SANM Options History — January 2024

In January 2024, SANM traded between $49.22 and $65.07. ATM implied volatility averaged 35.3%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 5.4% (HV 20d: 29.9%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 2.30.

Notable Days

  • 2024-01-30: Highest Volume — 5,669 contracts
  • 2024-01-10: Largest IV spike — 39.2% change
  • 2024-01-29: Highest IV Rank — 62.1%
  • 2024-01-29: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.64$49.22$65.07$50.16$60.00
Max Pain$50.48$50.00$60.00$50.00$60.00
ATM IV35.3%23.1%47.7%23.1%27.6%
Expected Move10.8%6.6%13.7%6.6%7.9%
HV 20d29.9%19.8%97.0%24.2%97.0%
HV 60d42.4%39.7%67.4%39.7%67.4%
IV Rank36.6%11.5%62.1%11.5%20.6%
IV Percentile58.1%4.8%93.3%4.8%23.4%
Term Structure-5.9%-16.3%12.9%12.9%-0.3%
VWIV38.4%23.1%46.0%23.1%27.8%
Skew 25d3.4%-1.9%24.4%24.4%-1.6%
Skew 10d4.8%-4.1%40.2%40.2%-2.4%
Call IV 25d37.3%21.8%51.0%26.4%29.5%
Put IV 25d40.7%21.1%50.9%50.7%27.9%
Bid-Ask Spread %64.8520.8289.7089.7080.28
Gamma HHI0.280.220.810.300.30
Net GEX-6.0K-32.0K324.3K-25.9K-24.7K
Net DEX-59.3K-7.5M670.8K404.1K364.9K
Net VEX-6.9K-14.7K-5.9K-6.7K-14.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio2.300.0018.670.301.95
Total Volume442.52435,669131,610
Total OI1,359.817424,4401,1874,440

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-01-02$50.16$50.0023.1%6.6%24.2%11.5%23.1%24.4%12.9%-25.9K404.1K-6.7K0.3089.70103519668
2024-01-03$49.39$50.0026.6%7.6%24.8%18.7%26.6%-0.7%2.7%-31.8K548.2K-6.7K0.5087.1142524669
2024-01-04$49.84$50.0025.9%9.8%24.9%17.2%40.5%-1.4%-2.9%-28.3K466.6K-6.6K0.2974.0472527669
2024-01-05$50.11$50.0024.8%10.0%24.5%14.9%0.0%12.2%-4.4%-25.1K374.2K-6.5K0.1479.47142532667
2024-01-08$50.77$50.0026.3%11.3%24.9%18.1%0.0%3.1%-4.5%-16.1K162.9K-6.4K0.0073.7230546665
2024-01-09$49.77$50.0024.8%11.3%25.4%15.1%39.7%4.2%-9.9%-25.0K413.9K-6.3K1.5075.9346543665
2024-01-10$49.94$50.0034.6%9.9%24.7%35.1%0.0%2.9%-3.9%-24.5K399.7K-6.4K4.0068.33312547671
2024-01-11$50.30$50.0035.7%10.2%24.5%37.4%0.0%2.6%-5.7%-21.1K275.2K-6.2K0.1875.08112548671
2024-01-12$50.86$50.0035.5%10.2%23.0%37.1%0.0%-1.9%-7.5%-17.3K88.5K-6.1K0.0076.09150544669
2024-01-16$50.33$50.0039.2%11.2%20.5%44.5%38.6%4.9%-7.6%-21.0K273.3K-6.0K12.2574.73449551669
2024-01-17$49.22$50.0039.8%11.4%19.8%45.8%0.0%3.7%-7.6%-21.2K670.8K-6.1K0.3054.94103555710
2024-01-18$50.20$50.0039.7%11.4%20.8%45.6%38.2%4.0%-14.8%-15.8K259.5K-6.2K1.6754.8535565713
2024-01-19$50.93$50.0040.1%11.5%21.4%46.3%40.1%2.9%-6.1%-19.9K-171.7K-6.0K0.0062.29310568713
2024-01-22$51.86$50.0041.5%11.9%22.5%49.4%40.3%3.0%-7.8%-14.4K190.8K-5.9K0.0344.54331221521
2024-01-23$51.63$50.0039.6%11.4%22.5%45.4%42.6%-0.8%-6.6%-12.6K173.1K-5.9K1.6759.503050245522
2024-01-24$51.55$50.0043.6%12.5%22.4%53.5%45.0%3.7%-9.3%-17.3K201.1K-6.2K18.6774.57356275610
2024-01-25$51.46$50.0043.5%12.5%22.2%53.3%43.1%1.7%-8.9%-25.1K287.6K-6.4K2.6753.971232277664
2024-01-26$50.44$50.0044.2%12.7%22.8%54.9%46.0%2.4%-8.8%-32.0K446.4K-6.8K1.7936.103359290693
2024-01-29$50.64$50.0047.7%13.7%22.9%62.1%45.2%-0.1%-16.3%-30.6K385.1K-7.4K0.0945.731,375125376849
2024-01-30$65.07$50.0038.2%11.0%92.1%42.5%38.8%3.2%-5.7%324.3K-7.5M-9.4K0.4120.824,0131,6561,6641,021
2024-01-31$60.00$60.0027.6%7.9%97.0%20.6%27.8%-1.6%-0.3%-24.7K364.9K-14.7K1.9580.285461,0642,3182,122