pain$50.00$50.00$50.00$50.00$50.00
ATM IV27.9%17.5%55.8%41.8%23.1%
Expected Move7.5%5.0%12.0%12.0%6.6%
HV 20d54.2%19.1%63.7%19.1%62.8%
HV 60d35.9%20.3%40.2%20.3%39.6%
IV Rank18.5%0.0%76.2%44.1%11.4%
IV Percentile20.3%0.0%98.0%84.1%3.6%
Term Structure-0.8%-9.5%2.4%-9.5%0.3%
VWIV26.1%13.3%39.3%39.3%22.6%
Skew 25d5.1%-9.2%28.2%28.2%0.9%
Skew 10d10.5%-18.1%62.3%62.3%1.2%
Call IV 25d24.8%17.9%40.0%40.0%20.5%
Put IV 25d29.9%21.4%68.1%68.1%21.4%
Bid-Ask Spread %62.7836.80100.4581.7952.07
Gamma HHI0.410.260.850.260.28
Net GEX52.3K-62.4K479.6K12.8K-19.2K
Net DEX25.9K-1.7M1.9M-134.0K434.0K
Net VEX-5.8K-8.6K-3.4K-5.0K-7.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio3.140.0015.670.120.00
Total Volume153.19370640118
Total OI1,599.9528611,9728611,382

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-11-01$51.28$50.0041.8%12.0%19.1%44.1%39.3%28.2%-9.5%12.8K-134.0K-5.0K0.1281.7935942490371
2023-11-02$51.96$50.0042.8%10.5%19.7%46.4%33.2%5.3%-6.0%121.9K-1.2M-8.4K0.0068.271601,224402
2023-11-03$53.41$50.0041.3%9.5%21.9%43.0%33.7%4.0%-3.5%148.0K-1.7M-8.6K0.5871.603171851,176402
2023-11-06$52.62$50.0055.8%10.4%21.9%76.2%36.4%9.8%-7.2%77.0K-1.0M-7.5K0.5382.85291153988543
2023-11-07$45.20$50.0030.8%7.4%57.8%18.9%26.6%3.4%1.0%-62.4K1.9M-3.4K1.0762.953413651,214656
2023-11-08$46.93$50.0025.8%7.4%59.8%7.3%27.4%1.7%-0.0%18.9K237.4K-4.3K0.1769.38273471,501471
2023-11-09$46.84$50.0026.7%7.6%59.8%9.4%23.0%6.0%2.4%6.6K368.3K-4.3K0.0580.962211,479473
2023-11-10$47.72$50.0024.4%7.0%60.3%4.2%25.5%5.0%1.6%38.2K170.0K-4.6K0.6457.0122141,477472
2023-11-13$47.67$50.0017.5%5.0%60.2%0.0%21.5%6.0%2.3%-8.5K221.7K-4.2K0.0045.897701,489482
2023-11-14$50.00$50.0022.6%6.5%63.1%10.5%24.7%5.0%0.8%187.9K-750.8K-4.5K0.2986.6972211,452482
2023-11-15$50.05$50.0023.1%6.6%62.9%11.5%0.0%3.8%0.6%191.0K-732.4K-4.4K0.3357.11621,432469
2023-11-16$48.80$50.0022.8%6.5%63.2%10.9%22.8%2.2%2.2%40.1K33.3K-3.8K13.3385.473401,428467
2023-11-17$49.78$50.0022.1%6.3%63.7%9.4%22.1%2.9%0.9%479.6K-208.6K-4.1K1.4238.5645641,427507
2023-11-20$50.03$50.0022.4%6.4%63.7%10.0%22.3%4.3%1.2%-2.0K69.8K-5.1K0.6736.805738634483
2023-11-21$49.25$50.0022.5%6.5%63.7%10.3%22.5%-9.2%0.8%-11.2K281.1K-5.3K13.43100.4514188682500
2023-11-22$49.67$50.0022.9%6.6%63.5%11.2%13.3%9.0%0.5%-23.3K519.8K-7.5K4.0040.731144672681
2023-11-24$50.02$50.0024.3%7.0%63.2%13.9%29.0%8.9%-1.3%-24.3K485.4K-7.8K2.5043.5825683723
2023-11-27$50.02$50.0023.6%6.8%63.0%12.5%23.6%8.8%0.0%-23.1K510.0K-7.7K8.0038.7018683718
2023-11-28$49.75$50.0022.6%6.5%63.0%10.5%22.6%1.8%0.4%-29.0K587.9K-7.4K15.6761.75347684721
2023-11-29$49.75$50.0026.2%7.5%62.8%18.0%0.0%0.3%-4.4%-21.3K469.4K-7.2K0.0055.7730685694
2023-11-30$50.00$50.0023.1%6.6%62.8%11.4%0.0%0.9%0.3%-19.2K434.0K-7.1K0.0052.07018688694