SANM Options History — December 2023

In December 2023, SANM traded between $49.08 and $52.94. ATM implied volatility averaged 25.3%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded below realized volatility by 3.1% (HV 20d: 28.3%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 1.90.

Notable Days

2023-12-28: Highest Volume — 127 contracts
2023-12-13: Largest IV drop — 28.9% change
2023-12-12: Highest IV Rank — 32.3%
2023-12-22: Largest Expected Move — 8.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$51.27	$49.08	$52.94	$50.36	$51.56
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	25.3%	20.3%	33.2%	23.8%	25.2%
Expected Move	6.9%	5.8%	8.0%	6.8%	7.2%
HV 20d	28.3%	20.0%	62.7%	62.7%	22.1%
HV 60d	39.7%	39.3%	40.5%	39.4%	39.4%
IV Rank	15.9%	5.8%	32.3%	12.9%	15.9%
IV Percentile	12.6%	0.4%	48.4%	5.2%	13.5%
Term Structure	7.3%	-0.2%	18.8%	-0.2%	9.9%
VWIV	23.6%	16.5%	27.7%	23.8%	24.9%
Skew 25d	3.6%	-1.1%	17.5%	3.4%	-0.4%
Skew 10d	5.8%	-17.6%	37.6%	4.7%	-1.3%
Call IV 25d	23.1%	20.0%	28.8%	20.1%	25.0%
Put IV 25d	26.7%	22.4%	46.3%	23.5%	24.6%
Bid-Ask Spread %	70.55	36.17	105.00	89.21	44.13
Gamma HHI	0.30	0.25	0.42	0.28	0.26
Net GEX	9.8K	-16.0K	46.9K	-11.1K	-5.4K
Net DEX	-94.8K	-1.0M	568.0K	311.4K	65.7K
Net VEX	-6.6K	-7.0K	-6.1K	-6.9K	-7.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.00	20.00	1.25	0.02
Total Volume	27.85	0	127	18	61
Total OI	1,281.6	1,012	1,488	1,372	1,209

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
2023-12-01	$50.36	$50.00	23.8%	6.8%	62.7%	12.9%	23.8%	3.4%	-0.2%	-11.1K	311.4K	-6.9K	1.25	89.21	8	10	688	684
2023-12-04	$50.23	$50.00	23.3%	6.7%	61.7%	11.9%	0.0%	4.6%	4.4%	-10.5K	342.2K	-6.8K	0.00	100.24	0	0	691	674
2023-12-05	$49.79	$50.00	22.6%	6.7%	61.6%	10.5%	23.8%	17.5%	5.0%	-16.0K	452.6K	-6.5K	0.08	105.00	100	8	691	674
2023-12-06	$49.19	$50.00	25.9%	6.6%	26.9%	17.2%	24.7%	7.7%	4.9%	6.5K	459.8K	-6.9K	0.67	104.33	3	2	784	674
2023-12-07	$49.08	$50.00	26.3%	6.8%	23.9%	18.2%	16.5%	2.8%	4.0%	2.9K	568.0K	-6.8K	0.17	36.17	6	1	787	674
2023-12-08	$49.87	$50.00	23.5%	6.4%	24.3%	12.3%	0.0%	3.3%	6.2%	22.2K	244.7K	-7.0K	20.00	93.92	2	40	788	674
2023-12-11	$50.68	$50.00	28.1%	6.6%	24.1%	21.8%	22.8%	2.6%	4.9%	43.0K	-196.1K	-6.8K	0.00	67.12	18	0	805	654
2023-12-12	$50.14	$50.00	33.2%	6.4%	24.6%	32.3%	23.7%	2.5%	5.4%	46.9K	16.4K	-6.7K	0.56	47.85	9	5	821	654
2023-12-13	$51.45	$50.00	23.6%	6.8%	20.0%	12.6%	24.5%	3.8%	4.2%	6.0K	-661.8K	-6.5K	0.13	97.41	8	1	825	657
2023-12-14	$52.94	$50.00	24.0%	6.9%	22.2%	13.3%	18.1%	-1.1%	9.1%	44.7K	-1.0M	-6.3K	0.75	39.49	8	6	829	657
2023-12-15	$51.53	$50.00	24.5%	7.0%	22.5%	14.4%	22.5%	2.9%	8.1%	-2.8K	-706.7K	-6.4K	0.00	87.78	8	0	828	660
2023-12-18	$52.09	$50.00	23.4%	6.7%	21.8%	12.1%	23.1%	1.9%	9.1%	2.2K	-150.5K	-6.1K	0.36	97.62	22	8	477	535
2023-12-19	$52.41	$50.00	24.8%	7.1%	21.8%	15.1%	22.9%	2.9%	11.2%	6.7K	-215.3K	-6.2K	1.33	85.89	12	16	490	542
2023-12-20	$52.19	$50.00	20.3%	5.8%	20.9%	5.8%	23.6%	2.6%	18.8%	2.1K	-169.8K	-6.2K	0.00	54.47	23	0	499	557
2023-12-21	$52.19	$50.00	25.8%	7.4%	20.9%	17.0%	25.2%	2.6%	9.4%	6.7K	-193.4K	-6.4K	0.60	37.40	5	3	516	557
2023-12-22	$52.45	$50.00	27.8%	8.0%	20.8%	21.1%	25.3%	3.5%	9.2%	9.1K	-253.9K	-6.5K	0.00	45.74	28	0	519	557
2023-12-26	$52.87	$50.00	24.6%	7.0%	20.9%	14.5%	26.7%	4.8%	9.0%	20.2K	-375.5K	-6.4K	0.25	43.91	4	1	540	557
2023-12-27	$52.16	$50.00	27.8%	8.0%	21.5%	21.1%	27.7%	1.9%	8.3%	12.1K	-222.9K	-6.4K	0.33	97.18	3	1	544	558
2023-12-28	$52.20	$50.00	26.7%	7.7%	21.5%	18.9%	25.0%	1.8%	5.5%	10.2K	-198.3K	-6.3K	9.58	36.20	12	115	544	558
2023-12-29	$51.56	$50.00	25.2%	7.2%	22.1%	15.9%	24.9%	-0.4%	9.9%	-5.4K	65.7K	-7.0K	0.02	44.13	60	1	542	667