SANM Options History — September 2024

In September 2024, SANM traded between $63.11 and $69.45. ATM implied volatility averaged 28.3%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded below realized volatility by 3.3% (HV 20d: 31.6%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 2.82.

Notable Days

2024-09-20: Highest Volume — 84 contracts
2024-09-11: Largest IV drop — 13.7% change
2024-09-04: Highest IV Rank — 30.4%
2024-09-04: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.16	$63.11	$69.45	$66.74	$68.30
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	28.3%	24.8%	35.9%	33.0%	25.9%
Expected Move	8.0%	7.1%	10.3%	9.5%	7.4%
HV 20d	31.6%	25.7%	38.1%	38.1%	26.6%
HV 60d	38.5%	38.0%	39.0%	38.0%	39.0%
IV Rank	17.9%	12.1%	30.4%	25.7%	13.9%
IV Percentile	34.7%	15.1%	69.0%	60.3%	22.2%
Term Structure	9.4%	-4.6%	15.3%	-4.6%	14.7%
VWIV	30.3%	26.5%	44.3%	31.7%	31.0%
Skew 25d	1.7%	-8.0%	13.8%	4.4%	0.5%
Skew 10d	5.7%	-4.9%	26.0%	0.7%	-2.6%
Call IV 25d	29.3%	19.7%	53.6%	34.1%	27.4%
Put IV 25d	30.9%	18.8%	54.9%	38.5%	27.8%
Bid-Ask Spread %	85.52	69.52	111.22	98.71	81.40
Gamma HHI	0.28	0.20	0.36	0.26	0.32
Net GEX	57.8K	12.5K	98.4K	45.7K	66.3K
Net DEX	-872.5K	-1.8M	392.0K	-815.5K	-1.0M
Net VEX	-8.3K	-10.0K	-7.3K	-9.6K	-7.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.82	0.00	21.33	0.09	1.00
Total Volume	26.6	0	84	25	2
Total OI	1,398.75	1,324	1,477	1,324	1,477

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
2024-09-03	$66.74	$65.00	33.0%	9.5%	38.1%	25.7%	31.7%	4.4%	-4.6%	45.7K	-815.5K	-9.6K	0.09	98.71	23	2	821	503
2024-09-04	$66.59	$65.00	35.9%	10.3%	35.4%	30.4%	0.0%	1.3%	-3.6%	37.1K	-611.6K	-10.0K	0.00	111.22	0	0	836	504
2024-09-05	$65.66	$65.00	31.7%	8.7%	35.6%	23.6%	0.0%	5.9%	9.4%	42.2K	-589.3K	-9.4K	0.00	89.67	0	2	836	504
2024-09-06	$64.80	$65.00	31.7%	8.9%	33.3%	23.6%	32.8%	-0.8%	15.3%	29.7K	-146.8K	-8.8K	1.22	89.41	9	11	836	507
2024-09-09	$63.11	$65.00	31.6%	8.5%	34.3%	23.4%	29.3%	-8.0%	5.9%	12.5K	392.0K	-7.7K	0.00	97.28	0	4	845	520
2024-09-10	$64.33	$65.00	32.2%	8.6%	34.6%	24.3%	33.7%	13.8%	9.5%	20.5K	4.5K	-8.5K	0.75	86.91	4	3	846	518
2024-09-11	$65.20	$65.00	27.8%	8.0%	34.4%	17.0%	29.0%	1.7%	10.2%	29.2K	-147.4K	-8.0K	0.00	80.55	48	0	848	520
2024-09-12	$65.68	$65.00	27.6%	7.9%	34.6%	16.7%	30.0%	0.6%	10.2%	32.3K	-362.7K	-8.0K	0.27	76.99	33	9	859	520
2024-09-13	$66.93	$65.00	28.1%	8.0%	33.3%	17.5%	30.0%	1.1%	10.4%	49.8K	-827.9K	-8.8K	2.36	84.50	11	26	890	529
2024-09-16	$67.43	$65.00	27.5%	7.9%	33.4%	16.6%	0.0%	1.5%	13.2%	58.2K	-997.3K	-8.5K	0.00	76.42	1	0	898	531
2024-09-17	$68.02	$65.00	26.9%	7.7%	33.0%	15.6%	27.1%	1.4%	10.3%	68.0K	-1.3M	-8.5K	0.10	84.21	49	5	897	531
2024-09-18	$68.16	$65.00	27.1%	7.8%	31.1%	15.9%	26.7%	1.9%	6.9%	66.0K	-1.2M	-8.0K	0.00	87.96	65	0	868	533
2024-09-19	$69.45	$65.00	25.2%	7.2%	31.6%	12.8%	30.3%	3.1%	9.7%	98.4K	-1.8M	-8.0K	11.50	90.27	2	23	895	533
2024-09-20	$69.30	$65.00	24.8%	7.1%	29.9%	12.1%	27.3%	1.5%	11.5%	92.4K	-1.6M	-7.9K	3.42	92.18	19	65	894	544
2024-09-23	$68.91	$65.00	25.8%	7.4%	26.5%	13.7%	28.1%	1.8%	11.6%	85.0K	-1.4M	-7.9K	3.57	71.57	7	25	855	548
2024-09-24	$69.22	$65.00	26.4%	7.6%	25.7%	14.7%	26.5%	3.0%	10.8%	88.5K	-1.5M	-7.9K	1.00	77.77	1	1	858	558
2024-09-25	$67.76	$65.00	26.3%	7.5%	26.7%	14.6%	28.9%	2.1%	10.8%	69.7K	-925.1K	-7.6K	0.60	69.52	5	3	859	559
2024-09-26	$68.99	$65.00	24.9%	7.1%	27.4%	12.3%	29.0%	3.4%	12.9%	92.3K	-1.4M	-7.7K	21.33	81.34	3	64	860	561
2024-09-27	$68.69	$65.00	25.4%	7.3%	26.6%	13.1%	44.3%	-6.6%	13.7%	71.8K	-1.2M	-7.6K	0.75	82.45	4	3	862	612
2024-09-30	$68.30	$65.00	25.9%	7.4%	26.6%	13.9%	31.0%	0.5%	14.7%	66.3K	-1.0M	-7.3K	1.00	81.40	1	1	862	615