SANM Options History — January 2012

In January 2012, SANM traded between $9.50 and $10.98. ATM implied volatility averaged 45.2%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 5.4% (HV 20d: 39.7%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2012-01-18: Highest Volume — 2,915 contracts
2012-01-12: Largest IV spike — 24.1% change
2012-01-17: Highest IV Rank — 36.0%
2012-01-17: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.35	$9.50	$10.98	$9.65	$10.98
Max Pain	$9.85	$9.00	$10.00	$10.00	$10.00
ATM IV	45.2%	36.6%	57.6%	47.9%	39.8%
Expected Move	13.5%	10.5%	16.5%	13.7%	11.4%
HV 20d	39.7%	37.2%	42.6%	41.7%	38.5%
HV 60d	62.2%	56.7%	66.9%	66.9%	56.7%
IV Rank	18.2%	5.9%	36.0%	22.1%	10.4%
IV Percentile	26.0%	1.2%	65.9%	38.1%	6.0%
Term Structure	3.2%	-3.1%	13.8%	6.5%	5.1%
VWIV	47.3%	34.8%	59.4%	51.9%	40.1%
Skew 25d	8.9%	-1.5%	17.7%	14.8%	14.3%
Skew 10d	16.9%	-3.4%	35.3%	17.4%	17.8%
Call IV 25d	40.5%	22.8%	53.8%	40.1%	26.0%
Put IV 25d	49.4%	36.7%	61.7%	54.8%	40.3%
Bid-Ask Spread %	36.81	17.29	96.57	96.57	17.29
Gamma HHI	0.35	0.25	0.90	0.33	0.30
Net GEX	40.7K	-66.9K	301.3K	22.9K	51.7K
Net DEX	-1.9M	-4.4M	-650.1K	-974.9K	-2.2M
Net VEX	-7.7K	-8.4K	-6.7K	-7.6K	-8.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.00	11.40	0.78	0.91
Total Volume	503	4	2,915	206	42
Total OI	8,344.3	5,011	12,529	8,929	5,583

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
2012-01-03	$9.65	$10.00	47.9%	13.7%	41.7%	22.1%	51.9%	14.8%	6.5%	22.9K	-974.9K	-7.6K	0.78	96.57	116	90	5,475	3,454
2012-01-04	$9.50	$10.00	50.3%	14.4%	41.3%	25.5%	49.0%	4.4%	13.8%	21.6K	-650.1K	-7.5K	0.76	69.10	122	93	5,529	3,526
2012-01-05	$9.79	$10.00	48.6%	13.9%	42.4%	23.2%	43.8%	8.8%	8.2%	21.1K	-1.2M	-7.8K	0.00	44.04	461	2	5,581	3,555
2012-01-06	$9.71	$9.00	47.8%	16.0%	42.6%	22.0%	59.4%	7.6%	0.8%	22.1K	-1.1M	-7.9K	11.40	36.85	10	114	5,691	3,555
2012-01-09	$9.79	$9.00	43.1%	16.0%	40.9%	15.3%	0.0%	6.7%	0.0%	19.0K	-1.1M	-7.4K	0.16	23.21	131	21	5,691	3,605
2012-01-10	$9.75	$9.00	46.5%	16.0%	38.0%	20.1%	55.4%	7.2%	1.4%	21.5K	-1.1M	-7.3K	3.35	29.87	60	201	5,710	3,604
2012-01-11	$10.20	$10.00	43.2%	15.1%	37.8%	15.4%	51.7%	6.1%	-1.1%	17.4K	-2.1M	-7.2K	1.51	42.56	81	122	5,721	3,630
2012-01-12	$10.43	$10.00	53.6%	15.4%	37.2%	30.4%	53.2%	5.1%	-1.7%	27.0K	-2.4M	-7.7K	0.66	32.20	583	382	5,761	3,752
2012-01-13	$10.25	$10.00	53.5%	15.3%	37.8%	30.2%	54.9%	5.2%	1.2%	20.8K	-2.2M	-8.1K	0.33	41.49	113	37	6,070	4,021
2012-01-17	$10.16	$10.00	57.6%	16.5%	37.4%	36.0%	56.3%	9.1%	-3.1%	17.3K	-1.9M	-7.1K	0.78	33.25	353	275	6,064	4,040
2012-01-18	$10.50	$10.00	55.6%	15.9%	38.4%	33.2%	53.8%	8.0%	-2.9%	29.5K	-2.8M	-7.1K	0.97	34.09	1,479	1,436	6,264	4,048
2012-01-19	$10.18	$10.00	45.0%	12.9%	38.3%	17.9%	44.6%	11.8%	4.1%	-66.9K	-2.0M	-7.3K	2.30	23.06	151	347	7,208	5,077
2012-01-20	$10.91	$10.00	39.5%	11.3%	41.0%	10.0%	40.0%	17.7%	6.9%	301.3K	-4.4M	-6.7K	0.16	23.96	1,811	297	7,264	5,265
2012-01-23	$10.91	$10.00	40.5%	11.6%	40.9%	11.6%	40.4%	16.0%	3.4%	40.7K	-2.0M	-7.7K	0.31	30.48	206	64	3,346	1,665
2012-01-24	$10.93	$10.00	38.1%	10.9%	40.1%	8.1%	37.9%	11.2%	4.7%	46.3K	-2.1M	-8.0K	0.03	31.50	269	8	3,494	1,677
2012-01-25	$10.86	$10.00	37.7%	10.8%	40.4%	7.5%	34.8%	-1.5%	3.4%	51.0K	-2.2M	-8.2K	0.67	37.43	111	74	3,696	1,685
2012-01-26	$10.81	$10.00	38.3%	11.0%	40.6%	8.4%	37.6%	2.9%	4.1%	50.4K	-2.1M	-8.4K	0.57	29.98	222	126	3,746	1,759
2012-01-27	$10.81	$10.00	36.6%	10.5%	39.4%	5.9%	0.0%	11.4%	6.4%	49.6K	-2.0M	-8.4K	0.00	30.15	0	4	3,681	1,854
2012-01-30	$10.85	$10.00	39.8%	11.4%	39.4%	10.4%	40.1%	11.5%	3.4%	49.7K	-2.0M	-8.2K	0.12	29.21	41	5	3,681	1,858
2012-01-31	$10.98	$10.00	39.8%	11.4%	38.5%	10.4%	0.0%	14.3%	5.1%	51.7K	-2.2M	-8.2K	0.91	17.29	22	20	3,721	1,862