SANM Options History — September 2008

In September 2008, SANM traded between $8.40 and $15.72. ATM implied volatility averaged 83.7%, placing in the 31.3% IV rank vs the trailing year. The 30-day expected move averaged 24.0%. IV traded below realized volatility by 26.6% (HV 20d: 110.3%). 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 0.63.

Notable Days

2008-09-02: Highest Volume — 99 contracts
2008-09-17: Largest IV spike — 27.0% change
2008-09-29: Highest IV Rank — 59.5%
2008-09-29: Largest Expected Move — 35.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.65	$8.40	$15.72	$15.72	$8.40
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	83.7%	56.3%	123.6%	56.3%	97.6%
Expected Move	24.0%	16.1%	35.4%	16.1%	28.0%
HV 20d	110.3%	69.3%	142.0%	69.3%	133.0%
HV 60d	91.8%	75.2%	107.0%	76.2%	107.0%
IV Rank	31.3%	11.8%	59.5%	11.8%	40.5%
IV Percentile	69.7%	8.7%	97.2%	8.7%	90.1%
Term Structure	-11.6%	-37.8%	15.9%	0.4%	10.5%
VWIV	76.8%	56.2%	103.0%	56.2%	102.3%
Bid-Ask Spread %	39.34	16.54	75.63	17.69	65.96
Gamma HHI	0.44	0.35	0.62	0.41	0.41
Net GEX	5.7K	1.2K	9.4K	8.6K	3.2K
Net DEX	-277.7K	-733.5K	172.8K	-695.4K	-150.9K
Net VEX	-6.3K	-8.8K	-2.2K	-8.2K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.00	8.20	0.00	0.00
Total Volume	15.571	0	99	99	2
Total OI	3,726.095	3,643	3,744	3,643	3,740

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
2008-09-02	$15.72	$15.00	56.3%	16.1%	69.3%	11.8%	56.2%	0.0%	0.4%	8.6K	-695.4K	-8.2K	0.00	17.69	99	0	3,088	555
2008-09-03	$15.54	$15.00	63.2%	18.1%	69.7%	16.8%	58.9%	0.0%	-2.5%	9.4K	-733.5K	-8.8K	0.00	21.50	70	0	3,114	555
2008-09-04	$13.44	$15.00	64.2%	18.4%	88.6%	17.5%	64.3%	0.0%	0.5%	6.7K	-432.3K	-7.4K	0.04	24.78	37	1	3,156	555
2008-09-05	$14.34	$15.00	68.0%	19.5%	90.2%	20.2%	68.1%	0.0%	-4.3%	8.6K	-569.0K	-8.4K	0.00	16.54	9	0	3,166	556
2008-09-08	$13.32	$15.00	74.0%	21.2%	93.4%	24.4%	74.1%	0.0%	-12.0%	7.6K	-433.2K	-7.8K	0.00	20.64	11	0	3,167	556
2008-09-09	$12.36	$15.00	79.8%	22.9%	97.0%	28.5%	0.0%	0.0%	-21.3%	6.6K	-301.1K	-6.9K	0.00	34.10	7	0	3,171	556
2008-09-10	$12.84	$15.00	66.7%	19.1%	98.0%	19.2%	67.7%	0.0%	-6.9%	6.2K	-281.8K	-6.8K	0.00	29.33	23	0	3,178	556
2008-09-11	$13.44	$15.00	74.6%	21.4%	99.1%	24.8%	74.6%	0.0%	-10.2%	7.5K	-417.3K	-7.6K	1.07	29.43	4	5	3,180	556
2008-09-12	$13.14	$15.00	79.5%	22.8%	99.4%	28.3%	79.5%	0.0%	-12.5%	7.5K	-424.0K	-7.6K	0.00	29.03	13	0	3,181	561
2008-09-15	$12.06	$15.00	80.2%	23.0%	103.9%	28.8%	80.4%	0.0%	-12.1%	5.6K	-252.0K	-6.4K	0.14	44.88	6	1	3,171	561
2008-09-16	$11.94	$15.00	72.5%	20.8%	103.4%	23.3%	83.6%	0.0%	-19.7%	6.2K	-274.9K	-6.5K	0.00	37.67	11	0	3,169	562
2008-09-17	$10.08	$15.00	92.1%	26.4%	116.0%	37.2%	86.1%	0.0%	9.6%	4.5K	-299.8K	-5.9K	8.20	40.23	1	7	3,177	562
2008-09-18	$10.74	$15.00	103.9%	29.8%	118.1%	45.6%	103.0%	0.0%	-28.0%	5.3K	-162.9K	-5.9K	0.00	57.50	0	13	3,177	567
2008-09-19	$11.52	$15.00	86.8%	24.9%	120.8%	33.5%	0.0%	0.0%	15.9%	4.6K	-265.9K	-6.3K	0.00	28.30	0	0	3,177	554
2008-09-22	$9.60	$15.00	88.0%	25.2%	135.8%	34.3%	0.0%	0.0%	-37.8%	4.6K	-69.0K	-4.9K	0.00	36.68	0	0	3,177	554
2008-09-23	$9.72	$15.00	99.8%	28.6%	135.3%	42.7%	102.3%	0.0%	-21.6%	4.0K	-36.3K	-4.8K	0.00	27.40	5	0	3,177	560
2008-09-24	$9.18	$15.00	89.2%	25.6%	136.2%	35.2%	0.0%	0.0%	-32.9%	4.0K	-48.4K	-4.7K	0.00	62.47	0	0	3,178	560
2008-09-25	$8.94	$15.00	93.6%	26.8%	132.5%	38.3%	0.0%	0.0%	-32.9%	3.9K	-56.3K	-4.7K	0.00	61.40	2	0	3,178	560
2008-09-26	$9.84	$15.00	104.4%	29.9%	135.0%	45.9%	0.0%	0.0%	-21.7%	4.2K	-99.9K	-5.2K	0.00	64.91	0	0	3,180	560
2008-09-29	$8.52	$15.00	123.6%	35.4%	142.0%	59.5%	0.0%	0.0%	-3.8%	1.2K	172.8K	-2.2K	0.00	75.63	0	0	3,180	560
2008-09-30	$8.40	$15.00	97.6%	28.0%	133.0%	40.5%	0.0%	0.0%	10.5%	3.2K	-150.9K	-4.4K	0.00	65.96	2	0	3,180	560