SANM Options History — August 2024

In August 2024, SANM traded between $64.86 and $71.94. ATM implied volatility averaged 39.4%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 12.2% (HV 20d: 51.6%). Max pain ranged from $60.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 4.21.

Notable Days

  • 2024-08-02: Highest Volume — 80 contracts
  • 2024-08-12: Largest IV spike — 74.2% change
  • 2024-08-05: Highest IV Rank — 100.0%
  • 2024-08-28: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.12$64.86$71.94$71.94$69.77
Max Pain$65.23$60.00$75.00$75.00$65.00
ATM IV39.4%25.3%77.9%34.0%34.4%
Expected Move9.8%7.3%12.2%9.7%9.8%
HV 20d51.6%34.2%55.7%36.8%34.2%
HV 60d35.4%25.6%37.5%25.6%36.9%
IV Rank39.4%12.9%100.0%32.8%27.9%
IV Percentile64.3%17.9%100.0%67.5%65.5%
Term Structure-3.8%-15.8%6.0%-9.0%-9.0%
VWIV37.0%31.5%44.3%31.5%35.6%
Skew 25d2.1%-16.3%16.4%1.9%-5.2%
Skew 10d2.8%-16.2%24.0%-2.7%3.1%
Call IV 25d37.2%25.5%53.7%29.2%43.4%
Put IV 25d39.3%23.8%54.8%31.1%38.2%
Bid-Ask Spread %106.4892.21119.8292.21110.78
Gamma HHI0.250.190.290.250.28
Net GEX55.9K21.9K86.8K86.8K66.5K
Net DEX-1.6M-2.4M-367.5K-2.4M-1.7M
Net VEX-11.1K-12.3K-9.9K-12.1K-9.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.210.0049.002.006.00
Total Volume15.45508067
Total OI1,458.4091,2241,6561,5951,306

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-08-01$71.94$75.0034.0%9.7%36.8%32.8%31.5%1.9%-9.0%86.8K-2.4M-12.1K2.0092.21241,059536
2024-08-02$64.86$70.0041.6%11.9%53.0%47.9%44.3%-16.3%-7.7%21.9K-367.5K-11.8K0.82105.9744361,058532
2024-08-05$65.50$60.0068.5%11.8%52.7%100.0%0.0%13.3%-4.9%42.5K-638.8K-12.3K1.77109.8226461,089531
2024-08-06$68.06$60.0044.6%11.2%54.3%53.0%41.5%-4.3%2.8%59.7K-1.5M-12.3K3.00100.045151,088491
2024-08-07$67.52$65.0038.2%10.8%53.6%40.5%0.0%16.4%-0.4%38.6K-1.2M-12.3K0.0094.38001,088503
2024-08-08$69.84$65.0040.8%11.5%52.6%45.7%0.0%5.5%-7.3%54.1K-1.9M-11.4K0.00110.01021,088503
2024-08-09$69.45$65.0040.3%9.9%52.5%44.8%34.5%-2.4%-1.5%49.2K-1.9M-11.8K5.50101.712111,089505
2024-08-12$67.88$65.0070.3%10.2%52.8%100.0%0.0%14.5%-6.8%44.5K-1.3M-11.2K1.00103.58111,089516
2024-08-13$68.98$65.0077.9%10.4%52.1%100.0%0.0%12.5%-9.5%61.3K-1.6M-10.9K6.00110.002121,090517
2024-08-14$68.63$65.0031.0%8.9%51.9%22.3%0.0%1.7%-4.1%49.7K-1.4M-11.1K0.00111.24301,092537
2024-08-15$70.78$65.0026.7%7.6%53.0%15.2%0.0%1.8%5.2%66.2K-2.2M-10.4K0.48112.7321101,095535
2024-08-16$70.28$65.0027.7%7.9%52.8%16.9%32.6%7.6%-2.5%57.3K-2.0M-11.0K0.0098.98201,111545
2024-08-19$71.44$65.0025.3%7.3%51.8%12.9%35.9%8.0%6.0%61.6K-2.1M-11.1K0.00109.9730789435
2024-08-20$69.21$65.0035.3%10.1%52.9%29.4%0.0%-2.8%-6.1%64.8K-1.8M-11.1K49.00103.68149792435
2024-08-21$70.09$65.0026.4%7.6%53.1%14.7%0.0%14.7%0.2%62.0K-1.9M-10.7K0.00102.7900793484
2024-08-22$68.19$65.0028.6%8.2%53.5%18.4%39.9%-2.7%2.8%51.0K-1.5M-10.9K0.67103.8964794484
2024-08-23$70.84$65.0032.4%9.3%55.4%24.6%35.6%3.8%-7.2%67.8K-2.1M-10.3K1.75113.6947798488
2024-08-26$69.46$65.0038.1%10.9%55.7%34.1%0.0%-1.0%-7.6%56.0K-1.6M-10.5K0.60108.4653801494
2024-08-27$69.28$65.0029.9%8.6%55.5%20.6%0.0%-16.0%-3.8%60.0K-1.6M-10.2K1.00108.1311805495
2024-08-28$68.65$65.0042.5%12.2%53.8%41.5%0.0%-8.4%-15.8%52.6K-1.3M-10.2K0.00110.7010806496
2024-08-29$69.91$65.0031.4%9.0%51.2%23.1%0.0%3.8%3.0%54.4K-1.6M-10.1K0.50119.8221807496
2024-08-30$69.77$65.0034.4%9.8%34.2%27.9%0.0%-5.2%-9.0%66.5K-1.7M-9.9K6.00110.7816809497