SANM Options History — February 2024

In February 2024, SANM traded between $57.91 and $63.27. ATM implied volatility averaged 30.3%, placing in the 26.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 63.8% (HV 20d: 94.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.37.

Notable Days

2024-02-02: Highest Volume — 2,551 contracts
2024-02-26: Largest IV spike — 30.8% change
2024-02-26: Highest IV Rank — 40.1%
2024-02-26: Largest Expected Move — 10.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.51	$57.91	$63.27	$60.12	$63.27
Max Pain	$60.75	$60.00	$65.00	$65.00	$60.00
ATM IV	30.3%	21.6%	37.0%	26.6%	21.6%
Expected Move	8.5%	6.2%	10.6%	7.6%	6.2%
HV 20d	94.0%	37.7%	102.3%	96.6%	37.7%
HV 60d	60.8%	59.0%	67.2%	67.2%	60.9%
IV Rank	26.2%	8.4%	40.1%	18.7%	8.4%
IV Percentile	40.1%	0.8%	71.4%	21.4%	0.8%
Term Structure	-1.0%	-7.7%	4.4%	0.4%	4.4%
VWIV	29.8%	23.5%	37.1%	26.4%	23.5%
Skew 25d	0.9%	-1.3%	7.3%	1.0%	3.1%
Skew 10d	-0.0%	-8.7%	10.9%	2.9%	4.3%
Call IV 25d	29.8%	26.2%	35.9%	26.2%	26.7%
Put IV 25d	30.7%	27.2%	37.6%	27.2%	29.8%
Bid-Ask Spread %	69.06	34.91	83.77	83.77	80.91
Gamma HHI	0.40	0.24	0.54	0.28	0.54
Net GEX	376.9K	-21.3K	902.7K	-21.3K	563.3K
Net DEX	-4.3M	-9.6M	318.6K	318.6K	-8.5M
Net VEX	-31.1K	-38.9K	-15.4K	-15.4K	-38.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.04	1.09	0.84	0.04
Total Volume	499.85	65	2,551	700	423
Total OI	6,596.35	4,837	8,365	4,837	5,731

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
2024-02-01	$60.12	$65.00	26.6%	7.6%	96.6%	18.7%	26.4%	1.0%	0.4%	-21.3K	318.6K	-15.4K	0.84	83.77	380	320	2,563	2,274
2024-02-02	$61.50	$65.00	33.2%	8.5%	96.7%	32.3%	32.0%	-1.3%	-0.9%	100.5K	-1.9M	-22.7K	0.04	83.75	2,457	94	2,780	2,437
2024-02-05	$59.63	$65.00	33.0%	8.0%	97.8%	31.8%	28.4%	0.5%	-0.6%	190.1K	-1.5M	-26.8K	0.16	77.55	1,103	173	4,251	2,460
2024-02-06	$58.30	$60.00	34.0%	8.0%	98.4%	33.9%	29.9%	-0.1%	-0.3%	235.1K	-515.5K	-28.2K	0.78	57.58	121	94	5,180	2,521
2024-02-07	$57.91	$60.00	28.3%	8.1%	98.0%	22.2%	28.6%	0.1%	-0.5%	195.4K	98.6K	-26.7K	0.37	53.03	214	79	5,183	2,517
2024-02-08	$59.09	$60.00	29.0%	8.3%	98.1%	23.7%	29.5%	-0.4%	-0.8%	291.3K	-2.8M	-29.6K	0.12	79.17	228	28	5,261	2,390
2024-02-09	$60.95	$60.00	28.6%	8.2%	98.5%	22.9%	29.8%	1.5%	-0.5%	556.7K	-6.8M	-33.7K	0.25	67.48	210	53	5,485	2,397
2024-02-12	$61.95	$60.00	30.2%	8.7%	98.5%	26.1%	29.7%	0.0%	-2.2%	758.1K	-9.6M	-35.8K	0.04	74.85	692	26	5,716	2,426
2024-02-13	$58.72	$60.00	30.8%	8.8%	100.8%	27.4%	31.2%	0.9%	-1.6%	315.8K	-2.6M	-27.4K	0.18	78.29	1,091	193	5,411	2,435
2024-02-14	$60.11	$60.00	29.7%	8.5%	100.3%	25.1%	30.7%	0.2%	-0.8%	449.7K	-5.2M	-31.1K	0.44	75.10	68	30	5,804	2,561
2024-02-15	$61.31	$60.00	35.3%	10.1%	100.3%	36.5%	37.1%	-1.2%	-3.5%	434.2K	-8.0M	-31.9K	0.17	81.24	136	23	5,788	2,567
2024-02-16	$60.13	$60.00	29.1%	8.3%	100.8%	23.8%	30.0%	0.7%	-1.6%	902.7K	-5.9M	-29.4K	0.35	55.60	274	96	5,779	2,567
2024-02-20	$59.77	$60.00	30.5%	8.7%	100.9%	26.7%	30.7%	0.9%	-2.4%	279.2K	-2.8M	-31.1K	1.09	83.47	54	59	3,498	1,455
2024-02-21	$58.58	$60.00	29.9%	8.6%	101.3%	25.5%	30.0%	1.2%	-1.1%	217.0K	-1.3M	-27.9K	0.05	82.61	284	15	3,511	1,505
2024-02-22	$61.42	$60.00	31.2%	8.9%	102.3%	28.2%	30.2%	1.9%	-1.2%	369.7K	-5.0M	-35.2K	0.41	76.40	340	139	3,664	1,514
2024-02-23	$61.12	$60.00	28.3%	8.1%	102.3%	22.2%	29.0%	0.9%	1.2%	374.0K	-5.1M	-36.7K	0.65	34.91	91	59	3,871	1,566
2024-02-26	$61.61	$60.00	37.0%	10.6%	101.8%	40.1%	30.3%	7.3%	-7.7%	394.1K	-5.6M	-37.4K	0.23	38.36	88	20	3,922	1,623
2024-02-27	$62.16	$60.00	29.9%	8.6%	101.7%	25.4%	29.6%	1.6%	0.0%	451.0K	-6.4M	-37.7K	0.44	74.64	123	54	3,981	1,647
2024-02-28	$62.63	$60.00	29.3%	8.4%	47.8%	24.2%	29.3%	-0.6%	-0.2%	482.2K	-7.0M	-38.8K	0.76	42.58	37	28	4,001	1,685
2024-02-29	$63.27	$60.00	21.6%	6.2%	37.7%	8.4%	23.5%	3.1%	4.4%	563.3K	-8.5M	-38.9K	0.04	80.91	406	17	4,022	1,709