SANM Options History — October 2009

In October 2009, SANM traded between $6.42 and $8.92. ATM implied volatility averaged 72.9%, placing in the 25.5% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded below realized volatility by 21.4% (HV 20d: 94.3%). Max pain ranged from $5.00 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.21.

Notable Days

2009-10-14: Highest Volume — 3,045 contracts
2009-10-12: Largest IV spike — 95.1% change
2009-10-12: Highest IV Rank — 53.8%
2009-10-01: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.22	$6.42	$8.92	$8.05	$6.42
Max Pain	$7.27	$5.00	$7.50	$5.00	$7.50
ATM IV	72.9%	57.8%	128.7%	78.9%	57.8%
Expected Move	19.0%	16.6%	22.6%	22.6%	16.6%
HV 20d	94.3%	50.0%	174.5%	174.5%	58.6%
HV 60d	127.4%	119.2%	136.9%	136.7%	122.2%
IV Rank	25.5%	17.9%	53.8%	28.6%	17.9%
IV Percentile	13.5%	2.4%	62.2%	18.3%	2.8%
Term Structure	-2.2%	-18.3%	11.4%	-8.1%	11.2%
VWIV	66.4%	45.6%	82.3%	68.4%	82.3%
Bid-Ask Spread %	92.01	40.04	127.72	45.61	127.72
Gamma HHI	0.50	0.50	0.52	0.51	0.50
Net GEX	93.7K	76.7K	115.0K	76.7K	76.7K
Net DEX	-5.3M	-7.4M	-2.5M	-4.7M	-2.5M
Net VEX	-22.9K	-28.5K	-17.0K	-20.8K	-17.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	2.00	0.00	0.00
Total Volume	169.909	0	3,045	10	0
Total OI	12,422.727	10,663	13,988	10,663	13,988

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
2009-10-01	$8.05	$5.00	78.9%	22.6%	174.5%	28.6%	0.0%	0.0%	-8.1%	76.7K	-4.7M	-20.8K	0.00	45.61	0	10	10,577	86
2009-10-02	$8.18	$5.00	69.3%	19.9%	168.4%	23.8%	68.4%	0.0%	6.1%	80.6K	-4.6M	-20.6K	0.00	48.21	52	0	10,577	96
2009-10-05	$8.61	$7.50	64.2%	21.6%	167.2%	21.2%	73.8%	0.0%	-9.7%	80.8K	-5.4M	-21.2K	0.05	40.17	96	5	10,609	96
2009-10-06	$8.66	$7.50	62.8%	20.1%	164.0%	20.5%	67.3%	0.0%	-3.2%	79.9K	-5.6M	-21.5K	0.00	44.84	23	0	10,619	101
2009-10-07	$8.57	$7.50	73.7%	21.0%	164.2%	26.0%	66.8%	0.0%	-4.4%	80.9K	-5.4M	-21.3K	1.47	46.65	15	22	10,624	101
2009-10-08	$8.71	$7.50	94.0%	21.1%	161.7%	36.2%	0.0%	0.0%	-11.5%	82.5K	-5.6M	-21.5K	0.00	40.04	2	0	10,634	123
2009-10-09	$8.86	$7.50	66.0%	18.5%	161.8%	22.1%	73.4%	0.0%	3.9%	84.8K	-5.8M	-21.5K	0.00	80.38	19	0	10,634	123
2009-10-12	$8.73	$7.50	128.7%	19.5%	72.9%	53.8%	58.6%	0.0%	-7.8%	82.6K	-5.8M	-20.9K	0.03	116.87	40	1	10,637	123
2009-10-13	$8.54	$7.50	105.5%	19.3%	70.9%	42.0%	0.0%	0.0%	4.6%	84.6K	-5.2M	-20.8K	2.00	108.34	4	8	10,670	124
2009-10-14	$8.83	$7.50	100.1%	17.0%	64.5%	39.3%	63.3%	0.0%	-6.6%	87.7K	-5.8M	-20.9K	0.01	122.48	3,022	23	10,672	132
2009-10-15	$8.92	$7.50	57.8%	16.6%	64.4%	17.9%	61.2%	0.0%	1.8%	107.1K	-7.4M	-28.5K	0.00	122.28	3	0	13,690	142
2009-10-16	$8.84	$7.50	76.4%	21.9%	63.9%	27.3%	0.0%	0.0%	-10.4%	113.7K	-7.0M	-28.3K	0.00	107.00	0	0	13,693	142
2009-10-19	$8.61	$7.50	61.5%	17.6%	64.6%	19.8%	65.4%	0.0%	-3.8%	106.0K	-6.7M	-27.4K	0.00	105.79	10	0	13,557	135
2009-10-20	$8.34	$7.50	60.6%	17.4%	64.7%	19.3%	74.3%	0.0%	6.9%	110.6K	-6.0M	-26.5K	0.04	99.89	53	2	13,567	135
2009-10-21	$8.48	$7.50	61.2%	17.5%	62.1%	19.6%	71.5%	0.0%	-7.8%	111.8K	-6.3M	-27.4K	0.18	110.53	22	4	13,590	137
2009-10-22	$8.54	$7.50	63.6%	18.2%	50.0%	20.9%	45.6%	0.0%	-11.3%	115.0K	-6.3M	-27.2K	0.06	121.84	134	8	13,592	141
2009-10-23	$8.25	$7.50	60.9%	17.5%	51.7%	19.5%	0.0%	0.0%	4.9%	113.5K	-5.9M	-26.1K	0.00	113.97	10	0	13,700	149
2009-10-26	$7.92	$7.50	61.6%	17.7%	50.7%	19.8%	0.0%	0.0%	11.4%	109.9K	-5.2M	-24.9K	0.00	111.30	30	0	13,710	149
2009-10-27	$7.21	$7.50	67.2%	19.3%	60.5%	22.7%	57.4%	0.0%	2.9%	99.0K	-3.8M	-22.0K	0.19	116.33	27	5	13,730	149
2009-10-28	$6.75	$7.50	73.1%	20.9%	57.7%	25.7%	82.3%	0.0%	-18.3%	85.2K	-2.8M	-18.7K	0.05	113.15	40	2	13,754	150
2009-10-29	$6.89	$7.50	58.3%	16.7%	55.1%	18.2%	0.0%	0.0%	0.1%	92.0K	-3.1M	-19.1K	0.00	80.87	46	0	13,792	150
2009-10-30	$6.42	$7.50	57.8%	16.6%	58.6%	17.9%	0.0%	0.0%	11.2%	76.7K	-2.5M	-17.0K	0.00	127.72	0	0	13,838	150