SANM Options History — December 2007

In December 2007, SANM traded between $9.90 and $11.70. ATM implied volatility averaged 103.7%, placing in the 50.3% IV rank vs the trailing year. The 30-day expected move averaged 29.7%. IV traded above realized volatility by 46.3% (HV 20d: 57.5%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2007-12-04: Highest Volume — 444 contracts
2007-12-04: Largest IV spike — 105.7% change
2007-12-31: Highest IV Rank — 81.8%
2007-12-31: Largest Expected Move — 43.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.68	$9.90	$11.70	$10.26	$10.92
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	103.7%	50.8%	151.0%	50.8%	151.0%
Expected Move	29.7%	14.6%	43.3%	14.6%	43.3%
HV 20d	57.5%	53.0%	62.2%	54.2%	57.5%
HV 60d	50.0%	46.0%	53.9%	47.6%	53.8%
IV Rank	50.3%	15.1%	81.8%	15.1%	81.8%
IV Percentile	88.2%	23.4%	98.4%	23.4%	98.4%
Term Structure	-38.6%	-85.4%	25.7%	25.7%	-85.4%
VWIV	92.9%	68.2%	109.0%	104.6%	73.6%
Bid-Ask Spread %	8.26	5.40	11.84	8.98	7.70
Gamma HHI	0.38	0.35	0.41	0.41	0.36
Net GEX	3.1K	2.3K	3.7K	3.4K	2.7K
Net DEX	4.2M	3.8M	4.7M	4.2M	4.3M
Net VEX	-7.0K	-7.7K	-6.1K	-7.4K	-6.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.00	4.33	4.33	0.00
Total Volume	55.9	0	444	48	37
Total OI	10,674.05	10,376	11,012	10,859	10,376

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
2007-12-03	$10.26	$15.00	50.8%	14.6%	54.2%	15.1%	0.0%	0.0%	25.7%	3.4K	4.2M	-7.4K	0.00	8.98	0	48	6,174	4,685
2007-12-04	$10.44	$15.00	104.6%	30.0%	53.0%	50.9%	104.6%	0.0%	-31.1%	3.3K	4.3M	-7.4K	4.33	6.93	83	361	6,174	4,707
2007-12-05	$11.10	$15.00	98.3%	28.2%	57.7%	46.7%	97.0%	0.0%	-29.3%	3.1K	4.7M	-7.3K	0.57	7.70	5	3	6,237	4,775
2007-12-06	$10.74	$15.00	82.2%	23.6%	57.8%	36.0%	68.2%	0.0%	-34.6%	2.5K	4.2M	-6.4K	0.58	7.70	20	12	6,241	4,415
2007-12-07	$10.50	$15.00	95.4%	27.3%	57.6%	44.8%	0.0%	0.0%	-39.3%	2.9K	4.1M	-7.0K	0.00	7.42	4	0	6,241	4,426
2007-12-10	$10.62	$15.00	108.6%	31.1%	56.8%	53.6%	109.0%	0.0%	-44.9%	2.4K	4.2M	-6.1K	0.00	5.40	8	0	6,238	4,426
2007-12-11	$10.56	$15.00	84.5%	24.2%	55.9%	37.5%	0.0%	0.0%	4.8%	2.8K	4.1M	-6.9K	0.00	8.98	17	0	6,247	4,426
2007-12-12	$10.80	$15.00	95.8%	27.5%	54.9%	45.0%	104.8%	0.0%	-37.6%	3.5K	4.2M	-7.4K	0.09	7.70	21	2	6,247	4,426
2007-12-13	$10.56	$15.00	114.4%	32.8%	54.8%	57.4%	0.0%	0.0%	-52.8%	2.3K	4.2M	-6.2K	0.00	7.42	0	0	6,240	4,426
2007-12-14	$9.90	$15.00	114.6%	32.9%	58.4%	57.6%	0.0%	0.0%	-60.7%	2.6K	3.9M	-6.3K	0.38	7.35	57	22	6,240	4,423
2007-12-17	$9.90	$15.00	119.3%	34.2%	56.7%	60.7%	0.0%	0.0%	-62.8%	3.0K	3.8M	-6.6K	0.00	8.02	2	0	6,249	4,426
2007-12-18	$10.56	$15.00	120.9%	34.7%	62.0%	61.8%	0.0%	0.0%	-49.4%	3.3K	4.1M	-7.2K	0.00	6.57	18	0	6,250	4,426
2007-12-19	$10.32	$15.00	71.5%	20.5%	62.2%	28.9%	0.0%	0.0%	-1.1%	3.3K	4.0M	-7.1K	2.65	8.98	3	9	6,246	4,426
2007-12-20	$10.50	$15.00	106.5%	30.5%	60.0%	52.2%	0.0%	0.0%	-51.7%	3.3K	4.1M	-7.1K	0.00	11.27	2	0	6,248	4,426
2007-12-21	$10.68	$15.00	103.4%	29.7%	56.7%	50.1%	0.0%	0.0%	-1.7%	2.9K	4.2M	-6.9K	0.06	7.34	256	15	6,248	4,426
2007-12-24	$11.34	$15.00	94.7%	27.1%	58.3%	44.3%	73.6%	0.0%	-46.9%	3.5K	4.4M	-7.5K	0.87	9.05	5	4	6,306	4,427
2007-12-26	$11.70	$15.00	99.7%	28.6%	57.3%	47.6%	0.0%	0.0%	-44.8%	3.7K	4.5M	-7.7K	0.00	10.07	0	0	6,272	4,427
2007-12-27	$11.10	$15.00	120.6%	34.6%	60.5%	61.6%	0.0%	0.0%	-60.0%	3.5K	4.3M	-7.3K	0.00	8.71	0	5	6,016	4,427
2007-12-28	$11.04	$15.00	138.1%	39.6%	57.6%	73.3%	0.0%	0.0%	-68.9%	3.1K	4.3M	-7.0K	0.00	11.84	99	0	6,016	4,429
2007-12-31	$10.92	$15.00	151.0%	43.3%	57.5%	81.8%	0.0%	0.0%	-85.4%	2.7K	4.3M	-6.6K	0.00	7.70	37	0	5,947	4,429