SANM Options History — February 2008

In February 2008, SANM traded between $9.42 and $10.98. ATM implied volatility averaged 67.8%, placing in the 24.7% IV rank vs the trailing year. The 30-day expected move averaged 19.4%. IV traded below realized volatility by 45.1% (HV 20d: 112.9%). 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 3 of 20 days. Put/call ratio averaged 0.11.

Notable Days

2008-02-22: Highest Volume — 118 contracts
2008-02-06: Largest IV spike — 12.6% change
2008-02-15: Highest IV Rank — 29.9%
2008-02-15: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.04	$9.42	$10.98	$10.08	$9.90
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	67.8%	58.1%	73.9%	58.1%	67.5%
Expected Move	19.4%	16.7%	21.2%	16.7%	19.4%
HV 20d	112.9%	86.0%	137.4%	132.0%	86.0%
HV 60d	92.1%	87.5%	94.0%	87.5%	94.0%
IV Rank	24.7%	18.9%	29.9%	19.6%	21.5%
IV Percentile	52.2%	36.9%	63.9%	36.9%	50.0%
Term Structure	-3.7%	-10.1%	4.2%	4.2%	1.3%
VWIV	66.5%	53.8%	72.9%	58.2%	67.7%
Bid-Ask Spread %	15.86	11.46	19.68	14.53	18.91
Gamma HHI	0.46	0.35	0.50	0.35	0.43
Net GEX	2.5K	1.1K	3.2K	1.1K	2.4K
Net DEX	69.5K	-5.0K	182.3K	182.3K	83.6K
Net VEX	-6.1K	-7.1K	-4.8K	-4.8K	-5.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.11	0.00	1.00	0.00	0.00
Total Volume	17.1	0	118	22	2
Total OI	3,098	3,004	3,146	3,004	3,146

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
2008-02-01	$10.08	$15.00	58.1%	16.7%	132.0%	19.6%	58.2%	0.0%	4.2%	1.1K	182.3K	-4.8K	0.00	14.53	22	0	2,420	584
2008-02-04	$10.56	$15.00	63.5%	18.2%	129.1%	23.2%	63.6%	0.0%	-4.1%	2.0K	124.6K	-5.9K	0.00	12.52	24	0	2,440	584
2008-02-05	$9.66	$15.00	62.5%	17.9%	132.9%	22.5%	62.9%	0.0%	-4.1%	1.5K	163.6K	-4.9K	0.00	13.55	26	0	2,459	584
2008-02-06	$10.14	$15.00	70.4%	20.2%	134.1%	27.7%	70.4%	0.0%	-7.0%	2.8K	43.1K	-6.6K	0.63	17.18	16	10	2,483	584
2008-02-07	$10.98	$15.00	66.5%	19.1%	134.1%	25.1%	66.6%	0.0%	-4.8%	3.2K	26.6K	-7.1K	0.00	11.47	31	0	2,499	585
2008-02-08	$10.14	$15.00	68.5%	19.6%	137.4%	26.4%	68.5%	0.0%	-2.2%	2.7K	57.7K	-6.2K	0.08	12.01	24	2	2,520	585
2008-02-11	$9.90	$15.00	72.9%	20.9%	125.3%	29.3%	72.9%	0.0%	-10.1%	3.1K	15.3K	-6.7K	0.00	15.18	22	0	2,514	587
2008-02-12	$9.42	$15.00	69.5%	19.9%	124.8%	27.1%	0.0%	0.0%	-7.0%	2.2K	97.2K	-5.4K	0.00	18.31	0	0	2,514	587
2008-02-13	$9.90	$15.00	66.1%	19.0%	125.7%	24.9%	0.0%	0.0%	0.3%	2.1K	103.4K	-5.7K	0.00	19.68	6	0	2,514	587
2008-02-14	$9.54	$15.00	69.3%	19.9%	119.2%	26.9%	0.0%	0.0%	-3.1%	2.2K	87.1K	-5.7K	0.00	19.51	0	0	2,517	587
2008-02-15	$9.78	$15.00	73.9%	21.2%	110.3%	29.9%	0.0%	0.0%	-8.5%	3.0K	8.5K	-6.6K	0.00	15.90	0	0	2,517	587
2008-02-19	$10.32	$15.00	70.3%	20.1%	106.0%	27.6%	70.3%	0.0%	-6.8%	3.0K	20.1K	-6.8K	0.00	15.74	2	0	2,517	587
2008-02-20	$9.66	$15.00	67.2%	19.3%	107.6%	25.6%	67.5%	0.0%	-2.4%	2.2K	92.0K	-5.6K	0.00	18.91	8	0	2,517	587
2008-02-21	$9.84	$15.00	71.2%	20.4%	95.9%	28.2%	71.3%	0.0%	-5.9%	2.7K	48.7K	-6.0K	1.00	11.46	2	2	2,519	587
2008-02-22	$10.14	$15.00	63.8%	18.3%	94.8%	18.9%	53.8%	0.0%	-2.0%	2.1K	109.9K	-5.7K	0.00	19.14	118	0	2,519	587
2008-02-25	$10.68	$15.00	65.1%	18.7%	93.4%	19.8%	66.6%	0.0%	-0.7%	3.0K	31.0K	-6.6K	0.00	15.22	6	0	2,549	587
2008-02-26	$10.20	$15.00	71.6%	20.5%	88.9%	24.3%	0.0%	0.0%	-6.1%	3.2K	-5.0K	-6.9K	0.00	14.88	0	0	2,553	587
2008-02-27	$9.78	$15.00	66.5%	19.1%	89.4%	20.8%	0.0%	0.0%	-1.7%	2.3K	86.9K	-5.7K	0.00	17.03	0	2	2,553	587
2008-02-28	$10.26	$15.00	71.2%	20.4%	90.5%	24.0%	71.2%	0.0%	-3.8%	3.1K	13.5K	-6.4K	0.00	16.02	17	0	2,553	587
2008-02-29	$9.90	$15.00	67.5%	19.4%	86.0%	21.5%	67.7%	0.0%	1.3%	2.4K	83.6K	-5.8K	0.00	18.91	2	0	2,559	587