SANM Options History — April 2011

In April 2011, SANM traded between $10.28 and $12.02. ATM implied volatility averaged 46.8%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 11.3% (HV 20d: 58.1%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.81.

Notable Days

2011-04-25: Highest Volume — 540 contracts
2011-04-14: Largest IV spike — 69.5% change
2011-04-18: Highest IV Rank — 48.0%
2011-04-18: Largest Expected Move — 16.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.08	$10.28	$12.02	$10.90	$11.72
Max Pain	$10.60	$10.00	$12.00	$12.00	$11.00
ATM IV	46.8%	32.7%	57.8%	47.8%	42.1%
Expected Move	14.7%	11.9%	16.6%	13.7%	12.1%
HV 20d	58.1%	30.5%	88.1%	88.1%	37.5%
HV 60d	65.3%	62.4%	69.8%	69.8%	62.7%
IV Rank	31.4%	4.4%	48.0%	36.6%	20.7%
IV Percentile	24.3%	0.4%	58.7%	28.2%	8.7%
Term Structure	-0.7%	-4.4%	7.3%	7.3%	2.1%
VWIV	51.1%	41.9%	57.4%	45.6%	43.6%
Skew 25d	5.2%	1.0%	8.6%	2.6%	3.2%
Skew 10d	14.0%	0.4%	32.0%	3.7%	20.0%
Call IV 25d	49.8%	37.9%	57.6%	48.0%	43.3%
Put IV 25d	55.0%	42.2%	62.5%	50.6%	46.5%
Bid-Ask Spread %	30.89	19.29	47.28	43.20	27.73
Gamma HHI	0.26	0.23	0.31	0.24	0.31
Net GEX	53.6K	24.2K	89.7K	46.0K	89.7K
Net DEX	151.5K	-2.0M	2.2M	756.3K	-1.6M
Net VEX	-13.4K	-16.0K	-11.1K	-16.0K	-13.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.81	0.05	24.38	0.18	0.63
Total Volume	213.3	61	540	158	117
Total OI	11,785.25	7,989	14,456	14,160	9,336

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
2011-04-01	$10.90	$12.00	47.8%	13.7%	88.1%	36.6%	45.6%	2.6%	7.3%	46.0K	756.3K	-16.0K	0.18	43.20	134	24	8,785	5,375
2011-04-04	$10.90	$10.00	45.5%	15.3%	87.2%	33.1%	50.3%	6.8%	-1.6%	48.9K	879.9K	-15.1K	24.38	25.34	8	195	8,774	5,392
2011-04-05	$11.00	$10.00	44.3%	15.7%	87.2%	31.2%	53.9%	5.9%	-2.6%	51.6K	722.0K	-15.0K	0.29	23.37	89	26	8,782	5,433
2011-04-06	$10.99	$10.00	44.7%	15.6%	87.0%	31.8%	53.3%	5.1%	-2.7%	52.1K	762.2K	-14.9K	0.05	23.11	148	7	8,810	5,433
2011-04-07	$11.16	$10.00	41.4%	14.9%	87.4%	26.6%	49.9%	7.4%	0.6%	62.0K	324.4K	-15.0K	1.20	26.35	99	119	8,924	5,436
2011-04-08	$11.05	$10.00	42.1%	15.2%	87.3%	27.6%	51.4%	6.6%	-1.7%	59.7K	606.5K	-14.6K	0.29	26.52	70	20	9,017	5,439
2011-04-11	$11.03	$11.00	43.5%	15.8%	87.0%	29.9%	53.4%	4.2%	-2.2%	63.6K	586.3K	-13.9K	0.61	29.82	38	23	9,012	5,349
2011-04-12	$10.77	$11.00	47.7%	15.5%	87.0%	36.5%	55.2%	6.2%	-2.7%	54.3K	1.2M	-13.2K	1.18	27.98	85	100	9,020	5,349
2011-04-13	$10.62	$11.00	32.7%	15.9%	86.3%	4.4%	57.3%	1.9%	-1.6%	40.2K	1.8M	-12.3K	0.27	47.28	101	27	8,860	5,358
2011-04-14	$10.28	$11.00	55.5%	15.9%	30.5%	44.0%	54.4%	4.6%	-1.9%	24.6K	2.2M	-11.2K	0.46	25.77	130	60	8,932	5,385
2011-04-15	$10.62	$10.00	52.2%	15.0%	32.5%	38.3%	55.3%	5.6%	-0.9%	44.0K	1.7M	-11.9K	2.20	35.12	41	90	9,016	5,370
2011-04-18	$10.42	$10.00	57.8%	16.6%	31.7%	48.0%	57.4%	7.3%	-3.3%	24.2K	280.9K	-11.1K	0.51	38.65	111	57	4,980	3,009
2011-04-19	$10.69	$10.00	51.8%	14.9%	32.8%	37.7%	52.2%	8.6%	-0.6%	31.6K	5.1K	-11.8K	0.53	39.02	228	120	5,047	3,064
2011-04-20	$11.09	$10.00	50.5%	14.5%	34.1%	35.4%	50.7%	4.8%	-0.2%	41.4K	-449.8K	-12.8K	0.77	42.10	204	158	5,174	3,156
2011-04-21	$11.25	$11.00	52.6%	15.1%	34.4%	39.1%	51.4%	5.8%	-3.2%	44.8K	-638.2K	-13.2K	0.20	33.27	91	18	5,312	3,273
2011-04-25	$11.45	$11.00	56.8%	16.3%	33.8%	46.3%	56.4%	7.7%	-4.4%	49.4K	-951.8K	-13.2K	0.45	36.81	372	168	5,374	3,277
2011-04-26	$11.99	$11.00	42.9%	12.3%	35.6%	22.1%	44.2%	6.3%	1.5%	76.1K	-1.9M	-13.6K	0.40	23.59	360	145	5,580	3,408
2011-04-27	$12.02	$11.00	41.7%	12.0%	35.6%	20.0%	44.8%	1.0%	3.5%	84.8K	-2.0M	-13.7K	1.02	23.51	175	179	5,819	3,379
2011-04-28	$11.57	$11.00	41.5%	11.9%	38.1%	19.7%	41.9%	1.7%	0.3%	82.6K	-1.3M	-13.2K	0.52	19.29	85	44	5,894	3,372
2011-04-29	$11.72	$11.00	42.1%	12.1%	37.5%	20.7%	43.6%	3.2%	2.1%	89.7K	-1.6M	-13.3K	0.63	27.73	72	45	5,964	3,372