SANM Options History — February 2012

In February 2012, SANM traded between $11.60 and $12.37. ATM implied volatility averaged 39.9%, placing in the 10.6% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 3.2% (HV 20d: 36.7%). 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 19 of 20 days. Put/call ratio averaged 4.05.

Notable Days

2012-02-03: Highest Volume — 605 contracts
2012-02-23: Largest IV drop — 22.9% change
2012-02-10: Highest IV Rank — 17.6%
2012-02-10: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.07	$11.60	$12.37	$11.65	$11.60
Max Pain	$10.95	$10.00	$12.00	$10.00	$12.00
ATM IV	39.9%	32.8%	44.8%	39.3%	35.9%
Expected Move	11.7%	9.4%	12.8%	11.3%	10.3%
HV 20d	36.7%	28.7%	41.7%	41.5%	35.3%
HV 60d	48.3%	37.0%	57.8%	57.8%	37.6%
IV Rank	10.6%	0.5%	17.6%	9.7%	4.9%
IV Percentile	9.7%	0.8%	24.6%	4.4%	2.0%
Term Structure	3.0%	-1.0%	8.9%	1.4%	4.3%
VWIV	41.3%	33.6%	48.8%	44.0%	35.9%
Skew 25d	5.5%	-9.5%	20.3%	20.3%	-9.5%
Skew 10d	11.6%	2.1%	25.5%	17.8%	2.9%
Call IV 25d	36.3%	25.3%	43.0%	34.1%	32.0%
Put IV 25d	41.8%	22.6%	54.4%	54.4%	22.6%
Bid-Ask Spread %	44.52	27.86	105.93	27.89	43.35
Gamma HHI	0.25	0.20	0.36	0.28	0.22
Net GEX	63.5K	47.2K	86.6K	52.8K	50.0K
Net DEX	-3.4M	-4.1M	-2.5M	-2.9M	-2.5M
Net VEX	-7.3K	-8.0K	-6.3K	-7.3K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.05	0.00	66.00	0.09	0.53
Total Volume	161.15	14	605	246	359
Total OI	6,282.45	5,618	7,090	5,618	6,041

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
2012-02-01	$11.65	$10.00	39.3%	11.3%	41.5%	9.7%	44.0%	20.3%	1.4%	52.8K	-2.9M	-7.3K	0.09	27.89	226	20	3,743	1,875
2012-02-02	$11.64	$10.00	42.2%	12.1%	40.7%	13.9%	42.6%	7.7%	1.8%	56.5K	-3.0M	-7.7K	1.98	30.18	49	97	3,909	1,887
2012-02-03	$12.12	$11.00	42.0%	12.1%	41.5%	13.7%	41.6%	4.5%	3.8%	52.4K	-3.4M	-7.4K	0.05	34.01	576	29	3,937	1,973
2012-02-06	$12.03	$11.00	38.8%	12.6%	41.5%	9.0%	44.4%	4.2%	0.3%	68.9K	-3.6M	-8.0K	0.08	34.70	373	29	4,495	1,990
2012-02-07	$12.02	$11.00	37.5%	12.6%	41.7%	7.2%	43.1%	2.9%	-1.0%	70.6K	-3.6M	-8.0K	0.00	28.66	71	0	4,570	2,015
2012-02-08	$12.14	$11.00	37.1%	12.4%	41.3%	6.6%	40.4%	3.2%	1.7%	78.7K	-3.8M	-7.9K	0.00	34.43	211	0	4,640	2,015
2012-02-09	$12.18	$11.00	43.8%	12.6%	39.3%	16.2%	44.1%	12.9%	0.2%	76.7K	-3.8M	-7.7K	0.00	27.86	27	0	4,597	2,015
2012-02-10	$12.05	$11.00	44.8%	12.8%	39.6%	17.6%	0.0%	10.6%	0.9%	78.1K	-3.7M	-7.8K	1.17	101.58	30	35	4,624	2,015
2012-02-13	$12.32	$11.00	43.0%	12.3%	38.8%	15.1%	43.3%	4.3%	1.5%	74.6K	-4.0M	-7.2K	0.19	39.09	213	41	4,634	2,028
2012-02-14	$12.19	$11.00	40.9%	11.7%	38.9%	12.0%	0.0%	12.4%	4.5%	84.2K	-4.0M	-7.3K	2.14	36.40	21	45	4,736	2,069
2012-02-15	$12.05	$11.00	41.9%	12.0%	38.5%	13.5%	48.8%	11.3%	4.0%	86.6K	-3.8M	-7.7K	66.00	32.61	3	198	4,736	2,114
2012-02-16	$12.35	$11.00	43.0%	12.3%	36.3%	15.0%	48.1%	12.8%	1.5%	64.9K	-4.0M	-7.5K	1.95	42.09	42	82	4,736	2,312
2012-02-17	$12.37	$11.00	41.5%	11.9%	28.7%	12.9%	41.2%	11.1%	3.8%	58.2K	-4.1M	-7.7K	0.18	41.43	65	12	4,756	2,334
2012-02-21	$12.21	$11.00	39.8%	11.4%	29.4%	10.4%	0.0%	1.0%	8.9%	47.7K	-3.0M	-7.3K	0.17	43.37	12	2	3,807	1,938
2012-02-22	$11.93	$11.00	42.6%	12.2%	31.1%	14.5%	40.1%	0.2%	0.9%	47.2K	-2.8M	-7.2K	1.50	70.11	10	15	3,819	1,940
2012-02-23	$12.26	$11.00	32.8%	9.4%	31.9%	0.5%	38.9%	-2.5%	5.9%	56.0K	-3.1M	-6.3K	0.04	39.01	49	2	3,829	1,945
2012-02-24	$12.15	$11.00	38.9%	11.1%	32.1%	9.2%	33.6%	0.8%	3.7%	51.8K	-3.1M	-6.8K	0.00	105.93	14	0	3,873	1,947
2012-02-27	$12.18	$11.00	37.8%	10.8%	32.1%	7.7%	37.7%	3.8%	6.1%	53.4K	-3.0M	-6.8K	0.14	43.19	103	14	3,884	1,947
2012-02-28	$11.93	$11.00	34.1%	9.8%	33.4%	2.3%	34.1%	-1.7%	6.4%	61.2K	-2.8M	-6.7K	4.69	34.48	26	122	3,977	1,947
2012-02-29	$11.60	$12.00	35.9%	10.3%	35.3%	4.9%	35.9%	-9.5%	4.3%	50.0K	-2.5M	-6.7K	0.53	43.35	234	125	3,983	2,058