SANM Options History — April 2024

In April 2024, SANM traded between $57.75 and $63.97. ATM implied volatility averaged 44.0%, placing in the 58.3% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 16.0% (HV 20d: 28.0%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.62.

Notable Days

  • 2024-04-29: Highest Volume — 599 contracts
  • 2024-04-30: Largest IV drop — 50.3% change
  • 2024-04-29: Highest IV Rank — 100.0%
  • 2024-04-29: Largest Expected Move — 18.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.07$57.75$63.97$61.40$60.94
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV44.0%28.1%63.6%28.1%31.6%
Expected Move13.3%8.1%18.2%8.1%9.1%
HV 20d28.0%22.7%32.3%27.5%32.3%
HV 60d56.8%31.5%62.5%61.7%32.8%
IV Rank58.3%23.3%100.0%23.3%30.7%
IV Percentile78.4%28.6%100.0%28.6%52.0%
Term Structure-7.3%-20.3%17.6%17.1%-5.2%
VWIV47.6%27.6%64.6%27.6%31.0%
Skew 25d-0.6%-10.2%3.6%-0.5%-0.4%
Skew 10d-0.6%-9.6%10.8%1.9%-2.5%
Call IV 25d46.7%28.4%64.3%28.4%30.3%
Put IV 25d46.1%27.1%64.9%27.9%29.9%
Bid-Ask Spread %72.7647.3187.8686.3577.25
Gamma HHI0.220.170.270.270.26
Net GEX151.8K71.9K243.1K243.1K211.3K
Net DEX-1.8M-5.3M-144.3K-3.3M-2.1M
Net VEX-30.1K-35.6K-24.4K-35.6K-24.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.002.310.100.64
Total Volume149.636359934532
Total OI4,987.7733,7975,6355,2924,594

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-04-01$61.40$60.0028.1%8.1%27.5%23.3%0.0%-0.5%17.1%243.1K-3.3M-35.6K0.1086.353133,3991,893
2024-04-02$60.54$60.0029.2%8.4%27.7%25.8%0.0%2.0%15.8%193.4K-2.2M-34.3K0.0087.861003,3931,896
2024-04-03$61.36$60.0028.9%8.3%28.4%25.1%27.6%-1.7%17.6%233.7K-3.0M-34.5K0.0183.7225423,3931,897
2024-04-04$59.35$60.0032.5%12.6%29.8%33.1%44.9%0.1%-6.8%137.5K-1.0M-32.4K0.8366.2012103,3671,898
2024-04-05$60.06$60.0030.3%12.7%30.3%28.2%36.6%-7.9%-7.9%162.2K-1.6M-32.1K0.0069.02033,3701,908
2024-04-08$60.70$60.0031.0%12.9%30.7%29.7%45.6%-0.2%-8.4%202.9K-2.1M-31.6K0.9469.4734323,3701,911
2024-04-09$59.41$60.0033.4%13.0%31.3%35.1%45.8%2.2%-13.7%138.9K-906.7K-30.8K0.1983.71284543,4011,942
2024-04-10$58.47$60.0045.8%13.1%31.4%62.5%46.1%-0.5%-9.4%97.8K-161.0K-30.4K0.8571.4266563,6391,996
2024-04-11$59.02$60.0045.6%13.1%31.7%61.9%46.2%0.5%-9.3%134.1K-1.1M-30.9K1.0070.25333,6501,939
2024-04-12$58.12$60.0047.1%13.5%31.4%65.3%47.7%1.2%-9.5%153.1K-964.3K-31.1K0.8970.021441283,6531,939
2024-04-15$58.08$60.0048.4%13.9%24.8%68.1%48.9%2.0%-10.0%72.2K-144.3K-28.0K2.2072.3110223,6021,919
2024-04-16$58.11$60.0049.7%14.2%24.8%70.9%47.9%-2.9%-11.8%71.9K-152.6K-27.5K0.6576.0566433,6041,938
2024-04-17$58.47$60.0050.5%14.5%24.8%72.8%50.5%-0.3%-12.7%110.1K-500.2K-27.8K2.3173.5113303,6241,942
2024-04-18$58.38$60.0049.2%14.1%24.4%69.9%44.8%-10.2%-8.2%122.6K-708.4K-27.4K0.3676.6053193,6271,893
2024-04-19$57.75$60.0051.3%14.7%22.7%74.5%51.3%2.8%-9.3%81.5K-207.2K-27.0K0.6669.7494623,6671,897
2024-04-22$58.67$60.0050.3%14.4%23.0%72.3%49.7%-1.2%-10.5%103.8K-860.9K-27.5K0.0776.984032,3291,468
2024-04-23$61.29$60.0051.2%14.7%28.0%74.4%52.5%-1.1%-11.4%145.1K-2.7M-28.9K0.0173.7019412,3461,469
2024-04-24$61.45$60.0057.1%16.4%27.9%87.2%55.4%3.6%-18.5%149.3K-3.0M-29.2K0.7073.3823162,3771,470
2024-04-25$62.73$60.0055.7%16.0%27.4%84.3%56.4%0.1%-14.0%175.7K-4.0M-30.3K0.0664.3114592,4401,483
2024-04-26$63.30$60.0057.2%16.4%27.6%87.5%57.8%-1.4%-15.1%195.7K-4.5M-30.3K0.0761.60176132,5301,490
2024-04-29$63.97$60.0063.6%18.2%27.4%100.0%64.6%0.6%-20.3%204.7K-5.3M-30.1K0.4947.314011982,6761,492
2024-04-30$60.94$60.0031.6%9.1%32.3%30.7%31.0%-0.4%-5.2%211.3K-2.1M-24.4K0.6477.253242083,0021,592