SANM Options History — July 2008

In July 2008, SANM traded between $6.42 and $10.62. ATM implied volatility averaged 72.0%, placing in the 24.5% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 2.8% (HV 20d: 74.8%). 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 8 of 22 days. Put/call ratio averaged 0.22.

Notable Days

2008-07-23: Highest Volume — 101 contracts
2008-07-10: Largest IV spike — 61.3% change
2008-07-22: Highest IV Rank — 35.4%
2008-07-22: Largest Expected Move — 25.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.29	$6.42	$10.62	$7.74	$10.62
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	72.0%	45.9%	87.6%	45.9%	65.9%
Expected Move	20.6%	13.2%	25.1%	13.2%	18.9%
HV 20d	74.8%	52.8%	106.0%	52.8%	92.3%
HV 60d	53.1%	42.4%	65.8%	42.4%	65.7%
IV Rank	24.5%	6.5%	35.4%	6.5%	18.7%
IV Percentile	54.1%	10.7%	87.7%	10.7%	25.8%
Term Structure	-4.2%	-30.4%	38.4%	37.1%	2.0%
VWIV	71.2%	44.9%	113.4%	44.9%	64.3%
Bid-Ask Spread %	22.03	9.28	39.82	9.38	20.82
Gamma HHI	0.64	0.36	0.93	0.83	0.60
Net GEX	2.0K	922	3.8K	1.1K	3.2K
Net DEX	111.0K	-92.9K	260.7K	232.8K	36.9K
Net VEX	-3.2K	-5.4K	-1.3K	-2.1K	-5.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.22	0.00	1.67	0.00	0.00
Total Volume	18.409	0	101	5	0
Total OI	3,290.045	467	3,548	3,364	3,544

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
2008-07-01	$7.74	$15.00	45.9%	13.2%	52.8%	6.5%	44.9%	0.0%	37.1%	1.1K	232.8K	-2.1K	0.00	9.38	5	0	2,831	533
2008-07-02	$7.38	$15.00	69.8%	20.0%	54.3%	23.1%	0.0%	0.0%	5.8%	1.6K	74.6K	-3.5K	0.00	10.19	7	0	2,830	533
2008-07-03	$7.56	$15.00	69.8%	20.0%	55.2%	23.1%	113.4%	0.0%	7.3%	1.6K	73.1K	-3.4K	0.00	12.44	0	6	2,830	533
2008-07-07	$7.56	$15.00	83.4%	23.9%	55.3%	32.5%	0.0%	0.0%	-0.1%	1.1K	253.6K	-1.6K	0.00	9.33	0	0	2,830	533
2008-07-08	$7.44	$15.00	52.9%	15.2%	53.0%	11.3%	48.0%	0.0%	38.4%	1.0K	250.1K	-1.5K	0.00	15.65	3	0	2,830	533
2008-07-09	$6.96	$15.00	51.8%	14.8%	54.4%	10.6%	51.8%	0.0%	25.2%	999	260.7K	-1.3K	0.00	10.56	43	0	2,830	533
2008-07-10	$6.84	$15.00	83.5%	23.9%	54.4%	32.6%	0.0%	0.0%	-12.9%	936	254.3K	-1.4K	0.00	12.80	0	0	2,849	533
2008-07-11	$6.90	$15.00	80.1%	23.0%	54.9%	30.2%	0.0%	0.0%	-13.6%	985	255.2K	-1.4K	0.00	11.72	2	0	2,849	533
2008-07-14	$6.42	$15.00	86.4%	24.8%	55.8%	34.6%	0.0%	0.0%	-17.4%	922	232.0K	-1.3K	0.00	9.28	0	0	2,851	533
2008-07-15	$6.90	$15.00	86.6%	24.8%	63.7%	34.7%	83.7%	0.0%	-22.3%	1.0K	259.6K	-1.3K	1.43	33.17	12	17	2,851	533
2008-07-16	$7.62	$15.00	83.9%	24.1%	75.5%	32.9%	97.6%	0.0%	-25.4%	2.5K	29.5K	-4.1K	0.00	39.82	2	0	2,859	526
2008-07-17	$8.40	$15.00	77.6%	22.2%	84.6%	28.5%	69.9%	0.0%	-17.0%	1.9K	135.6K	-3.5K	0.00	34.20	0	17	2,860	526
2008-07-18	$8.10	$15.00	72.4%	20.8%	85.3%	24.9%	59.0%	0.0%	-20.5%	2.3K	87.8K	-3.8K	1.67	33.29	10	17	2,860	526
2008-07-21	$8.10	$0.00	77.4%	22.2%	85.2%	28.3%	62.7%	0.0%	-30.4%	1.5K	-92.9K	-1.6K	0.09	38.25	45	4	438	29
2008-07-22	$8.52	$15.00	87.6%	25.1%	87.4%	35.4%	87.7%	0.0%	-15.2%	2.6K	45.1K	-4.3K	0.00	38.86	19	0	2,901	526
2008-07-23	$8.22	$15.00	73.1%	21.0%	88.1%	25.4%	85.1%	0.0%	-11.6%	2.6K	15.9K	-4.2K	0.00	18.57	101	0	2,921	526
2008-07-24	$9.66	$15.00	70.2%	20.1%	106.0%	23.3%	80.4%	0.0%	-9.8%	3.4K	-12.5K	-5.0K	0.05	28.95	37	2	2,961	526
2008-07-25	$10.20	$15.00	69.0%	19.8%	101.1%	22.5%	74.0%	0.0%	-5.7%	3.3K	35.9K	-4.9K	0.01	28.24	11	0	2,994	528
2008-07-28	$10.14	$15.00	62.2%	17.8%	94.9%	17.8%	49.5%	0.0%	-9.0%	3.8K	-22.9K	-5.3K	0.00	28.54	0	22	2,998	528
2008-07-29	$10.50	$15.00	68.3%	19.6%	95.2%	22.0%	0.0%	0.0%	0.5%	3.3K	10.9K	-5.4K	0.00	20.31	21	0	2,998	550
2008-07-30	$10.56	$15.00	65.2%	18.7%	95.2%	19.9%	67.2%	0.0%	2.9%	3.2K	26.9K	-5.2K	0.00	20.36	2	0	2,995	550
2008-07-31	$10.62	$15.00	65.9%	18.9%	92.3%	18.7%	64.3%	0.0%	2.0%	3.2K	36.9K	-5.1K	0.00	20.82	0	0	2,994	550