SANM Options History — January 2010

In January 2010, SANM traded between $11.38 and $14.15. ATM implied volatility averaged 50.0%, placing in the 16.9% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 3.9% (HV 20d: 46.1%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.02.

Notable Days

2010-01-27: Highest Volume — 9,806 contracts
2010-01-14: Largest IV spike — 34.3% change
2010-01-26: Highest IV Rank — 29.3%
2010-01-26: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.09	$11.38	$14.15	$11.55	$13.20
Max Pain	$11.71	$10.00	$12.50	$10.00	$12.50
ATM IV	50.0%	36.3%	68.3%	44.0%	63.3%
Expected Move	15.4%	14.0%	19.6%	15.3%	18.2%
HV 20d	46.1%	31.9%	65.0%	46.6%	65.0%
HV 60d	70.9%	66.4%	72.1%	71.8%	70.8%
IV Rank	16.9%	8.1%	29.3%	12.6%	26.2%
IV Percentile	7.8%	0.4%	29.7%	1.2%	22.4%
Term Structure	-0.9%	-10.6%	1.3%	-0.8%	-2.2%
VWIV	54.5%	43.8%	68.6%	53.6%	62.3%
Skew 25d	4.4%	-14.0%	18.3%	10.0%	-1.7%
Skew 10d	4.9%	-17.8%	20.8%	12.1%	-4.4%
Call IV 25d	51.8%	47.1%	57.4%	51.2%	57.4%
Put IV 25d	56.2%	43.2%	65.5%	61.2%	55.7%
Bid-Ask Spread %	20.63	16.12	32.62	17.62	18.16
Gamma HHI	0.83	0.45	0.94	0.87	0.46
Net GEX	79.3K	-134.3K	121.9K	121.9K	-127.4K
Net DEX	-11.0M	-15.2M	-2.6M	-14.4M	-2.6M
Net VEX	-19.6K	-36.8K	-13.2K	-19.7K	-36.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.00	7.16	1.46	4.62
Total Volume	1,260.789	35	9,806	253	208
Total OI	15,115.211	9,618	23,798	16,315	23,798

Daily Data (19 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
2010-01-04	$11.55	$10.00	44.0%	15.3%	46.6%	12.6%	53.6%	10.0%	-0.8%	121.9K	-14.4M	-19.7K	1.46	17.62	103	150	15,320	995
2010-01-05	$11.73	$10.00	47.2%	15.2%	44.0%	14.5%	53.4%	18.3%	1.0%	111.5K	-14.6M	-19.0K	0.32	23.42	310	100	15,207	1,145
2010-01-06	$11.38	$10.00	46.5%	15.5%	45.8%	14.1%	55.0%	10.6%	-1.1%	112.0K	-13.6M	-19.6K	0.02	16.39	89	2	15,072	1,245
2010-01-07	$11.46	$10.00	48.5%	14.8%	45.8%	15.2%	53.7%	2.5%	1.3%	111.5K	-13.7M	-19.6K	0.00	20.20	35	0	15,051	1,247
2010-01-08	$11.45	$10.00	49.4%	14.8%	45.7%	15.7%	56.5%	-14.0%	0.4%	110.9K	-13.7M	-19.5K	0.04	19.05	55	2	15,049	1,247
2010-01-11	$11.53	$10.00	38.4%	14.8%	44.9%	9.3%	52.4%	3.3%	0.5%	108.4K	-13.8M	-19.0K	0.00	21.09	347	0	15,043	1,249
2010-01-12	$11.62	$12.50	36.3%	15.0%	44.9%	8.1%	54.8%	1.1%	-0.9%	109.9K	-14.1M	-18.4K	0.21	20.94	379	79	15,178	1,249
2010-01-13	$11.66	$12.50	39.8%	14.7%	44.9%	10.2%	51.2%	3.6%	0.5%	108.2K	-14.1M	-18.5K	0.21	16.12	241	51	15,196	1,325
2010-01-14	$12.11	$12.50	53.5%	15.3%	45.8%	18.1%	53.5%	5.9%	-2.3%	113.7K	-15.2M	-18.2K	1.32	22.29	189	250	15,293	1,374
2010-01-15	$12.03	$12.50	51.1%	14.6%	46.1%	16.7%	51.3%	1.2%	-0.9%	120.3K	-15.1M	-17.4K	0.00	24.61	4,646	9	15,363	1,624
2010-01-19	$12.31	$12.50	49.1%	14.1%	42.3%	16.7%	48.8%	2.2%	-0.3%	99.8K	-9.3M	-15.9K	0.45	17.05	71	32	9,773	1,409
2010-01-20	$11.96	$12.50	48.9%	14.0%	44.9%	16.6%	49.6%	4.8%	-0.3%	100.5K	-8.6M	-17.7K	0.48	32.62	62	30	9,812	1,420
2010-01-21	$11.94	$12.50	50.8%	14.6%	44.0%	18.2%	50.8%	4.9%	-0.1%	99.4K	-8.6M	-17.6K	0.09	16.28	180	17	9,811	1,442
2010-01-22	$11.91	$12.50	51.4%	14.7%	31.9%	18.6%	43.8%	3.4%	-0.3%	105.5K	-8.6M	-17.7K	0.06	20.04	703	44	9,918	1,449
2010-01-25	$11.65	$12.50	50.9%	14.6%	33.3%	18.3%	53.3%	4.9%	-0.7%	99.9K	-7.7M	-17.7K	0.02	29.71	1,799	41	9,660	1,461
2010-01-26	$12.30	$12.50	68.3%	19.6%	37.5%	29.3%	68.6%	4.5%	-10.6%	73.3K	-7.4M	-13.9K	0.95	20.31	1,177	1,116	8,151	1,467
2010-01-27	$14.15	$12.50	55.9%	16.0%	60.8%	21.4%	63.4%	8.6%	-0.7%	62.3K	-10.2M	-13.2K	7.16	16.71	1,202	8,604	8,635	1,976
2010-01-28	$13.77	$12.50	57.0%	16.3%	62.3%	22.1%	60.2%	10.0%	-0.2%	-134.3K	-4.2M	-33.6K	2.03	19.35	539	1,093	8,921	13,614
2010-01-29	$13.20	$12.50	63.3%	18.2%	65.0%	26.2%	62.3%	-1.7%	-2.2%	-127.4K	-2.6M	-36.8K	4.62	18.16	37	171	9,365	14,433