SANM Options History — October 2024

In October 2024, SANM traded between $65.09 and $71.86. ATM implied volatility averaged 44.4%, placing in the 44.5% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 25.0% (HV 20d: 19.4%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.75.

Notable Days

  • 2024-10-16: Highest Volume — 111 contracts
  • 2024-10-03: Largest IV spike — 52.1% change
  • 2024-10-30: Highest IV Rank — 75.7%
  • 2024-10-30: Largest Expected Move — 18.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.47$65.09$71.86$66.76$70.63
Max Pain$69.57$65.00$70.00$65.00$70.00
ATM IV44.4%20.5%63.3%29.4%60.4%
Expected Move13.3%5.9%18.1%8.4%17.3%
HV 20d19.4%16.7%22.8%22.8%22.4%
HV 60d35.3%27.0%39.1%39.1%27.2%
IV Rank44.5%5.0%75.7%19.8%71.0%
IV Percentile77.6%2.4%98.0%45.6%97.6%
Term Structure-10.2%-32.7%22.4%11.5%-20.6%
VWIV46.6%29.2%57.4%29.2%57.4%
Skew 25d9.2%-8.5%32.0%1.3%15.4%
Skew 10d17.7%-11.9%55.1%4.5%22.2%
Call IV 25d41.4%25.2%56.1%27.5%46.8%
Put IV 25d50.7%16.7%62.3%28.9%62.2%
Bid-Ask Spread %89.8980.2599.2690.8787.11
Gamma HHI0.260.140.520.290.16
Net GEX25.8K3.5K68.9K32.0K16.1K
Net DEX-354.8K-939.9K36.2K-264.5K-439.0K
Net VEX-4.6K-6.8K-3.2K-6.8K-4.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.002.440.751.18
Total Volume17.6960111761
Total OI1,111.6094861,5521,478584

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-10-01$66.76$65.0029.4%8.4%22.8%19.8%29.2%1.3%11.5%32.0K-264.5K-6.8K0.7590.8743863615
2024-10-02$66.87$65.0020.5%5.9%22.8%5.0%0.0%-8.5%22.4%32.5K-315.5K-6.3K0.0095.3420863614
2024-10-03$66.41$70.0031.2%11.6%22.3%22.7%0.0%6.1%2.5%29.1K-217.6K-6.4K0.0085.6000863614
2024-10-04$67.13$70.0029.2%12.0%22.0%19.4%41.6%5.6%-7.8%31.3K-350.2K-6.1K0.5080.2521863614
2024-10-07$66.89$70.0033.9%12.6%19.5%27.1%43.9%6.1%-4.8%27.4K-275.9K-5.4K1.8882.87815866615
2024-10-08$66.92$70.0031.8%12.5%18.5%23.7%41.9%15.2%-10.0%23.1K-225.1K-5.4K0.0089.4610858624
2024-10-09$67.19$70.0044.5%12.8%18.0%44.7%0.0%7.7%-11.4%45.6K-573.4K-5.6K0.0091.6240858624
2024-10-10$66.67$70.0047.8%13.7%18.2%50.1%44.0%5.8%-12.4%32.7K-356.6K-5.3K0.4090.42104858624
2024-10-11$67.41$70.0047.3%13.6%17.3%49.3%0.0%6.0%-6.8%54.0K-660.3K-5.2K0.0095.8200863628
2024-10-14$67.53$70.0044.0%12.6%17.2%43.9%40.8%10.7%-11.2%44.1K-582.1K-4.3K1.0088.4511863628
2024-10-15$66.95$70.0048.3%13.9%17.1%51.0%43.0%10.7%-15.1%11.3K-232.7K-4.0K0.0088.42120863629
2024-10-16$68.05$70.0041.1%11.8%18.1%39.1%0.0%11.7%-8.6%66.7K-716.7K-3.5K0.0096.301110873629
2024-10-17$68.09$70.0044.4%12.7%16.7%44.6%0.0%9.1%-2.5%68.9K-939.9K-4.3K0.5096.7121923629
2024-10-18$67.46$70.0038.8%11.1%17.0%35.3%42.4%18.1%-7.9%8.7K-626.1K-3.8K0.0099.2601922629
2024-10-21$65.68$70.0049.0%14.1%19.2%52.2%41.4%14.7%-19.2%4.5K-18.7K-3.3K0.2291.4192299187
2024-10-22$65.25$70.0049.2%14.1%19.1%52.4%49.4%10.7%-13.2%3.7K14.7K-3.2K2.0085.4112300188
2024-10-23$65.09$70.0049.8%14.3%17.8%53.4%50.4%8.3%-9.7%3.5K36.2K-3.4K2.4488.59922301188
2024-10-24$66.84$70.0054.0%15.5%19.3%60.5%53.1%-1.6%-20.4%6.6K-107.0K-3.6K0.8387.1965302196
2024-10-25$67.57$70.0054.4%15.6%19.7%61.2%0.0%10.6%-15.2%9.8K-180.2K-3.9K1.8294.791120305197
2024-10-28$68.52$70.0052.6%15.1%20.3%58.1%53.8%32.0%-16.0%8.9K-215.7K-3.5K0.7394.00118305217
2024-10-29$69.95$70.0055.5%15.9%19.6%63.0%55.6%11.4%-25.8%13.6K-359.1K-3.8K0.1084.81101313224
2024-10-30$71.86$70.0063.3%18.1%21.5%75.7%57.3%5.3%-32.7%19.7K-554.8K-3.9K0.5982.772917321225
2024-10-31$70.63$70.0060.4%17.3%22.4%71.0%57.4%15.4%-20.6%16.1K-439.0K-4.3K1.1887.112833342242