SANM Options History — July 2024

In July 2024, SANM traded between $65.23 and $75.89. ATM implied volatility averaged 43.1%, placing in the 50.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 19.7% (HV 20d: 23.5%). Max pain ranged from $50.00 to $75.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 1.20.

Notable Days

  • 2024-07-29: Highest Volume — 402 contracts
  • 2024-07-30: Largest IV drop — 37.5% change
  • 2024-07-24: Highest IV Rank — 79.6%
  • 2024-07-24: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.66$65.23$75.89$65.35$75.89
Max Pain$64.55$50.00$75.00$65.00$75.00
ATM IV43.1%25.6%57.6%25.6%28.2%
Expected Move12.8%7.3%16.5%7.3%8.1%
HV 20d23.5%15.0%29.8%19.6%29.8%
HV 60d23.7%22.3%25.3%23.0%23.5%
IV Rank50.9%16.1%79.6%16.1%21.3%
IV Percentile76.2%20.2%98.8%20.2%35.3%
Term Structure-7.4%-21.0%17.6%16.9%-0.0%
VWIV46.5%24.4%64.4%64.4%24.4%
Skew 25d2.1%-15.3%18.4%3.8%5.2%
Skew 10d-0.3%-29.9%35.8%0.8%-3.4%
Call IV 25d45.3%19.8%67.7%28.5%19.8%
Put IV 25d47.4%24.0%72.5%32.2%25.0%
Bid-Ask Spread %90.0676.25110.0892.59103.19
Gamma HHI0.350.260.740.330.41
Net GEX76.5K-10.3K243.2K-1.1K149.8K
Net DEX-3.1M-5.1M-1.7M-1.7M-3.9M
Net VEX-13.1K-14.5K-11.7K-14.2K-11.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.0012.500.050.54
Total Volume40.40904022120
Total OI1,814.2271,0782,1822,0791,570

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-07-01$65.35$65.0025.6%7.3%19.6%16.1%64.4%3.8%16.9%-1.1K-1.7M-14.2K0.0592.592011,0761,003
2024-07-02$65.75$65.0028.1%8.0%18.2%21.0%31.3%16.8%14.0%14.6K-1.8M-14.2K1.29101.4317221,0911,004
2024-07-03$66.00$65.0028.1%8.1%16.7%21.0%0.0%18.4%17.6%18.9K-2.2M-14.5K4.00110.08141,1071,023
2024-07-05$65.23$50.0026.3%12.2%15.0%17.5%0.0%0.9%-7.4%-10.3K-1.7M-14.3K0.0091.072101,1081,027
2024-07-08$66.39$50.0030.9%12.7%15.7%26.7%45.4%-4.9%-7.0%18.4K-2.2M-14.1K0.2586.542871,1061,027
2024-07-09$65.67$65.0036.0%11.8%16.2%36.7%0.0%3.9%-5.7%7.4K-1.8M-14.0K0.0087.64001,1131,034
2024-07-10$67.44$65.0042.8%12.3%18.8%50.1%0.0%1.1%-4.6%33.5K-2.5M-13.9K0.0089.791101,1131,034
2024-07-11$70.49$65.0044.1%12.7%24.3%52.9%42.1%-2.0%-9.7%99.0K-3.9M-13.4K0.1280.374351,1241,034
2024-07-12$71.09$65.0043.4%12.4%23.7%51.4%43.2%-0.6%-11.3%128.5K-4.2M-13.4K0.0882.372521,1291,034
2024-07-15$71.90$65.0047.4%13.6%23.9%59.4%45.6%-0.6%-12.7%135.2K-4.6M-12.6K0.5081.60211,1181,036
2024-07-16$73.93$65.0048.9%14.0%24.2%62.4%48.2%13.8%-16.8%133.8K-5.1M-12.7K0.4688.861361,1191,037
2024-07-17$72.72$65.0048.3%13.8%25.1%61.1%48.3%-0.5%-15.9%137.4K-4.8M-12.9K0.8086.61541,1301,038
2024-07-18$71.65$65.0051.7%14.8%25.9%68.0%51.2%3.5%-15.8%117.3K-4.5M-12.3K0.0787.671511,1321,042
2024-07-19$70.57$65.0051.3%14.7%25.9%67.0%0.0%-4.2%-13.3%243.2K-4.2M-12.7K0.5091.83421,1391,043
2024-07-22$72.83$65.0053.7%15.4%27.8%71.9%52.7%-4.2%-12.4%55.6K-2.6M-11.9K0.4091.882510719359
2024-07-23$73.25$65.0051.8%14.9%27.6%68.2%0.0%4.8%-11.7%59.6K-2.7M-12.6K0.0094.6400738365
2024-07-24$72.56$65.0057.6%16.5%28.0%79.6%57.6%8.7%-16.8%57.5K-2.6M-12.2K0.1593.49203738365
2024-07-25$73.59$65.0057.0%16.3%27.6%78.3%39.0%-13.0%-21.0%60.9K-2.8M-12.7K12.5087.25225758367
2024-07-26$74.19$65.0055.5%15.9%27.3%75.5%58.0%-4.5%-15.5%58.9K-2.9M-12.6K0.1976.25265760392
2024-07-29$74.56$65.0056.9%16.3%27.3%78.1%61.1%16.0%-15.8%59.6K-2.9M-12.2K0.4877.61271131784396
2024-07-30$73.38$75.0035.5%10.2%28.1%35.8%32.1%-15.3%1.9%104.9K-3.0M-12.7K1.6098.6135561,050531
2024-07-31$75.89$75.0028.2%8.1%29.8%21.3%24.4%5.2%-0.0%149.8K-3.9M-11.7K0.54103.191371,050520