SANM Options History — September 2009

In September 2009, SANM traded between $7.29 and $8.99. ATM implied volatility averaged 60.6%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 112.0% (HV 20d: 172.6%). Max pain ranged from $5.00 to $5.00. Net GEX was positive for 13 of 13 trading days. Term structure was in contango for 10 of 13 days. Put/call ratio averaged 0.08.

Notable Days

2009-09-14: Highest Volume — 5,000 contracts
2009-09-15: Largest IV spike — 221.1% change
2009-09-16: Highest IV Rank — 30.9%
2009-09-16: Largest Expected Move — 23.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.24	$7.29	$8.99	$7.29	$8.60
Max Pain	$5.00	$5.00	$5.00	$5.00	$5.00
ATM IV	60.6%	22.3%	83.5%	22.3%	52.1%
Expected Move	17.4%	6.4%	23.9%	6.4%	14.9%
HV 20d	172.6%	165.5%	179.7%	179.7%	175.2%
HV 60d	135.3%	132.8%	137.1%	136.4%	135.8%
IV Rank	19.3%	0.0%	30.9%	0.0%	15.1%
IV Percentile	6.4%	0.0%	25.2%	0.0%	0.8%
Term Structure	10.7%	-16.4%	55.9%	55.9%	16.2%
VWIV	60.0%	38.9%	106.4%	71.8%	52.1%
Bid-Ask Spread %	101.53	36.68	190.34	190.34	82.65
Gamma HHI	0.55	0.50	0.99	0.99	0.50
Net GEX	70.1K	24.6K	81.1K	24.6K	79.5K
Net DEX	-4.9M	-6.0M	-2.4M	-2.4M	-5.5M
Net VEX	-20.6K	-22.5K	-8.8K	-8.8K	-21.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.08	0.00	0.62	0.00	0.00
Total Volume	419.615	0	5,000	5,000	15
Total OI	10,162.923	5,461	10,655	5,461	10,655

Daily Data (13 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
2009-09-14	$7.29	$5.00	22.3%	6.4%	179.7%	0.0%	0.0%	0.0%	55.9%	24.6K	-2.4M	-8.8K	0.00	190.34	5,000	0	5,398	63
2009-09-15	$7.75	$5.00	71.7%	20.5%	178.8%	24.9%	71.8%	0.0%	3.3%	63.6K	-4.3M	-21.0K	0.00	137.87	50	0	10,400	63
2009-09-16	$8.48	$5.00	83.5%	23.9%	175.8%	30.9%	47.7%	0.0%	-16.4%	69.6K	-5.3M	-22.3K	0.40	133.91	48	19	10,421	63
2009-09-17	$8.58	$5.00	49.0%	14.1%	165.6%	13.5%	46.6%	0.0%	36.7%	68.8K	-5.4M	-22.5K	0.00	135.26	68	0	10,415	72
2009-09-18	$8.81	$5.00	65.0%	18.6%	165.5%	21.6%	38.9%	0.0%	1.1%	71.7K	-5.8M	-22.5K	0.00	132.53	25	0	10,472	72
2009-09-21	$8.77	$5.00	56.7%	16.3%	166.2%	17.4%	52.2%	0.0%	19.1%	78.5K	-5.6M	-22.4K	0.00	124.24	35	0	10,416	70
2009-09-22	$8.99	$5.00	57.4%	16.5%	166.0%	17.7%	106.4%	0.0%	4.0%	81.1K	-6.0M	-22.2K	0.00	68.64	32	0	10,441	70
2009-09-23	$8.51	$5.00	56.0%	16.1%	167.5%	17.0%	45.3%	0.0%	17.0%	76.0K	-5.3M	-21.8K	0.00	80.88	60	0	10,470	70
2009-09-24	$7.71	$5.00	67.6%	19.4%	175.1%	22.9%	73.0%	0.0%	2.3%	73.2K	-4.1M	-20.8K	0.62	58.96	26	16	10,510	70
2009-09-25	$7.62	$5.00	63.1%	18.1%	176.1%	20.6%	66.2%	0.0%	3.8%	73.9K	-4.0M	-20.1K	0.00	36.68	58	0	10,515	86
2009-09-28	$8.03	$5.00	71.5%	20.5%	176.1%	24.9%	0.0%	0.0%	-0.3%	75.2K	-4.7M	-21.0K	0.00	70.46	0	0	10,567	86
2009-09-29	$8.04	$5.00	71.5%	20.5%	176.1%	24.9%	0.0%	0.0%	-3.1%	75.6K	-4.7M	-20.9K	0.00	67.41	3	0	10,567	86
2009-09-30	$8.60	$5.00	52.1%	14.9%	175.2%	15.1%	52.1%	0.0%	16.2%	79.5K	-5.5M	-21.6K	0.00	82.65	15	0	10,569	86