SANM Options History — April 2012

In April 2012, SANM traded between $8.70 and $11.64. ATM implied volatility averaged 43.5%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 2.5% (HV 20d: 41.0%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 2.02.

Notable Days

2012-04-23: Highest Volume — 1,839 contracts
2012-04-23: Largest IV spike — 25.7% change
2012-04-23: Highest IV Rank — 39.2%
2012-04-23: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.31	$8.70	$11.64	$11.64	$8.90
Max Pain	$10.80	$10.00	$11.00	$10.00	$11.00
ATM IV	43.5%	31.2%	57.4%	34.1%	42.7%
Expected Move	13.0%	8.9%	16.4%	9.8%	12.2%
HV 20d	41.0%	22.8%	65.7%	28.7%	65.7%
HV 60d	37.1%	33.2%	45.9%	33.2%	44.8%
IV Rank	20.5%	3.8%	39.2%	7.6%	19.3%
IV Percentile	32.0%	0.4%	67.1%	3.2%	29.8%
Term Structure	0.8%	-8.7%	18.9%	10.5%	2.2%
VWIV	44.5%	22.1%	56.9%	31.5%	42.7%
Skew 25d	8.1%	-1.6%	19.8%	3.5%	0.7%
Skew 10d	15.7%	1.4%	34.0%	6.6%	14.0%
Call IV 25d	37.8%	23.2%	52.1%	30.8%	29.7%
Put IV 25d	45.9%	29.8%	57.8%	34.3%	30.4%
Bid-Ask Spread %	51.54	31.72	104.04	33.63	31.72
Gamma HHI	0.37	0.23	0.61	0.28	0.27
Net GEX	50.7K	-17.7K	81.3K	64.0K	19.2K
Net DEX	-1.5M	-3.5M	1.5M	-3.5M	374.0K
Net VEX	-6.6K	-7.7K	-5.0K	-6.9K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.02	0.00	7.00	2.00	0.18
Total Volume	349.45	16	1,839	36	130
Total OI	6,903.45	3,656	7,893	6,964	6,304

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
2012-04-02	$11.64	$10.00	34.1%	9.8%	28.7%	7.6%	0.0%	3.5%	10.5%	64.0K	-3.5M	-6.9K	2.00	33.63	12	24	4,773	2,191
2012-04-03	$11.39	$10.00	31.2%	8.9%	22.8%	3.8%	31.5%	1.1%	18.9%	60.7K	-3.2M	-6.8K	0.28	62.61	211	60	4,763	2,214
2012-04-04	$11.07	$10.00	31.2%	9.0%	24.8%	3.8%	31.5%	6.3%	16.6%	67.4K	-2.8M	-7.1K	0.07	73.29	136	9	4,929	2,267
2012-04-05	$10.91	$10.00	38.0%	10.9%	25.4%	12.9%	38.0%	0.4%	8.1%	75.8K	-2.6M	-7.7K	0.17	52.75	116	20	5,037	2,276
2012-04-09	$10.73	$11.00	39.2%	13.9%	25.7%	14.6%	49.1%	7.3%	-2.5%	76.9K	-2.3M	-7.2K	7.00	59.46	2	14	5,007	2,296
2012-04-10	$10.05	$11.00	41.1%	16.2%	34.3%	17.1%	0.0%	-1.6%	-7.9%	80.3K	-1.2M	-6.8K	3.18	60.51	49	156	5,005	2,310
2012-04-11	$10.24	$11.00	46.1%	15.5%	32.5%	24.0%	48.4%	7.2%	-5.5%	77.5K	-1.4M	-7.2K	5.40	37.20	10	54	4,972	2,465
2012-04-12	$10.67	$11.00	48.8%	14.0%	36.5%	27.6%	53.2%	13.0%	-6.1%	73.5K	-2.0M	-7.1K	1.00	33.71	20	20	4,982	2,485
2012-04-13	$10.60	$11.00	46.6%	13.4%	36.0%	24.6%	0.0%	10.1%	-0.5%	81.3K	-2.1M	-6.6K	0.00	39.02	0	45	4,991	2,496
2012-04-16	$10.76	$11.00	51.2%	14.7%	36.7%	30.8%	51.1%	9.1%	-4.5%	75.7K	-2.3M	-6.4K	0.42	37.14	153	65	4,991	2,527
2012-04-17	$11.11	$11.00	48.6%	13.9%	38.7%	27.4%	48.4%	14.6%	-5.0%	57.8K	-3.0M	-6.3K	0.00	45.83	66	0	5,134	2,552
2012-04-18	$10.89	$11.00	50.0%	14.3%	38.6%	29.3%	50.0%	9.4%	-4.2%	66.4K	-2.7M	-6.4K	2.00	68.04	11	22	5,161	2,552
2012-04-19	$10.66	$11.00	49.3%	14.1%	39.1%	28.3%	49.4%	4.8%	-2.3%	64.5K	-2.4M	-6.2K	1.55	45.41	80	124	5,171	2,563
2012-04-20	$10.58	$11.00	45.6%	13.1%	38.1%	23.4%	53.1%	9.8%	1.3%	48.4K	-2.2M	-6.2K	1.33	54.87	120	160	5,251	2,642
2012-04-23	$10.26	$11.00	57.4%	16.4%	39.4%	39.2%	56.9%	1.1%	-8.7%	20.2K	-476.1K	-6.0K	6.42	104.04	248	1,591	2,415	1,241
2012-04-24	$8.87	$11.00	45.1%	12.9%	63.5%	22.5%	40.5%	19.4%	-0.6%	-17.7K	1.5M	-5.0K	0.44	58.34	977	431	2,613	2,789
2012-04-25	$8.70	$11.00	47.8%	13.7%	63.4%	26.3%	46.2%	15.7%	-2.8%	2.5K	992.9K	-6.0K	0.22	43.40	269	60	3,463	2,603
2012-04-26	$8.97	$11.00	38.8%	11.1%	64.9%	14.1%	22.1%	19.8%	2.0%	4.3K	809.9K	-6.7K	3.58	35.53	286	1,025	3,729	2,663
2012-04-27	$9.20	$11.00	38.2%	11.0%	65.4%	13.3%	0.0%	10.7%	6.0%	15.8K	160.8K	-7.2K	3.10	54.31	52	161	3,974	2,272
2012-04-30	$8.90	$11.00	42.7%	12.2%	65.7%	19.3%	42.7%	0.7%	2.2%	19.2K	374.0K	-6.7K	0.18	31.72	110	20	3,974	2,330