SANM Options History — February 2010

In February 2010, SANM traded between $12.71 and $16.54. ATM implied volatility averaged 54.0%, placing in the 20.4% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded below realized volatility by 16.0% (HV 20d: 69.9%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 3.34.

Notable Days

2010-02-05: Highest Volume — 7,682 contracts
2010-02-05: Largest IV drop — 26.3% change
2010-02-04: Highest IV Rank — 27.7%
2010-02-04: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.83	$12.71	$16.54	$13.89	$16.54
Max Pain	$14.47	$12.50	$15.00	$12.50	$15.00
ATM IV	54.0%	47.1%	65.6%	54.0%	47.4%
Expected Move	16.2%	13.6%	18.8%	15.5%	13.6%
HV 20d	69.9%	58.6%	77.2%	65.0%	58.6%
HV 60d	55.6%	52.2%	70.8%	70.8%	54.7%
IV Rank	20.4%	15.9%	27.7%	20.2%	16.4%
IV Percentile	13.1%	4.1%	27.2%	11.0%	4.9%
Term Structure	-0.2%	-3.1%	7.0%	1.2%	2.1%
VWIV	58.4%	50.8%	68.0%	59.8%	54.7%
Skew 25d	9.6%	1.0%	15.1%	11.5%	13.4%
Skew 10d	23.1%	-5.3%	37.9%	13.1%	37.4%
Call IV 25d	52.9%	42.9%	60.1%	50.6%	42.9%
Put IV 25d	62.5%	53.2%	68.5%	62.1%	56.3%
Bid-Ask Spread %	24.15	15.01	35.76	16.50	22.80
Gamma HHI	0.48	0.29	0.71	0.48	0.41
Net GEX	-191.0K	-368.6K	-81.5K	-140.0K	-120.2K
Net DEX	-5.8M	-16.0M	535.0K	-4.5M	-7.6M
Net VEX	-33.4K	-43.1K	-24.5K	-34.8K	-24.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.34	0.16	25.22	1.46	0.92
Total Volume	1,380.947	52	7,682	411	433
Total OI	29,052.526	23,776	34,276	23,776	26,305

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
2010-02-01	$13.89	$12.50	54.0%	15.5%	65.0%	20.2%	59.8%	11.5%	1.2%	-140.0K	-4.5M	-34.8K	1.46	16.50	167	244	9,390	14,386
2010-02-02	$14.19	$12.50	51.0%	14.6%	63.8%	18.3%	51.5%	15.1%	7.0%	-137.6K	-5.7M	-33.3K	3.80	15.01	134	509	9,514	14,488
2010-02-03	$13.87	$12.50	53.0%	15.2%	64.8%	19.6%	56.6%	9.2%	4.0%	-144.9K	-4.4M	-35.3K	11.60	15.79	121	1,404	9,621	14,961
2010-02-04	$13.12	$12.50	65.6%	18.8%	67.4%	27.7%	63.7%	1.0%	0.4%	-165.6K	-1.7M	-37.6K	0.19	28.37	747	142	9,656	16,208
2010-02-05	$12.71	$15.00	48.4%	18.3%	68.8%	16.6%	63.7%	8.4%	-3.1%	-160.6K	-454.3K	-38.0K	25.22	17.20	293	7,389	10,257	16,189
2010-02-08	$13.07	$15.00	55.2%	18.1%	69.2%	21.0%	63.2%	6.6%	-1.3%	-368.6K	535.0K	-43.1K	0.75	28.81	91	68	10,193	21,631
2010-02-09	$13.58	$15.00	51.5%	18.1%	70.1%	18.6%	56.8%	6.2%	-2.6%	-342.6K	-2.0M	-40.6K	1.52	35.76	66	100	10,214	21,678
2010-02-10	$13.75	$15.00	47.1%	17.9%	70.2%	15.9%	58.1%	6.5%	-2.3%	-328.2K	-2.3M	-40.5K	1.36	32.76	22	30	10,189	21,678
2010-02-11	$14.20	$15.00	58.1%	16.7%	70.6%	23.3%	68.0%	10.7%	-0.7%	-279.8K	-4.4M	-38.2K	1.62	28.88	755	1,225	10,190	21,698
2010-02-12	$14.52	$15.00	58.3%	16.7%	70.0%	23.4%	65.2%	11.9%	-1.5%	-195.6K	-5.4M	-36.1K	1.86	28.24	56	104	10,312	22,714
2010-02-16	$15.63	$15.00	59.1%	16.9%	73.4%	24.0%	58.0%	14.3%	-1.3%	-178.3K	-9.4M	-30.8K	2.31	15.89	611	1,409	10,332	22,667
2010-02-17	$15.25	$15.00	57.3%	16.4%	74.4%	22.8%	59.1%	9.9%	-0.1%	-244.0K	-8.3M	-32.7K	0.35	18.46	576	199	10,504	23,772
2010-02-18	$16.48	$15.00	52.9%	15.2%	76.5%	19.9%	54.2%	8.2%	-1.0%	-144.2K	-12.3M	-28.9K	1.79	32.14	509	909	10,865	23,168
2010-02-19	$16.41	$15.00	50.1%	14.4%	76.6%	18.1%	56.7%	8.9%	-0.5%	-142.8K	-12.1M	-27.7K	0.16	32.13	1,844	289	10,823	23,442
2010-02-22	$16.49	$15.00	49.4%	14.2%	76.4%	17.6%	57.6%	3.1%	0.1%	-81.5K	-16.0M	-28.2K	4.48	34.17	463	2,076	13,263	17,207
2010-02-23	$15.96	$15.00	54.8%	15.7%	77.2%	21.2%	50.8%	11.6%	-1.2%	-144.3K	-4.8M	-28.0K	0.91	18.71	121	110	7,601	16,867
2010-02-24	$16.14	$15.00	55.3%	15.8%	75.8%	21.5%	53.6%	12.9%	-2.7%	-155.6K	-5.2M	-27.3K	1.39	19.79	41	57	7,667	17,323
2010-02-25	$16.05	$15.00	56.5%	16.2%	59.5%	22.3%	57.8%	12.3%	-0.1%	-153.7K	-5.0M	-28.3K	1.72	17.49	1,076	1,848	7,696	17,329
2010-02-26	$16.54	$15.00	47.4%	13.6%	58.6%	16.4%	54.7%	13.4%	2.1%	-120.2K	-7.6M	-24.5K	0.92	22.80	226	207	8,589	17,716