SANM Options History — January 2007

Name: SANM Options Analytics - January 2007
Creator: Options Analysis Suite

In January 2007, SANM traded between $19.68 and $21.42. ATM implied volatility averaged 64.9%. The 30-day expected move averaged 17.0%. IV traded above realized volatility by 34.9% (HV 20d: 30.0%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 4.20.

Notable Days

2007-01-16: Highest Volume — 3,446 contracts
2007-01-08: Largest IV spike — 46.0% change
2007-01-03: Largest Expected Move — 31.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.58	$19.68	$21.42	$20.82	$21.00
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	64.9%	46.7%	111.4%	111.4%	65.6%
Expected Move	17.0%	13.4%	31.9%	31.9%	18.8%
HV 20d	30.0%	27.6%	31.3%	27.6%	29.5%
Term Structure	-6.5%	-35.0%	14.1%	-30.4%	-15.5%
VWIV	52.5%	42.5%	74.5%	74.5%	64.5%
Skew 25d	7.3%	-5.8%	73.8%	73.8%	2.3%
Skew 10d	8.2%	-5.8%	73.8%	73.8%	2.3%
Call IV 25d	54.3%	43.1%	75.8%	74.5%	64.5%
Put IV 25d	61.6%	49.4%	148.4%	148.4%	66.8%
Bid-Ask Spread %	3.05	2.13	3.74	2.77	3.60
Gamma HHI	0.46	0.41	0.51	0.43	0.47
Net GEX	-3.7K	-24.8K	18.7K	17.0K	-16.5K
Net DEX	-1.1M	-2.2M	495.3K	-2.0M	-154.7K
Net VEX	-37.1K	-45.1K	-27.3K	-28.3K	-43.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.20	0.00	72.33	0.01	0.00
Total Volume	257.55	6	3,446	125	7
Total OI	16,298.1	9,254	23,670	19,735	9,534

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
2007-01-03	$20.82	$15.00	111.4%	31.9%	0.0%	0.0%	74.5%	73.8%	-30.4%	17.0K	-2.0M	-28.3K	0.01	2.77	123	2	9,608	10,127
2007-01-04	$21.18	$15.00	72.9%	20.9%	0.0%	0.0%	0.0%	-5.8%	-6.3%	18.7K	-2.2M	-30.0K	1.23	3.38	191	235	9,656	10,091
2007-01-05	$20.64	$15.00	69.7%	14.7%	0.0%	0.0%	42.5%	6.3%	7.3%	17.3K	-2.2M	-29.2K	0.87	2.70	13	11	9,775	10,254
2007-01-08	$20.64	$15.00	101.8%	21.2%	0.0%	0.0%	0.0%	-0.2%	-35.0%	17.4K	-2.1M	-28.9K	0.44	2.13	56	25	9,780	10,263
2007-01-09	$20.52	$15.00	85.0%	14.3%	0.0%	0.0%	46.4%	8.9%	12.5%	16.4K	-2.1M	-29.0K	1.23	3.59	20	25	9,780	10,286
2007-01-10	$20.10	$15.00	78.5%	14.6%	0.0%	0.0%	0.0%	4.9%	3.8%	14.2K	-2.0M	-27.3K	0.58	2.76	9	5	9,800	10,282
2007-01-11	$20.34	$15.00	53.8%	15.4%	0.0%	0.0%	53.6%	5.0%	5.0%	15.3K	-2.1M	-28.8K	0.75	3.59	11	8	9,806	10,283
2007-01-12	$20.64	$15.00	56.1%	16.1%	0.0%	0.0%	0.0%	6.5%	4.8%	17.3K	-2.2M	-29.3K	0.50	2.70	33	17	9,817	10,278
2007-01-16	$20.64	$15.00	53.3%	15.3%	0.0%	0.0%	46.9%	9.7%	8.8%	17.3K	-2.2M	-28.5K	72.33	2.15	47	3,399	9,850	10,267
2007-01-17	$20.10	$15.00	56.5%	16.2%	0.0%	0.0%	54.3%	5.0%	0.8%	-20.9K	-921.8K	-43.8K	0.17	2.76	58	10	9,878	13,636
2007-01-18	$19.68	$15.00	51.4%	14.7%	0.0%	0.0%	0.0%	3.2%	14.1%	-22.9K	-704.6K	-45.1K	0.00	3.74	130	0	9,906	13,644
2007-01-19	$20.34	$15.00	54.5%	15.6%	0.0%	0.0%	48.1%	8.4%	-16.2%	-24.8K	-731.1K	-44.4K	0.45	3.65	68	30	10,026	13,644
2007-01-22	$20.16	$15.00	46.7%	13.4%	0.0%	0.0%	43.5%	0.4%	-4.3%	-23.0K	413.6K	-44.2K	4.25	2.16	15	63	3,623	5,631
2007-01-23	$20.34	$15.00	52.0%	14.9%	0.0%	0.0%	52.2%	-1.8%	-8.3%	-22.5K	238.4K	-44.6K	0.00	3.65	83	0	3,632	5,663
2007-01-24	$20.46	$15.00	50.3%	14.4%	0.0%	0.0%	47.1%	1.9%	-5.8%	-24.8K	495.3K	-44.9K	0.73	3.02	16	12	3,668	5,663
2007-01-25	$20.58	$15.00	57.2%	16.4%	27.6%	0.0%	59.2%	1.1%	-21.2%	-20.9K	52.1K	-43.5K	0.29	3.59	57	17	3,675	5,662
2007-01-26	$21.42	$15.00	55.4%	15.9%	31.2%	0.0%	49.7%	9.2%	-6.0%	-15.6K	-417.6K	-42.9K	0.06	2.47	297	17	3,711	5,670
2007-01-29	$21.00	$15.00	62.0%	17.8%	31.3%	0.0%	0.0%	3.3%	-24.5%	-16.5K	-283.6K	-42.0K	0.16	3.60	5	1	3,857	5,687
2007-01-30	$21.00	$15.00	63.7%	18.3%	30.4%	0.0%	0.0%	3.3%	-14.2%	-16.0K	-262.9K	-44.2K	0.00	3.03	35	0	3,862	5,687
2007-01-31	$21.00	$15.00	65.6%	18.8%	29.5%	0.0%	64.5%	2.3%	-15.5%	-16.5K	-154.7K	-43.4K	0.00	3.60	7	0	3,849	5,685