SANM Options History — February 2007

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

In February 2007, SANM traded between $20.82 and $23.46. ATM implied volatility averaged 59.5%. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 34.8% (HV 20d: 24.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.17.

Notable Days

2007-02-09: Highest Volume — 269 contracts
2007-02-27: Largest IV spike — 66.2% change
2007-02-27: Largest Expected Move — 22.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.15	$20.82	$23.46	$20.82	$22.26
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	59.5%	28.2%	121.9%	61.8%	70.6%
Expected Move	14.5%	8.1%	22.3%	17.7%	20.2%
HV 20d	24.8%	16.0%	30.0%	28.9%	30.0%
Term Structure	-14.8%	-49.2%	18.9%	18.9%	-19.3%
VWIV	57.4%	57.4%	57.4%	57.4%	57.4%
Skew 25d	-14.5%	-86.2%	11.7%	11.7%	7.3%
Skew 10d	-17.8%	-98.6%	16.6%	11.7%	7.3%
Call IV 25d	75.2%	38.0%	160.6%	56.0%	67.0%
Put IV 25d	60.7%	43.0%	96.5%	67.7%	74.2%
Bid-Ask Spread %	3.31	2.10	4.48	2.10	3.11
Gamma HHI	0.43	0.41	0.48	0.46	0.42
Net GEX	5.0K	-18.6K	33.5K	-14.0K	11.8K
Net DEX	-917.8K	-1.8M	161.8K	-216.7K	-1.0M
Net VEX	-44.9K	-46.7K	-42.7K	-45.2K	-44.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.17	0.00	0.93	0.00	0.00
Total Volume	70.842	0	269	4	7
Total OI	9,867.053	9,536	10,168	9,537	10,168

Daily Data (19 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
2007-02-01	$20.82	$15.00	61.8%	17.7%	28.9%	0.0%	0.0%	11.7%	18.9%	-14.0K	-216.7K	-45.2K	0.00	2.10	4	0	3,852	5,685
2007-02-02	$21.06	$15.00	68.1%	11.2%	28.5%	0.0%	0.0%	5.0%	-1.2%	-17.5K	12.6K	-44.4K	0.00	3.03	63	0	3,852	5,685
2007-02-05	$20.88	$15.00	82.0%	12.7%	27.1%	0.0%	0.0%	3.0%	-14.1%	-17.4K	-141.4K	-44.3K	0.05	3.95	33	2	3,851	5,685
2007-02-06	$21.06	$15.00	79.8%	13.7%	27.3%	0.0%	0.0%	1.7%	-15.7%	-18.6K	161.8K	-44.7K	0.00	3.55	0	0	3,851	5,687
2007-02-07	$21.54	$15.00	121.9%	15.1%	28.2%	0.0%	0.0%	1.7%	13.4%	-4.4K	-621.5K	-45.4K	0.07	3.53	123	8	3,851	5,687
2007-02-08	$21.66	$15.00	51.7%	14.8%	26.8%	0.0%	0.0%	4.2%	-17.3%	-8.6K	-587.6K	-42.7K	0.48	3.53	3	2	3,974	5,687
2007-02-09	$21.78	$15.00	66.6%	19.1%	26.7%	0.0%	0.0%	1.3%	-49.2%	-7.2K	-688.0K	-42.7K	0.08	2.19	249	20	3,986	5,687
2007-02-12	$21.90	$15.00	57.1%	16.4%	26.3%	0.0%	0.0%	4.3%	-20.6%	-956	-869.0K	-44.7K	0.07	3.55	23	2	4,205	5,706
2007-02-13	$22.38	$15.00	56.1%	16.1%	27.1%	0.0%	57.4%	7.2%	-19.9%	5.6K	-1.1M	-43.1K	0.00	3.13	219	0	4,224	5,707
2007-02-14	$22.44	$15.00	55.8%	16.0%	24.6%	0.0%	0.0%	8.7%	-20.0%	7.6K	-1.3M	-45.4K	0.00	3.58	17	0	4,360	5,707
2007-02-15	$22.68	$15.00	38.2%	10.9%	22.6%	0.0%	0.0%	8.8%	-12.8%	11.7K	-1.3M	-46.0K	0.00	3.61	136	0	4,377	5,707
2007-02-16	$22.80	$15.00	40.4%	11.6%	20.4%	0.0%	0.0%	8.9%	-13.1%	16.2K	-1.5M	-46.5K	0.00	3.58	92	0	4,439	5,707
2007-02-20	$22.80	$15.00	43.4%	12.4%	19.8%	0.0%	0.0%	-41.3%	-15.2%	22.1K	-1.4M	-46.7K	0.08	3.18	66	5	4,379	5,581
2007-02-21	$23.10	$15.00	28.2%	8.1%	19.9%	0.0%	0.0%	-45.3%	-15.3%	27.1K	-1.6M	-45.2K	0.16	2.76	33	5	4,385	5,581
2007-02-22	$23.04	$15.00	42.7%	12.2%	20.2%	0.0%	0.0%	-76.6%	-16.1%	18.9K	-1.3M	-46.4K	0.88	3.13	19	17	4,416	5,581
2007-02-23	$23.34	$15.00	41.9%	12.0%	20.3%	0.0%	0.0%	-86.2%	-16.2%	22.8K	-1.4M	-45.0K	0.93	3.26	33	31	4,431	5,598
2007-02-26	$23.46	$15.00	46.8%	13.4%	16.0%	0.0%	0.0%	-84.2%	-18.4%	33.5K	-1.8M	-43.4K	0.00	3.64	60	0	4,460	5,617
2007-02-27	$21.90	$15.00	77.8%	22.3%	29.6%	0.0%	0.0%	-15.3%	-28.6%	7.1K	-734.6K	-45.6K	0.30	4.48	57	17	4,501	5,617
2007-02-28	$22.26	$15.00	70.6%	20.2%	30.0%	0.0%	0.0%	7.3%	-19.3%	11.8K	-1.0M	-44.8K	0.00	3.11	7	0	4,537	5,631