SANM Options History — February 2011

In February 2011, SANM traded between $15.00 and $16.94. ATM implied volatility averaged 44.5%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 9.6% (HV 20d: 54.0%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 1.07.

Notable Days

2011-02-22: Highest Volume — 820 contracts
2011-02-09: Largest IV spike — 11.5% change
2011-02-23: Highest IV Rank — 38.4%
2011-02-23: Largest Expected Move — 14.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.93	$15.00	$16.94	$15.66	$15.62
Max Pain	$15.53	$13.00	$16.00	$13.00	$16.00
ATM IV	44.5%	40.7%	48.9%	42.6%	46.2%
Expected Move	12.8%	11.8%	14.0%	12.2%	13.2%
HV 20d	54.0%	41.8%	65.3%	62.3%	46.2%
HV 60d	47.1%	45.9%	49.7%	46.2%	48.3%
IV Rank	31.4%	25.4%	38.4%	28.4%	34.2%
IV Percentile	18.8%	5.6%	34.5%	10.3%	26.2%
Term Structure	1.3%	-1.0%	3.9%	0.4%	0.9%
VWIV	44.4%	41.1%	48.7%	43.0%	46.5%
Skew 25d	4.6%	1.1%	14.1%	3.0%	5.5%
Skew 10d	15.7%	-1.3%	29.9%	12.9%	13.7%
Call IV 25d	41.8%	31.3%	47.4%	41.3%	44.3%
Put IV 25d	46.4%	42.1%	52.0%	44.3%	49.8%
Bid-Ask Spread %	35.89	18.63	75.34	21.75	64.64
Gamma HHI	0.29	0.22	0.35	0.30	0.23
Net GEX	126.5K	38.2K	194.9K	175.3K	43.8K
Net DEX	-8.3M	-12.3M	-2.4M	-8.9M	-3.0M
Net VEX	-16.1K	-18.6K	-13.7K	-18.1K	-16.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.07	0.04	8.43	0.57	0.16
Total Volume	331.737	59	820	247	207
Total OI	11,330.211	7,739	12,786	11,792	8,945

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
2011-02-01	$15.66	$13.00	42.6%	12.2%	62.3%	28.4%	43.0%	3.0%	0.4%	175.3K	-8.9M	-18.1K	0.57	21.75	157	90	8,438	3,354
2011-02-02	$15.57	$13.00	42.0%	12.0%	62.4%	27.5%	44.2%	14.1%	0.5%	185.3K	-8.6M	-18.6K	1.45	31.51	65	94	8,530	3,444
2011-02-03	$15.89	$13.00	41.1%	11.8%	61.7%	26.1%	41.1%	2.4%	0.5%	166.8K	-9.5M	-17.9K	0.59	18.63	142	84	8,524	3,538
2011-02-04	$16.38	$16.00	45.6%	12.7%	60.8%	33.3%	43.1%	8.8%	-1.0%	162.3K	-10.6M	-15.8K	0.16	37.04	300	49	8,587	3,490
2011-02-07	$16.37	$16.00	44.1%	12.6%	60.5%	30.8%	44.4%	2.5%	1.1%	146.3K	-10.6M	-16.2K	0.16	26.49	257	40	8,580	3,530
2011-02-08	$16.35	$16.00	40.7%	12.6%	60.6%	25.4%	42.1%	2.8%	0.2%	151.1K	-10.6M	-15.8K	0.32	26.98	129	41	8,581	3,562
2011-02-09	$15.49	$16.00	45.3%	12.8%	65.3%	32.8%	44.1%	2.5%	2.0%	194.9K	-8.6M	-17.8K	0.66	34.95	95	63	8,607	3,592
2011-02-10	$15.79	$16.00	44.3%	12.7%	65.1%	31.2%	45.4%	5.5%	0.5%	179.6K	-9.3M	-16.7K	1.50	20.08	161	241	8,662	3,637
2011-02-11	$16.02	$16.00	42.4%	12.2%	63.6%	28.1%	44.4%	6.6%	3.9%	158.4K	-10.0M	-16.4K	0.07	27.28	530	39	8,664	3,813
2011-02-14	$16.05	$16.00	44.8%	12.9%	47.0%	32.0%	43.6%	4.5%	-0.1%	160.8K	-10.2M	-15.9K	0.09	28.68	243	23	8,736	3,811
2011-02-15	$15.91	$16.00	44.4%	12.7%	47.2%	31.3%	46.1%	3.6%	3.2%	175.8K	-10.0M	-15.8K	0.26	24.91	47	12	8,885	3,825
2011-02-16	$16.44	$16.00	45.0%	12.9%	45.5%	32.2%	44.0%	3.6%	1.1%	126.0K	-11.3M	-14.5K	0.22	35.08	172	38	8,870	3,837
2011-02-17	$16.94	$16.00	44.4%	12.7%	42.5%	31.3%	42.6%	3.7%	2.7%	94.2K	-12.3M	-13.8K	0.06	38.02	393	24	8,915	3,871
2011-02-18	$16.77	$16.00	42.6%	12.2%	41.8%	28.4%	42.1%	1.1%	0.3%	93.5K	-12.1M	-13.7K	0.04	41.02	580	25	8,891	3,892
2011-02-22	$15.72	$16.00	44.9%	12.9%	48.7%	32.0%	45.7%	1.3%	2.3%	69.3K	-3.8M	-14.6K	8.43	75.34	87	733	4,740	2,999
2011-02-23	$15.00	$16.00	48.9%	14.0%	49.3%	38.4%	48.7%	7.2%	1.9%	42.5K	-2.4M	-15.6K	1.92	28.25	259	496	4,786	3,522
2011-02-24	$15.36	$16.00	48.3%	13.8%	48.1%	37.4%	48.7%	2.8%	1.7%	39.3K	-2.7M	-16.6K	1.00	53.02	79	79	4,847	3,902
2011-02-25	$15.30	$16.00	47.4%	13.6%	48.0%	36.1%	43.8%	5.6%	2.1%	38.2K	-2.6M	-16.4K	2.69	48.17	62	167	4,887	3,980
2011-02-28	$15.62	$16.00	46.2%	13.2%	46.2%	34.2%	46.5%	5.5%	0.9%	43.8K	-3.0M	-16.0K	0.16	64.64	178	29	4,937	4,008