SANM Options History — March 2008

In March 2008, SANM traded between $8.52 and $10.86. ATM implied volatility averaged 72.7%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 20.8%. IV traded below realized volatility by 2.1% (HV 20d: 74.8%). 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 13 of 20 days. Put/call ratio averaged 0.04.

Notable Days

2008-03-17: Highest Volume — 54 contracts
2008-03-24: Largest IV drop — 17.5% change
2008-03-18: Highest IV Rank — 29.5%
2008-03-18: Largest Expected Move — 22.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.66	$8.52	$10.86	$9.72	$9.72
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	72.7%	64.0%	79.1%	75.9%	71.5%
Expected Move	20.8%	18.4%	22.7%	21.7%	20.5%
HV 20d	74.8%	59.6%	89.6%	82.7%	87.0%
HV 60d	96.1%	92.9%	101.3%	94.0%	101.2%
IV Rank	25.1%	19.1%	29.5%	27.3%	24.2%
IV Percentile	62.3%	41.3%	76.2%	67.9%	59.9%
Term Structure	3.5%	-5.0%	13.3%	-3.2%	6.2%
VWIV	75.0%	63.9%	91.7%	74.2%	70.1%
Bid-Ask Spread %	16.17	10.15	28.40	10.15	20.03
Gamma HHI	0.41	0.35	0.45	0.45	0.35
Net GEX	2.6K	1.8K	3.2K	2.9K	2.8K
Net DEX	41.5K	-28.2K	131.1K	25.1K	26.3K
Net VEX	-5.9K	-6.7K	-5.0K	-6.2K	-6.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.04	0.00	0.39	0.00	0.00
Total Volume	12.4	0	54	0	0
Total OI	3,202.6	3,144	3,285	3,147	3,285

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
2008-03-03	$9.72	$15.00	75.9%	21.7%	82.7%	27.3%	0.0%	0.0%	-3.2%	2.9K	25.1K	-6.2K	0.00	10.15	0	0	2,560	587
2008-03-04	$10.02	$15.00	73.8%	21.2%	81.6%	25.9%	0.0%	0.0%	-5.0%	3.2K	2.6K	-6.7K	0.00	13.97	0	0	2,560	587
2008-03-05	$10.26	$15.00	69.3%	19.9%	75.4%	22.7%	0.0%	0.0%	-0.7%	2.7K	59.8K	-6.2K	0.00	10.85	0	0	2,560	587
2008-03-06	$9.72	$15.00	74.2%	21.3%	75.9%	26.1%	0.0%	0.0%	-4.9%	2.8K	36.0K	-6.0K	0.00	11.80	2	0	2,560	587
2008-03-07	$9.54	$15.00	74.0%	21.2%	69.7%	26.0%	74.2%	0.0%	-3.6%	2.8K	23.8K	-6.1K	0.00	10.25	7	0	2,563	587
2008-03-10	$9.72	$15.00	70.3%	20.2%	64.6%	23.4%	0.0%	0.0%	-0.7%	2.4K	81.9K	-5.7K	0.00	17.20	0	0	2,560	587
2008-03-11	$9.54	$15.00	71.1%	20.4%	64.4%	24.0%	71.2%	0.0%	3.9%	2.4K	63.4K	-5.7K	0.00	17.61	2	0	2,560	587
2008-03-12	$9.72	$15.00	70.6%	20.2%	62.2%	23.6%	0.0%	0.0%	-0.8%	2.4K	83.6K	-5.6K	0.00	17.20	11	0	2,557	587
2008-03-13	$9.72	$15.00	72.4%	20.7%	59.6%	24.8%	72.2%	0.0%	0.4%	2.3K	87.0K	-5.5K	0.39	18.72	26	10	2,557	587
2008-03-14	$8.88	$15.00	75.6%	21.7%	66.5%	27.1%	91.7%	0.0%	5.6%	2.1K	84.6K	-5.2K	0.00	28.40	27	0	2,576	596
2008-03-17	$8.52	$15.00	79.1%	22.7%	66.9%	29.5%	0.0%	0.0%	10.4%	2.1K	58.2K	-5.2K	0.00	12.68	54	0	2,599	596
2008-03-18	$9.42	$15.00	79.1%	22.7%	74.1%	29.5%	87.6%	0.0%	8.3%	3.0K	-28.2K	-6.3K	0.00	10.87	19	0	2,624	596
2008-03-19	$9.30	$15.00	73.8%	21.2%	70.6%	25.8%	74.2%	0.0%	6.0%	2.6K	18.9K	-5.8K	0.00	19.01	24	0	2,640	596
2008-03-20	$8.94	$15.00	77.6%	22.2%	71.4%	28.4%	78.1%	0.0%	2.9%	2.6K	25.0K	-5.7K	0.00	18.52	2	0	2,655	596
2008-03-24	$9.72	$15.00	64.0%	18.4%	77.2%	19.1%	63.9%	0.0%	13.3%	1.8K	131.1K	-5.0K	0.06	22.64	42	3	2,655	596
2008-03-25	$10.86	$15.00	66.6%	19.1%	85.1%	20.8%	66.7%	0.0%	9.1%	3.1K	9.7K	-6.5K	0.00	12.79	12	0	2,679	595
2008-03-26	$10.56	$15.00	69.9%	20.1%	84.0%	23.2%	70.1%	0.0%	9.1%	3.1K	3.1K	-6.5K	0.00	14.16	7	0	2,683	595
2008-03-27	$9.60	$15.00	72.8%	20.9%	89.6%	25.2%	0.0%	0.0%	7.4%	2.8K	15.6K	-5.9K	0.00	18.08	0	0	2,690	595
2008-03-28	$9.72	$15.00	72.4%	20.8%	87.9%	24.9%	0.0%	0.0%	7.0%	2.8K	22.1K	-6.1K	0.00	18.40	0	0	2,690	595
2008-03-31	$9.72	$15.00	71.5%	20.5%	87.0%	24.2%	0.0%	0.0%	6.2%	2.8K	26.3K	-6.0K	0.00	20.03	0	0	2,690	595