SANM Options History — January 2008

In January 2008, SANM traded between $7.32 and $10.68. ATM implied volatility averaged 91.5%, placing in the 41.8% IV rank vs the trailing year. The 30-day expected move averaged 26.2%. IV traded below realized volatility by 0.3% (HV 20d: 91.8%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.44.

Notable Days

2008-01-08: Highest Volume — 175 contracts
2008-01-14: Largest IV drop — 57.9% change
2008-01-11: Highest IV Rank — 100.0%
2008-01-11: Largest Expected Move — 51.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.87	$7.32	$10.68	$10.68	$9.42
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	91.5%	57.8%	180.8%	169.3%	62.3%
Expected Move	26.2%	16.6%	51.8%	48.5%	17.9%
HV 20d	91.8%	56.3%	129.4%	56.6%	129.4%
HV 60d	69.4%	53.9%	86.5%	53.9%	86.5%
IV Rank	41.8%	19.4%	100.0%	94.0%	22.4%
IV Percentile	69.3%	36.5%	100.0%	99.6%	43.3%
Term Structure	-19.8%	-100.9%	7.4%	-94.8%	1.3%
VWIV	70.1%	61.8%	80.5%	76.0%	62.5%
Bid-Ask Spread %	12.98	6.35	23.59	8.02	23.59
Gamma HHI	0.36	0.33	0.41	0.41	0.35
Net GEX	1.6K	303	3.7K	3.7K	924
Net DEX	2.3M	170.1K	4.1M	4.1M	217.0K
Net VEX	-4.9K	-7.5K	-3.2K	-7.5K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.00	6.00	0.00	0.00
Total Volume	30.333	0	175	18	12
Total OI	7,567.952	2,923	10,418	10,391	2,994

Daily Data (21 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
2008-01-02	$10.68	$15.00	169.3%	48.5%	56.6%	94.0%	0.0%	0.0%	-94.8%	3.7K	4.1M	-7.5K	0.00	8.02	18	0	5,962	4,429
2008-01-03	$10.68	$15.00	84.0%	24.1%	56.3%	37.2%	0.0%	0.0%	-2.2%	3.4K	4.1M	-7.0K	0.00	7.70	0	0	5,962	4,429
2008-01-04	$9.78	$15.00	88.3%	25.3%	60.0%	40.1%	0.0%	0.0%	-16.4%	2.8K	3.8M	-6.3K	0.00	7.19	37	0	5,962	4,429
2008-01-07	$10.02	$15.00	107.0%	30.7%	60.1%	52.5%	0.0%	0.0%	-25.8%	2.9K	3.9M	-6.6K	0.04	8.06	8	0	5,998	4,420
2008-01-08	$9.90	$15.00	130.0%	37.3%	59.7%	67.9%	0.0%	0.0%	-27.9%	3.0K	3.8M	-6.6K	6.00	8.40	25	150	5,998	4,420
2008-01-09	$9.24	$15.00	123.4%	35.4%	63.9%	63.4%	0.0%	0.0%	-51.1%	2.1K	3.6M	-5.8K	0.16	8.09	26	4	5,996	4,384
2008-01-10	$9.06	$15.00	142.4%	40.8%	64.0%	76.1%	0.0%	0.0%	-70.6%	795	3.6M	-4.4K	0.00	6.35	26	0	5,990	4,359
2008-01-11	$7.80	$15.00	180.8%	51.8%	80.4%	100.0%	0.0%	0.0%	-100.9%	1.3K	3.1M	-4.6K	0.00	7.14	32	0	5,995	4,359
2008-01-14	$8.40	$15.00	76.1%	21.8%	86.5%	31.4%	76.0%	0.0%	-6.2%	1.7K	3.3M	-5.2K	0.08	17.19	61	5	6,026	4,359
2008-01-15	$8.34	$15.00	71.7%	20.5%	84.2%	28.5%	71.5%	0.0%	-1.3%	1.3K	3.3M	-4.7K	0.00	10.42	1	0	6,056	4,362
2008-01-16	$9.42	$15.00	75.3%	21.6%	96.1%	30.9%	75.4%	0.0%	-1.2%	2.3K	3.6M	-6.1K	1.01	17.17	13	13	6,056	4,362
2008-01-17	$8.34	$15.00	77.6%	22.2%	101.4%	32.4%	79.7%	0.0%	-6.1%	1.8K	3.2M	-5.2K	0.00	17.77	5	0	6,055	4,362
2008-01-18	$7.68	$15.00	80.5%	23.1%	104.5%	34.3%	80.5%	0.0%	-7.3%	1.5K	3.0M	-4.4K	0.90	12.45	3	3	6,055	4,362
2008-01-22	$7.32	$15.00	74.5%	21.4%	104.4%	30.3%	74.8%	0.0%	0.7%	842	170.1K	-3.6K	0.00	13.85	68	0	2,337	586
2008-01-23	$8.46	$15.00	67.3%	19.3%	118.9%	25.7%	67.9%	0.0%	0.2%	754	229.1K	-3.6K	0.00	16.76	27	0	2,381	586
2008-01-24	$8.16	$15.00	65.5%	18.8%	116.1%	24.4%	66.4%	0.0%	-7.1%	739	215.8K	-3.7K	0.31	15.38	16	5	2,389	586
2008-01-25	$7.80	$15.00	63.0%	18.1%	115.1%	22.8%	65.9%	0.0%	-9.8%	459	237.8K	-3.2K	0.29	15.27	12	3	2,389	584
2008-01-28	$8.70	$15.00	57.8%	16.6%	123.1%	19.4%	61.8%	0.0%	7.4%	303	242.1K	-3.6K	0.00	17.09	8	0	2,394	584
2008-01-29	$8.40	$15.00	60.2%	17.3%	123.3%	21.0%	65.1%	0.0%	5.9%	427	230.1K	-3.6K	0.00	16.54	42	0	2,399	584
2008-01-30	$8.58	$15.00	63.5%	18.2%	123.9%	23.2%	63.5%	0.0%	-2.9%	732	224.1K	-3.7K	0.00	18.13	14	0	2,403	584
2008-01-31	$9.42	$15.00	62.3%	17.9%	129.4%	22.4%	62.5%	0.0%	1.3%	924	217.0K	-4.3K	0.00	23.59	12	0	2,410	584