SANM Options History — April 2008 In April 2008, SANM traded between $8.52 and $9.84. ATM implied volatility averaged 70.8%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 20.3%. IV traded below realized volatility by 9.4% (HV 20d: 80.3%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.13.
Notable Days 2008-04-01 : Highest Volume — 60 contracts2008-04-24 : Largest IV drop — 14.1% change2008-04-23 : Highest IV Rank — 29.1%2008-04-23 : Largest Expected Move — 22.5%Monthly Statistics Metric Avg Min Max Open Close Price $9.14 $8.52 $9.84 $9.48 $9.30 Max Pain $15.00 $15.00 $15.00 $15.00 $15.00 ATM IV 70.8% 60.6% 78.5% 71.2% 60.6% Expected Move 20.3% 17.4% 22.5% 20.4% 17.4% HV 20d 80.3% 48.3% 95.5% 87.3% 48.3% HV 60d 89.8% 76.2% 102.8% 101.3% 76.2% IV Rank 23.8% 16.7% 29.1% 24.0% 16.7% IV Percentile 56.3% 28.6% 76.2% 57.9% 28.6% Term Structure 11.2% 5.0% 19.3% 11.0% 17.7% VWIV 70.9% 65.6% 74.5% 68.6% 65.6% Bid-Ask Spread % 20.85 11.68 28.35 28.35 17.09 Gamma HHI 0.34 0.33 0.36 0.35 0.36 Net GEX 2.5K 2.0K 3.0K 2.5K 2.0K Net DEX 18.5K -69.4K 64.0K 52.5K 51.1K Net VEX -5.5K -6.1K -4.9K -5.4K -5.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.13 0.00 2.00 0.00 0.00 Total Volume 8.591 0 60 60 1 Total OI 3,353.227 3,285 3,380 3,285 3,380
Daily Data (22 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 2008-04-01 $9.48 $15.00 71.2% 20.4% 87.3% 24.0% 0.0% 0.0% 11.0% 2.5K 52.5K -5.4K 0.00 28.35 60 0 2,690 595 2008-04-02 $8.52 $15.00 74.8% 21.4% 94.0% 26.5% 0.0% 0.0% 10.7% 2.1K 53.8K -4.9K 0.00 23.21 16 0 2,718 595 2008-04-03 $8.94 $15.00 71.4% 20.5% 95.5% 24.2% 0.0% 0.0% 16.5% 2.2K 57.5K -5.1K 0.00 23.35 1 0 2,734 595 2008-04-04 $9.30 $15.00 68.2% 19.5% 95.1% 21.9% 68.6% 0.0% 19.3% 2.2K 64.0K -5.3K 0.00 22.42 18 0 2,735 595 2008-04-07 $9.36 $15.00 74.1% 21.3% 95.0% 26.1% 74.3% 0.0% 5.9% 2.7K 25.2K -5.7K 0.00 11.68 33 0 2,741 595 2008-04-08 $9.30 $15.00 68.5% 19.6% 94.7% 22.2% 0.0% 0.0% 8.7% 2.4K 61.1K -5.5K 0.00 23.59 0 0 2,770 595 2008-04-09 $9.18 $15.00 70.7% 20.3% 94.6% 23.7% 0.0% 0.0% 6.5% 2.5K 54.9K -5.5K 0.00 21.63 2 0 2,770 595 2008-04-10 $8.82 $15.00 72.4% 20.7% 95.2% 24.8% 73.2% 0.0% 6.3% 2.4K 43.2K -5.2K 0.00 22.67 1 0 2,770 595 2008-04-11 $8.64 $15.00 75.8% 21.7% 95.3% 27.3% 0.0% 0.0% 5.6% 2.6K 22.4K -5.4K 0.00 22.07 0 0 2,770 595 2008-04-14 $8.88 $15.00 74.0% 21.2% 90.5% 26.0% 72.7% 0.0% 10.1% 2.6K -10.2K -5.6K 0.00 22.67 4 0 2,758 587 2008-04-15 $8.70 $15.00 75.4% 21.6% 89.5% 26.9% 0.0% 0.0% 8.7% 2.5K -10.4K -5.4K 0.00 21.10 0 0 2,756 587 2008-04-16 $8.94 $15.00 73.0% 20.9% 82.2% 25.3% 0.0% 0.0% 8.8% 2.5K 466 -5.5K 0.00 22.26 0 0 2,756 587 2008-04-17 $8.94 $15.00 73.2% 21.0% 82.2% 25.4% 73.7% 0.0% 5.0% 2.5K 14.1K -5.5K 2.00 22.26 2 3 2,756 587 2008-04-18 $9.12 $15.00 65.8% 18.9% 81.3% 20.3% 0.0% 0.0% 9.6% 2.1K 57.3K -5.1K 0.00 15.75 10 0 2,758 590 2008-04-21 $8.88 $15.00 74.5% 21.4% 75.6% 26.3% 74.5% 0.0% 10.6% 2.6K -18.7K -5.5K 0.00 22.67 15 0 2,768 590 2008-04-22 $9.18 $15.00 70.5% 20.2% 64.0% 23.6% 71.2% 0.0% 16.1% 2.4K -5.4K -5.6K 0.00 22.42 10 0 2,768 590 2008-04-23 $8.88 $15.00 78.5% 22.5% 64.3% 29.1% 0.0% 0.0% 5.3% 3.0K -69.4K -5.8K 0.00 13.91 0 0 2,790 590 2008-04-24 $9.42 $15.00 67.4% 19.3% 59.9% 21.4% 0.0% 0.0% 14.6% 2.6K -8.3K -5.6K 0.00 24.96 0 0 2,790 590 2008-04-25 $9.66 $15.00 62.8% 18.0% 60.4% 18.2% 0.0% 0.0% 17.7% 2.2K 42.2K -5.3K 0.00 16.72 0 0 2,790 590 2008-04-28 $9.84 $15.00 68.5% 19.7% 60.8% 22.2% 69.1% 0.0% 12.8% 3.0K -50.8K -6.1K 0.00 14.51 8 0 2,790 590 2008-04-29 $9.72 $15.00 66.7% 19.1% 60.2% 20.9% 66.6% 0.0% 19.2% 2.5K -19.2K -5.7K 0.00 23.39 0 5 2,790 590 2008-04-30 $9.30 $15.00 60.6% 17.4% 48.3% 16.7% 65.6% 0.0% 17.7% 2.0K 51.1K -5.0K 0.00 17.09 1 0 2,790 590
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