SANM Options History — September 2011

In September 2011, SANM traded between $6.68 and $7.78. ATM implied volatility averaged 78.2%, placing in the 71.2% IV rank vs the trailing year. The 30-day expected move averaged 22.5%. IV traded below realized volatility by 4.3% (HV 20d: 82.5%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.25.

Notable Days

2011-09-20: Highest Volume — 1,722 contracts
2011-09-15: Largest IV spike — 47.9% change
2011-09-08: Highest IV Rank — 86.3%
2011-09-20: Largest Expected Move — 24.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.22	$6.68	$7.78	$7.47	$6.68
Max Pain	$9.24	$8.00	$10.00	$10.00	$8.00
ATM IV	78.2%	48.5%	88.3%	76.1%	84.6%
Expected Move	22.5%	19.7%	24.9%	21.8%	24.2%
HV 20d	82.5%	70.0%	98.1%	96.9%	75.6%
HV 60d	83.7%	79.0%	86.8%	79.0%	86.8%
IV Rank	71.2%	27.2%	86.3%	68.1%	80.8%
IV Percentile	93.2%	48.8%	98.8%	96.4%	97.6%
Term Structure	0.4%	-9.8%	11.8%	-5.3%	-0.1%
VWIV	73.8%	54.5%	83.5%	68.1%	78.5%
Skew 25d	12.4%	-5.8%	20.9%	7.3%	13.4%
Skew 10d	25.5%	-11.4%	56.3%	10.0%	15.3%
Call IV 25d	70.8%	57.1%	78.1%	57.1%	78.1%
Put IV 25d	83.1%	60.0%	92.7%	64.5%	91.5%
Bid-Ask Spread %	66.78	25.91	102.88	94.85	56.50
Gamma HHI	0.36	0.24	0.53	0.34	0.45
Net GEX	5.9K	-9.3K	29.4K	-3.0K	18.0K
Net DEX	1.7M	1.2M	2.3M	2.0M	1.4M
Net VEX	-7.0K	-7.9K	-5.8K	-7.6K	-6.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	0.00	6.60	0.91	0.24
Total Volume	349.81	16	1,722	21	51
Total OI	10,586.286	8,454	11,593	10,366	11,257

Daily Data (21 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
2011-09-01	$7.47	$10.00	76.1%	21.8%	96.9%	68.1%	0.0%	7.3%	-5.3%	-3.0K	2.0M	-7.6K	0.91	94.85	11	10	5,645	4,721
2011-09-02	$7.05	$10.00	76.7%	22.0%	98.1%	69.1%	68.1%	-5.8%	3.1%	-4.0K	2.1M	-6.8K	0.62	99.25	81	50	5,655	4,721
2011-09-06	$6.91	$10.00	79.6%	22.2%	88.0%	73.3%	77.3%	10.1%	-2.1%	-4.8K	2.3M	-5.8K	0.00	102.88	70	0	5,690	4,728
2011-09-07	$7.58	$10.00	73.4%	22.2%	95.3%	64.1%	0.0%	16.1%	-2.2%	-3.6K	2.1M	-7.2K	2.67	43.97	15	40	5,700	4,728
2011-09-08	$7.38	$10.00	88.3%	23.3%	91.9%	86.3%	83.5%	16.3%	-7.8%	-3.3K	2.0M	-7.3K	0.01	76.45	504	6	5,710	4,757
2011-09-09	$7.03	$10.00	84.2%	22.4%	84.5%	80.2%	77.8%	12.3%	-1.7%	4.7K	2.0M	-6.3K	0.25	52.33	20	5	6,160	4,759
2011-09-12	$6.98	$10.00	83.8%	23.8%	83.6%	79.6%	83.4%	16.6%	-5.9%	7.0K	2.1M	-6.0K	6.60	60.25	5	33	6,166	4,764
2011-09-13	$7.68	$10.00	83.0%	21.5%	89.0%	78.3%	73.9%	13.8%	-9.8%	5.5K	1.7M	-7.5K	1.39	65.94	74	103	6,171	4,797
2011-09-14	$7.71	$10.00	48.5%	21.1%	89.0%	27.2%	72.6%	10.5%	-2.4%	914	1.7M	-7.4K	0.00	37.18	16	0	6,251	4,843
2011-09-15	$7.78	$10.00	71.8%	20.6%	89.1%	61.7%	72.2%	8.5%	-1.5%	-946	1.7M	-7.3K	0.00	65.86	20	0	6,256	4,841
2011-09-16	$7.75	$10.00	68.7%	19.7%	78.5%	57.2%	69.2%	7.6%	4.2%	-1.1K	1.7M	-7.1K	0.62	25.91	69	43	6,276	4,841
2011-09-19	$7.67	$10.00	70.7%	20.3%	76.3%	60.1%	71.3%	12.2%	5.1%	-9.3K	1.8M	-6.9K	0.02	75.60	1,342	30	4,249	4,205
2011-09-20	$7.13	$10.00	86.9%	24.9%	80.8%	84.2%	68.6%	12.5%	-1.9%	3.2K	1.5M	-7.0K	0.06	78.21	1,622	100	5,302	4,229
2011-09-21	$7.00	$8.00	78.5%	22.5%	77.2%	71.8%	69.5%	10.3%	5.7%	14.4K	1.5M	-7.1K	5.65	71.39	68	384	6,188	4,285
2011-09-22	$6.71	$8.00	83.6%	24.0%	77.6%	79.4%	76.5%	14.3%	1.5%	10.2K	1.6M	-6.5K	2.81	56.09	177	498	6,198	4,358
2011-09-23	$6.74	$8.00	80.3%	23.0%	73.1%	74.4%	74.1%	11.0%	5.0%	12.8K	1.3M	-6.6K	2.70	51.84	149	402	6,307	3,978
2011-09-26	$6.94	$8.00	84.2%	24.1%	71.5%	80.2%	77.6%	20.5%	5.2%	13.0K	1.4M	-7.1K	0.48	84.79	122	58	6,371	4,188
2011-09-27	$7.31	$8.00	78.8%	22.6%	70.0%	72.2%	54.5%	13.1%	11.8%	18.7K	1.2M	-7.9K	1.07	61.34	94	101	6,461	4,213
2011-09-28	$6.92	$8.00	82.6%	23.7%	72.3%	77.8%	78.8%	18.3%	0.9%	15.7K	1.4M	-7.1K	0.00	71.92	892	0	6,553	4,197
2011-09-29	$7.12	$8.00	77.5%	22.2%	73.3%	70.3%	74.4%	20.9%	7.1%	29.4K	1.2M	-7.7K	0.14	69.92	71	10	7,396	4,197
2011-09-30	$6.68	$8.00	84.6%	24.2%	75.6%	80.8%	78.5%	13.4%	-0.1%	18.0K	1.4M	-6.9K	0.24	56.50	41	10	7,063	4,194