SANM Options History — March 2024

In March 2024, SANM traded between $59.09 and $65.66. ATM implied volatility averaged 32.4%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 0.4% (HV 20d: 32.1%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2024-03-01: Highest Volume — 670 contracts
2024-03-13: Largest IV drop — 34.8% change
2024-03-12: Highest IV Rank — 55.3%
2024-03-15: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.62	$59.09	$65.66	$65.18	$62.14
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	32.4%	26.7%	44.5%	29.6%	26.7%
Expected Move	8.7%	7.7%	9.4%	8.5%	7.7%
HV 20d	32.1%	26.6%	38.9%	38.9%	29.6%
HV 60d	61.4%	60.6%	62.1%	61.1%	61.7%
IV Rank	31.8%	20.4%	55.3%	24.9%	20.4%
IV Percentile	50.7%	23.4%	92.5%	39.3%	23.4%
Term Structure	11.4%	-0.0%	16.8%	-0.0%	16.8%
VWIV	31.0%	26.8%	33.8%	29.7%	26.8%
Skew 25d	0.1%	-1.9%	1.4%	0.1%	-0.5%
Skew 10d	-0.8%	-6.9%	2.7%	-1.0%	-6.9%
Call IV 25d	30.9%	27.9%	34.0%	30.4%	27.9%
Put IV 25d	31.0%	27.4%	34.1%	30.5%	27.4%
Bid-Ask Spread %	75.23	55.90	87.37	84.37	80.27
Gamma HHI	0.34	0.21	0.50	0.49	0.28
Net GEX	406.6K	145.6K	699.2K	609.7K	272.9K
Net DEX	-6.4M	-12.3M	-682.5K	-11.3M	-4.1M
Net VEX	-40.3K	-45.9K	-35.6K	-40.5K	-37.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	2.84	0.29	0.00
Total Volume	201.1	5	670	670	5
Total OI	5,907.3	5,102	6,760	5,854	5,290

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
2024-03-01	$65.18	$60.00	29.6%	8.5%	38.9%	24.9%	29.7%	0.1%	-0.0%	609.7K	-11.3M	-40.5K	0.29	84.37	519	151	4,135	1,719
2024-03-04	$65.22	$60.00	39.0%	9.0%	38.3%	44.0%	32.1%	-1.9%	11.5%	576.8K	-11.2M	-42.8K	0.04	70.82	147	6	4,235	1,849
2024-03-05	$64.92	$60.00	33.4%	9.2%	36.3%	32.7%	32.4%	-0.6%	7.7%	632.9K	-11.1M	-42.8K	0.06	67.58	501	30	4,352	1,853
2024-03-06	$65.66	$60.00	40.8%	9.3%	34.9%	47.9%	32.8%	-0.4%	10.9%	622.4K	-12.3M	-45.9K	0.10	71.19	305	29	4,581	1,876
2024-03-07	$64.86	$60.00	32.3%	8.8%	35.2%	30.3%	30.8%	-0.8%	10.2%	699.2K	-11.2M	-45.0K	0.16	71.49	362	58	4,739	1,899
2024-03-08	$64.89	$60.00	38.7%	9.2%	34.9%	43.5%	32.3%	0.1%	10.4%	597.0K	-10.8M	-45.5K	0.02	71.47	369	8	4,642	1,931
2024-03-11	$64.53	$60.00	36.3%	8.8%	33.6%	38.7%	31.6%	0.3%	10.2%	648.5K	-10.0M	-42.5K	2.84	73.38	93	264	4,631	1,939
2024-03-12	$64.85	$60.00	44.5%	8.9%	33.2%	55.3%	31.1%	1.1%	9.9%	650.4K	-10.4M	-44.7K	0.17	76.20	12	2	4,672	2,088
2024-03-13	$64.07	$60.00	29.0%	8.3%	26.6%	25.3%	30.5%	-0.8%	10.8%	682.1K	-8.6M	-42.8K	0.34	69.56	158	54	4,670	2,088
2024-03-14	$62.75	$60.00	29.0%	8.3%	27.0%	25.4%	30.3%	0.3%	11.4%	426.0K	-5.6M	-40.9K	0.02	72.94	65	1	4,560	2,135
2024-03-15	$59.38	$60.00	32.7%	9.4%	33.0%	33.6%	33.8%	1.0%	11.8%	152.4K	-682.5K	-36.9K	2.00	55.90	133	266	4,575	2,135
2024-03-18	$59.09	$60.00	32.2%	9.2%	32.3%	32.4%	32.3%	0.6%	11.3%	145.6K	-1.5M	-37.5K	0.11	77.57	18	2	3,251	1,851
2024-03-19	$59.41	$60.00	27.3%	7.8%	32.4%	21.6%	30.4%	0.9%	13.9%	151.8K	-1.4M	-35.6K	0.17	78.91	88	15	3,264	1,852
2024-03-20	$60.11	$60.00	29.4%	8.4%	31.7%	26.2%	30.3%	0.3%	9.3%	188.9K	-2.3M	-37.6K	0.13	78.44	8	1	3,323	1,867
2024-03-21	$61.55	$60.00	28.7%	8.2%	28.1%	24.6%	29.6%	-0.4%	16.8%	229.4K	-3.7M	-39.1K	0.26	79.66	35	9	3,325	1,866
2024-03-22	$60.49	$60.00	29.6%	8.5%	28.7%	26.8%	30.1%	1.4%	14.1%	190.8K	-2.5M	-37.3K	0.83	72.77	6	5	3,330	1,875
2024-03-25	$60.29	$60.00	30.5%	8.8%	28.6%	28.7%	30.5%	1.0%	15.6%	186.2K	-2.3M	-35.9K	0.39	80.51	161	63	3,330	1,878
2024-03-26	$60.70	$60.00	27.1%	7.8%	28.5%	21.2%	29.9%	-0.1%	15.1%	202.2K	-2.6M	-36.7K	1.67	87.37	18	30	3,391	1,863
2024-03-27	$62.25	$60.00	32.0%	9.2%	29.8%	31.9%	33.2%	0.3%	9.5%	267.5K	-4.3M	-39.1K	0.00	84.28	25	0	3,393	1,893
2024-03-28	$62.14	$60.00	26.7%	7.7%	29.6%	20.4%	26.8%	-0.5%	16.8%	272.9K	-4.1M	-37.4K	0.00	80.27	5	0	3,397	1,893