SANM Options History — July 2011

In July 2011, SANM traded between $8.96 and $11.40. ATM implied volatility averaged 45.9%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 3.3% (HV 20d: 49.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.22.

Notable Days

2011-07-26: Highest Volume — 6,682 contracts
2011-07-13: Largest IV spike — 46.3% change
2011-07-13: Highest IV Rank — 58.6%
2011-07-12: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.90	$8.96	$11.40	$10.41	$11.40
Max Pain	$11.95	$11.00	$12.00	$11.00	$12.00
ATM IV	45.9%	32.5%	56.5%	40.8%	43.2%
Expected Move	14.1%	11.3%	16.4%	11.7%	12.4%
HV 20d	49.2%	36.9%	80.7%	36.9%	80.4%
HV 60d	41.5%	37.3%	55.2%	37.3%	54.9%
IV Rank	34.9%	5.1%	58.6%	23.7%	28.9%
IV Percentile	33.2%	0.4%	69.8%	5.6%	19.8%
Term Structure	-0.7%	-10.4%	12.0%	12.0%	6.1%
VWIV	47.0%	34.2%	54.8%	41.4%	37.8%
Skew 25d	7.5%	-5.8%	19.0%	19.0%	1.2%
Skew 10d	13.0%	-1.6%	30.9%	11.7%	-1.6%
Call IV 25d	43.8%	21.4%	51.0%	21.4%	33.8%
Put IV 25d	51.3%	32.5%	59.5%	40.5%	35.1%
Bid-Ask Spread %	32.53	24.50	55.78	26.85	29.27
Gamma HHI	0.40	0.19	0.76	0.29	0.59
Net GEX	-36.7K	-134.6K	18.2K	4.2K	-134.6K
Net DEX	1.6M	-925.8K	3.0M	1.4M	-115.5K
Net VEX	-10.0K	-18.1K	-6.5K	-10.4K	-17.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.22	0.01	5.45	1.29	0.12
Total Volume	609.8	96	6,682	199	150
Total OI	10,264	6,062	13,058	11,261	13,058

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
2011-07-01	$10.41	$11.00	40.8%	11.7%	36.9%	23.7%	41.4%	19.0%	12.0%	4.2K	1.4M	-10.4K	1.29	26.85	87	112	5,713	5,548
2011-07-05	$10.02	$12.00	45.0%	13.4%	39.2%	32.9%	46.2%	9.8%	2.6%	-20.4K	2.0M	-9.2K	0.17	29.91	82	14	5,750	5,588
2011-07-06	$9.87	$12.00	39.2%	14.4%	39.5%	19.9%	0.0%	6.6%	-0.7%	-31.6K	2.2M	-8.7K	0.03	33.85	120	3	5,766	5,590
2011-07-07	$10.12	$12.00	36.7%	14.1%	39.8%	14.5%	49.1%	6.7%	-1.5%	-10.3K	1.8M	-8.8K	0.56	35.04	152	85	5,861	5,590
2011-07-08	$9.87	$12.00	39.4%	13.9%	40.6%	20.5%	51.8%	9.0%	-0.2%	-27.4K	2.2M	-8.7K	0.70	32.44	122	85	5,954	5,660
2011-07-11	$9.55	$12.00	32.5%	14.3%	41.9%	5.1%	50.4%	7.7%	-0.6%	-48.5K	2.7M	-7.9K	0.86	30.98	225	193	6,061	5,725
2011-07-12	$9.33	$12.00	38.6%	16.4%	42.6%	18.8%	53.8%	5.1%	-10.4%	-69.8K	2.9M	-7.8K	5.45	34.80	20	109	6,238	5,701
2011-07-13	$9.46	$12.00	56.5%	15.6%	41.4%	58.6%	50.5%	5.9%	-4.2%	-53.7K	2.7M	-8.0K	0.43	27.61	72	31	6,239	5,737
2011-07-14	$9.18	$12.00	54.6%	15.7%	40.8%	54.3%	47.5%	6.4%	-4.8%	-57.1K	3.0M	-7.7K	1.95	32.39	38	74	6,295	5,711
2011-07-15	$9.20	$12.00	51.1%	14.7%	40.7%	46.6%	44.8%	13.0%	0.1%	-96.0K	3.0M	-7.1K	2.97	24.50	29	86	6,312	5,735
2011-07-18	$8.96	$12.00	54.5%	15.6%	41.5%	54.0%	54.8%	8.1%	-1.7%	-8.3K	1.8M	-6.5K	0.82	43.41	105	86	2,730	3,332
2011-07-19	$9.42	$12.00	53.0%	15.2%	45.4%	50.8%	49.8%	8.1%	-4.5%	-8.9K	1.6M	-7.4K	0.01	27.22	1,078	14	2,821	3,405
2011-07-20	$9.29	$12.00	51.8%	14.9%	42.3%	48.1%	50.1%	14.9%	-3.5%	7.7K	1.3M	-8.5K	0.04	55.78	354	15	3,761	3,405
2011-07-21	$9.53	$12.00	48.5%	13.9%	42.6%	40.7%	47.6%	14.5%	0.9%	14.8K	1.2M	-9.1K	0.05	30.69	281	13	3,972	3,420
2011-07-22	$9.57	$12.00	51.5%	14.8%	42.5%	47.4%	50.8%	4.8%	-3.1%	17.5K	1.0M	-9.6K	0.10	37.31	162	17	4,126	3,433
2011-07-25	$9.22	$12.00	54.4%	15.6%	43.8%	53.9%	51.7%	8.5%	-2.6%	18.2K	1.2M	-8.8K	0.27	26.83	296	80	4,244	3,450
2011-07-26	$11.19	$12.00	39.4%	11.3%	80.7%	20.5%	39.2%	6.0%	5.5%	4.0K	-925.8K	-11.6K	2.58	31.49	1,866	4,816	4,407	3,502
2011-07-27	$11.09	$12.00	44.0%	12.6%	80.7%	30.6%	41.7%	1.2%	-1.0%	-114.1K	511.3K	-18.1K	1.48	32.55	176	261	5,401	7,248
2011-07-28	$11.32	$12.00	43.0%	12.3%	80.7%	28.6%	34.2%	-5.8%	-1.8%	-120.1K	-39.0K	-18.0K	4.59	27.63	123	564	5,454	7,337
2011-07-29	$11.40	$12.00	43.2%	12.4%	80.4%	28.9%	37.8%	1.2%	6.1%	-134.6K	-115.5K	-17.8K	0.12	29.27	134	16	5,505	7,553