SANM Options History — November 2009

In November 2009, SANM traded between $6.34 and $8.85. ATM implied volatility averaged 70.8%, placing in the 26.0% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 28.7% (HV 20d: 99.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.70.

Notable Days

2009-11-04: Highest Volume — 659 contracts
2009-11-04: Largest IV drop — 25.2% change
2009-11-03: Highest IV Rank — 31.7%
2009-11-03: Largest Expected Move — 24.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.11	$6.34	$8.85	$6.49	$8.08
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	70.8%	63.6%	85.0%	72.0%	71.5%
Expected Move	20.6%	18.2%	24.4%	20.6%	20.5%
HV 20d	99.5%	54.0%	111.5%	54.4%	96.7%
HV 60d	124.9%	117.5%	130.9%	122.1%	117.5%
IV Rank	26.0%	20.9%	31.7%	25.1%	27.1%
IV Percentile	16.5%	7.7%	30.9%	15.9%	19.1%
Term Structure	3.6%	-11.3%	32.2%	7.2%	2.4%
VWIV	73.3%	66.4%	102.9%	102.9%	71.1%
Skew 25d	5.2%	-5.4%	10.6%	-2.8%	0.5%
Skew 10d	22.4%	-20.5%	60.0%	-20.5%	-12.3%
Call IV 25d	66.4%	62.7%	75.3%	75.3%	68.8%
Put IV 25d	71.6%	62.3%	77.0%	72.5%	69.3%
Bid-Ask Spread %	51.13	19.88	113.33	103.27	67.59
Gamma HHI	0.50	0.50	0.51	0.50	0.50
Net GEX	112.9K	72.5K	129.7K	77.7K	124.7K
Net DEX	-5.8M	-7.4M	-2.4M	-2.5M	-5.5M
Net VEX	-23.8K	-26.5K	-16.6K	-16.6K	-22.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.00	3.33	3.15	0.42
Total Volume	78.85	3	659	54	44
Total OI	14,523.65	13,988	14,739	13,988	14,544

Daily Data (20 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
2009-11-02	$6.49	$7.50	72.0%	20.6%	54.4%	25.1%	102.9%	0.0%	7.2%	77.7K	-2.5M	-16.6K	3.15	103.27	13	41	13,838	150
2009-11-03	$6.34	$7.50	85.0%	24.4%	54.0%	31.7%	0.0%	0.0%	-11.3%	72.5K	-2.4M	-17.1K	0.25	110.49	40	10	13,848	191
2009-11-04	$6.63	$7.50	63.6%	18.2%	58.0%	20.9%	0.0%	0.0%	32.2%	75.9K	-3.1M	-19.1K	0.00	113.33	659	0	13,862	201
2009-11-05	$8.45	$7.50	72.5%	20.8%	107.6%	25.3%	81.9%	0.0%	10.1%	112.8K	-6.4M	-26.5K	0.26	71.00	186	48	14,259	201
2009-11-06	$8.20	$7.50	70.4%	21.7%	107.8%	25.9%	74.6%	-2.8%	-0.1%	107.8K	-6.1M	-25.6K	0.00	39.06	126	0	14,264	249
2009-11-09	$8.39	$7.50	75.6%	21.4%	108.1%	28.7%	68.5%	6.1%	-4.5%	114.2K	-6.5M	-26.2K	0.05	83.39	58	3	14,340	249
2009-11-10	$8.09	$7.50	68.6%	21.9%	108.6%	24.9%	76.2%	9.8%	-2.6%	110.4K	-5.9M	-25.1K	0.15	35.37	13	2	14,398	252
2009-11-11	$8.51	$7.50	66.2%	20.7%	109.5%	23.6%	67.2%	6.8%	3.0%	119.1K	-6.5M	-25.9K	0.00	36.36	24	0	14,401	254
2009-11-12	$8.41	$7.50	72.3%	20.7%	109.5%	26.9%	0.0%	6.6%	0.9%	116.1K	-6.6M	-25.9K	1.32	49.61	38	50	14,415	254
2009-11-13	$8.40	$7.50	72.6%	20.8%	109.4%	27.1%	0.0%	10.5%	2.6%	116.0K	-6.3M	-25.7K	0.00	24.21	0	3	14,419	269
2009-11-16	$8.79	$7.50	73.8%	21.2%	110.3%	27.9%	68.3%	9.0%	4.7%	118.6K	-7.2M	-26.0K	0.00	26.56	56	0	14,419	269
2009-11-17	$8.83	$7.50	69.3%	19.9%	109.6%	25.4%	74.8%	9.2%	4.3%	120.0K	-7.4M	-26.0K	0.05	23.05	21	1	14,462	269
2009-11-18	$8.85	$7.50	66.4%	19.0%	109.5%	23.9%	0.0%	4.3%	5.2%	123.3K	-7.3M	-25.8K	0.00	21.70	3	0	14,467	269
2009-11-19	$8.36	$7.50	70.2%	20.1%	111.5%	25.9%	67.5%	10.6%	5.0%	122.5K	-6.3M	-24.5K	0.00	30.30	13	0	14,470	269
2009-11-20	$8.30	$7.50	69.5%	19.9%	110.8%	26.0%	69.5%	2.5%	1.2%	122.0K	-6.3M	-24.2K	1.50	28.15	4	6	14,440	263
2009-11-23	$8.37	$7.50	72.8%	20.9%	109.8%	27.8%	0.0%	8.7%	1.6%	125.6K	-6.2M	-23.7K	0.00	31.81	18	0	14,274	190
2009-11-24	$8.35	$7.50	70.9%	20.3%	103.7%	26.8%	71.1%	7.1%	0.6%	129.7K	-6.1M	-23.4K	2.89	31.08	19	55	14,292	190
2009-11-25	$8.30	$7.50	66.5%	19.1%	100.2%	24.4%	66.4%	-0.1%	3.6%	126.9K	-6.2M	-23.7K	0.00	19.88	10	0	14,294	237
2009-11-27	$8.09	$7.50	66.6%	19.1%	100.9%	24.4%	66.6%	-5.4%	5.6%	123.0K	-5.7M	-23.2K	3.33	76.35	3	10	14,304	237
2009-11-30	$8.08	$7.50	71.5%	20.5%	96.7%	27.1%	71.1%	0.5%	2.4%	124.7K	-5.5M	-22.6K	0.42	67.59	31	13	14,307	237