SANM Options History — November 2024

In November 2024, SANM traded between $71.19 and $84.00. ATM implied volatility averaged 34.1%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 8.4%. IV traded below realized volatility by 13.2% (HV 20d: 47.2%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.91.

Notable Days

2024-11-04: Highest Volume — 641 contracts
2024-11-11: Largest IV spike — 109.9% change
2024-11-04: Highest IV Rank — 100.0%
2024-11-01: Largest Expected Move — 17.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$78.57	$71.19	$84.00	$71.19	$79.37
Max Pain	$69.25	$65.00	$75.00	$70.00	$75.00
ATM IV	34.1%	19.1%	80.4%	60.9%	25.7%
Expected Move	8.4%	6.1%	17.4%	17.4%	7.4%
HV 20d	47.2%	22.3%	53.3%	22.3%	51.0%
HV 60d	34.5%	26.4%	37.0%	26.4%	34.2%
IV Rank	25.9%	2.5%	100.0%	71.8%	11.9%
IV Percentile	43.8%	0.8%	100.0%	97.6%	17.5%
Term Structure	-0.5%	-9.5%	8.8%	-3.2%	4.5%
VWIV	30.6%	24.9%	58.7%	58.7%	32.5%
Skew 25d	-0.6%	-11.5%	11.4%	0.8%	-11.5%
Skew 10d	-2.1%	-14.9%	12.4%	7.2%	-5.3%
Call IV 25d	30.6%	20.2%	61.2%	61.2%	39.1%
Put IV 25d	30.0%	21.1%	62.0%	62.0%	27.7%
Bid-Ask Spread %	98.04	83.98	110.41	90.82	110.41
Gamma HHI	0.32	0.15	0.69	0.17	0.19
Net GEX	64.1K	-7.1K	221.0K	16.4K	6.0K
Net DEX	-1.7M	-4.4M	-407.2K	-407.2K	-856.6K
Net VEX	-7.3K	-8.6K	-4.7K	-4.7K	-7.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.91	0.00	13.50	1.35	0.09
Total Volume	92.3	1	641	47	24
Total OI	1,030.65	630	1,389	630	888

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
2024-11-01	$71.19	$70.00	60.9%	17.4%	22.3%	71.8%	58.7%	0.8%	-3.2%	16.4K	-407.2K	-4.7K	1.35	90.82	20	27	355	275
2024-11-04	$72.56	$70.00	80.4%	12.5%	22.9%	100.0%	44.8%	-1.4%	-9.5%	18.9K	-602.3K	-5.0K	0.78	83.98	361	280	364	302
2024-11-05	$73.88	$65.00	37.8%	8.0%	23.4%	32.4%	25.1%	0.3%	1.2%	70.1K	-1.1M	-6.9K	0.58	92.69	153	88	689	548
2024-11-06	$84.00	$65.00	36.0%	7.7%	49.6%	29.5%	37.0%	11.4%	1.4%	133.8K	-4.4M	-5.8K	0.01	105.07	514	3	735	504
2024-11-07	$83.50	$65.00	37.0%	7.1%	49.6%	31.1%	27.9%	6.1%	0.2%	140.4K	-3.8M	-6.7K	0.00	99.33	32	0	694	505
2024-11-08	$83.23	$65.00	19.1%	7.0%	49.8%	2.5%	25.3%	0.5%	0.6%	185.5K	-4.0M	-6.9K	1.22	94.38	27	33	719	517
2024-11-11	$83.25	$65.00	40.1%	9.0%	49.9%	35.9%	29.0%	-4.4%	-6.6%	155.4K	-4.1M	-6.9K	0.07	103.43	15	1	725	528
2024-11-12	$80.78	$65.00	54.1%	7.7%	51.5%	58.3%	26.5%	-5.5%	0.0%	177.9K	-3.3M	-7.2K	10.00	93.77	1	10	725	529
2024-11-13	$78.84	$65.00	25.8%	7.4%	52.8%	13.3%	27.3%	0.7%	-0.9%	221.0K	-2.6M	-7.5K	13.50	89.14	2	27	726	539
2024-11-14	$77.74	$70.00	30.1%	8.6%	53.3%	19.0%	30.0%	-0.1%	-4.4%	147.0K	-2.1M	-7.0K	5.95	92.68	19	113	726	546
2024-11-15	$76.92	$70.00	26.2%	7.5%	53.3%	12.7%	24.9%	-3.0%	0.9%	-7.1K	-1.2M	-8.5K	0.11	100.10	19	2	736	653
2024-11-18	$76.98	$70.00	28.0%	8.0%	51.9%	15.6%	25.6%	5.4%	-1.7%	-3.4K	-543.9K	-8.2K	0.13	93.31	8	1	395	485
2024-11-19	$76.77	$70.00	27.8%	8.0%	51.8%	15.2%	0.0%	-4.4%	-1.1%	-4.6K	-517.0K	-8.4K	0.00	98.19	19	0	397	485
2024-11-20	$77.17	$70.00	22.4%	6.4%	51.7%	6.6%	27.2%	-6.2%	8.8%	-2.1K	-558.2K	-8.6K	0.23	98.92	13	3	402	485
2024-11-21	$79.45	$70.00	26.8%	7.7%	51.8%	13.6%	28.3%	8.9%	-1.7%	6.9K	-1.0M	-8.5K	0.20	99.25	10	2	406	488
2024-11-22	$79.53	$70.00	28.4%	8.1%	51.9%	16.2%	27.7%	0.2%	-2.7%	7.2K	-864.3K	-8.1K	0.20	97.65	5	1	399	488
2024-11-25	$79.41	$75.00	26.3%	7.5%	51.9%	12.9%	26.8%	6.6%	-0.4%	4.8K	-965.7K	-8.0K	0.00	100.95	8	0	395	488
2024-11-26	$78.52	$75.00	26.9%	7.7%	52.1%	13.8%	26.8%	-9.8%	-1.1%	3.7K	-768.5K	-7.7K	0.00	108.38	0	4	397	488
2024-11-27	$78.28	$75.00	21.4%	6.1%	51.6%	4.9%	0.0%	-6.4%	5.1%	3.8K	-735.8K	-8.1K	0.00	108.44	0	1	397	490
2024-11-29	$79.37	$75.00	25.7%	7.4%	51.0%	11.9%	32.5%	-11.5%	4.5%	6.0K	-856.6K	-7.7K	0.09	110.41	22	2	397	491