SANM Options History — May 2024

In May 2024, SANM traded between $61.17 and $68.45. ATM implied volatility averaged 27.6%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.1% (HV 20d: 26.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 1.56.

Notable Days

  • 2024-05-09: Highest Volume — 165 contracts
  • 2024-05-15: Largest IV drop — 60.4% change
  • 2024-05-14: Highest IV Rank — 73.4%
  • 2024-05-23: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$65.63$61.17$68.45$61.39$68.38
Max Pain$63.41$60.00$65.00$60.00$65.00
ATM IV27.6%19.1%51.4%29.9%28.1%
Expected Move7.0%5.2%9.3%8.6%8.0%
HV 20d26.5%17.0%32.1%32.1%17.5%
HV 60d28.7%26.6%32.2%32.2%26.8%
IV Rank21.9%3.5%73.4%27.0%22.9%
IV Percentile28.1%0.4%97.6%45.2%32.5%
Term Structure1.6%-5.1%14.5%-2.7%-5.0%
VWIV24.8%15.7%32.5%29.4%26.9%
Skew 25d-1.3%-12.7%13.0%0.1%-12.7%
Skew 10d-6.9%-30.2%9.0%3.1%-30.2%
Call IV 25d28.0%20.3%42.9%29.8%42.9%
Put IV 25d26.7%19.2%54.2%29.9%30.3%
Bid-Ask Spread %94.4477.49121.1888.86101.93
Gamma HHI0.380.240.620.310.26
Net GEX190.0K7.7K444.2K190.1K28.9K
Net DEX-4.2M-8.3M-1.9M-2.2M-2.7M
Net VEX-20.6K-25.5K-17.7K-25.5K-18.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.560.0013.000.400.75
Total Volume42.501656713
Total OI3,709.9092,1334,9204,6702,171

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-05-01$61.39$60.0029.9%8.6%32.1%27.0%29.4%0.1%-2.7%190.1K-2.2M-25.5K0.4088.8648192,9821,688
2024-05-02$61.17$60.0030.2%8.7%29.6%27.5%31.1%0.0%0.0%179.7K-1.9M-24.9K1.36105.1822302,9931,683
2024-05-03$61.57$60.0025.6%7.3%29.4%17.7%25.6%1.6%0.2%195.2K-2.3M-24.1K0.2484.043483,0011,684
2024-05-06$63.41$60.0026.7%7.5%30.9%20.1%0.0%0.9%-0.3%307.4K-4.4M-23.8K0.1579.513452,9911,685
2024-05-07$64.38$60.0039.3%7.0%29.9%47.3%25.2%0.3%0.6%321.5K-5.6M-22.2K7.3182.18161173,0191,680
2024-05-08$64.75$60.0025.4%7.0%29.0%17.1%25.3%0.0%-0.3%395.3K-5.9M-23.2K0.6077.49533,0281,768
2024-05-09$65.04$60.0022.0%6.6%29.0%9.7%23.7%1.2%0.5%444.2K-6.3M-22.1K2.5984.44461193,0281,767
2024-05-10$64.97$65.0027.1%6.5%28.1%20.8%0.0%0.6%1.0%372.9K-6.2M-21.7K0.6490.0639253,0281,876
2024-05-13$64.88$65.0040.0%5.2%28.1%48.7%0.0%-2.9%5.5%321.8K-5.7M-21.3K0.1497.47712,9951,876
2024-05-14$65.87$65.0051.4%6.7%28.2%73.4%23.3%0.8%3.2%393.2K-6.7M-21.1K0.1793.562442,9951,876
2024-05-15$66.09$65.0020.3%5.8%28.2%6.2%18.9%-0.5%4.6%411.1K-7.4M-19.4K0.0089.172902,9901,876
2024-05-16$65.72$65.0024.6%7.1%28.4%15.4%24.3%1.6%-0.6%423.2K-6.8M-19.6K1.2093.9146552,9961,876
2024-05-17$66.72$65.0019.1%5.5%27.9%3.5%21.1%-3.6%12.3%7.7K-8.3M-19.3K0.0096.795503,0041,916
2024-05-20$66.79$65.0022.8%6.5%27.8%11.4%22.6%1.2%0.5%13.4K-2.2M-18.5K0.2996.962881,0161,119
2024-05-21$66.89$65.0019.9%5.7%24.1%5.1%32.5%-5.3%14.5%19.6K-2.2M-18.8K0.2597.652051,0311,111
2024-05-22$68.11$65.0024.2%6.9%24.5%14.5%15.7%-1.1%-1.2%29.2K-2.7M-19.0K0.0095.68101,0231,110
2024-05-23$66.84$65.0032.6%9.3%25.2%32.7%0.0%-12.0%-2.6%23.3K-2.3M-18.9K13.00121.181131,0241,110
2024-05-24$67.58$65.0023.6%6.8%25.3%13.3%24.9%-2.4%-1.7%25.2K-2.5M-18.6K0.0098.78401,0241,110
2024-05-28$67.77$65.0027.2%7.8%25.1%21.0%25.7%-7.9%-5.1%26.9K-2.6M-17.9K2.1497.1214301,0241,110
2024-05-29$67.19$65.0021.6%6.2%17.0%8.8%0.0%-0.6%12.0%20.3K-2.4M-18.4K0.0099.59001,0371,130
2024-05-30$68.45$65.0025.9%7.4%17.7%18.2%25.1%13.0%-2.4%30.8K-2.9M-17.7K0.75106.18431,0371,130
2024-05-31$68.38$65.0028.1%8.0%17.5%22.9%26.9%-12.7%-5.0%28.9K-2.7M-18.1K0.00101.930131,0381,133