SANM Options History — June 2012

In June 2012, SANM traded between $6.69 and $8.19. ATM implied volatility averaged 47.0%, placing in the 25.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded below realized volatility by 2.1% (HV 20d: 49.1%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.21.

Notable Days

2012-06-19: Highest Volume — 1,277 contracts
2012-06-12: Largest IV spike — 48.5% change
2012-06-12: Highest IV Rank — 46.4%
2012-06-11: Largest Expected Move — 17.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.32	$6.69	$8.19	$6.78	$8.19
Max Pain	$8.57	$8.00	$9.00	$8.00	$8.00
ATM IV	47.0%	36.4%	62.7%	51.7%	46.2%
Expected Move	13.7%	11.2%	17.1%	14.8%	13.2%
HV 20d	49.1%	39.1%	55.6%	39.2%	53.5%
HV 60d	50.7%	46.3%	55.2%	46.3%	55.2%
IV Rank	25.2%	10.8%	46.4%	31.5%	24.0%
IV Percentile	39.7%	9.9%	69.0%	53.6%	38.1%
Term Structure	7.6%	-5.5%	19.3%	3.4%	10.5%
VWIV	46.7%	30.0%	68.7%	50.8%	30.0%
Skew 25d	8.2%	-6.5%	24.3%	1.3%	17.2%
Skew 10d	13.7%	0.3%	28.7%	5.7%	1.5%
Call IV 25d	41.0%	28.2%	54.5%	45.1%	28.2%
Put IV 25d	49.2%	39.8%	59.6%	46.4%	45.4%
Bid-Ask Spread %	69.35	37.42	117.36	57.29	117.36
Gamma HHI	0.45	0.21	0.65	0.49	0.45
Net GEX	19.5K	61	46.3K	16.3K	46.3K
Net DEX	389.9K	-650.8K	770.9K	649.0K	-650.8K
Net VEX	-3.3K	-6.4K	-2.2K	-2.7K	-6.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.00	2.36	2.36	0.00
Total Volume	141	5	1,277	20	49
Total OI	6,897.048	4,816	7,856	7,573	6,943

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
2012-06-01	$6.78	$8.00	51.7%	14.8%	39.2%	31.5%	0.0%	1.3%	3.4%	16.3K	649.0K	-2.7K	0.00	57.29	0	20	5,896	1,677
2012-06-04	$6.69	$9.00	43.9%	15.3%	39.1%	20.9%	50.8%	-3.6%	6.9%	7.5K	770.9K	-2.2K	2.36	88.66	11	26	5,896	1,697
2012-06-05	$7.02	$9.00	48.3%	14.4%	44.3%	27.0%	0.0%	24.3%	9.2%	18.5K	700.1K	-2.6K	0.36	79.43	56	20	5,907	1,694
2012-06-06	$7.31	$9.00	45.8%	14.4%	47.3%	23.6%	0.0%	11.3%	7.9%	31.3K	586.5K	-3.0K	0.00	65.02	5	0	5,957	1,714
2012-06-07	$7.15	$9.00	36.4%	12.1%	45.4%	10.8%	46.5%	-6.5%	12.0%	19.2K	675.6K	-2.6K	0.00	58.98	46	0	5,962	1,714
2012-06-08	$7.16	$9.00	48.5%	13.2%	44.5%	27.2%	45.3%	5.0%	10.1%	17.7K	717.9K	-2.5K	0.00	53.01	11	0	6,004	1,714
2012-06-11	$6.85	$9.00	42.2%	17.1%	46.7%	18.7%	59.0%	18.1%	-5.5%	8.5K	676.5K	-2.5K	0.45	90.69	11	5	6,014	1,712
2012-06-12	$7.21	$9.00	62.7%	12.9%	50.7%	46.4%	0.0%	4.5%	12.4%	61	764.6K	-2.2K	0.04	66.43	115	5	6,019	1,717
2012-06-13	$6.99	$9.00	54.7%	15.1%	50.9%	35.7%	0.0%	4.4%	4.1%	9.5K	710.3K	-2.6K	0.00	37.42	11	0	6,123	1,722
2012-06-14	$6.96	$9.00	53.6%	15.4%	49.5%	34.1%	68.7%	7.3%	0.2%	7.5K	737.8K	-2.5K	0.43	41.11	21	9	6,134	1,722
2012-06-15	$7.20	$9.00	39.0%	11.2%	50.0%	14.3%	41.9%	-1.3%	13.9%	4.8K	755.7K	-2.3K	0.17	49.32	71	12	6,134	1,719
2012-06-18	$7.39	$9.00	42.3%	12.1%	50.8%	18.8%	34.0%	8.2%	10.9%	1.9K	542.1K	-2.5K	0.00	50.36	83	0	3,376	1,440
2012-06-19	$7.61	$9.00	45.6%	13.1%	49.2%	23.3%	45.2%	9.8%	5.6%	5.9K	405.9K	-3.0K	0.00	66.88	1,277	0	3,459	1,440
2012-06-20	$7.54	$8.00	44.4%	12.7%	47.0%	21.7%	44.2%	5.6%	2.2%	27.9K	99.7K	-4.0K	0.00	71.98	20	0	4,582	1,431
2012-06-21	$7.21	$8.00	43.1%	12.4%	49.5%	19.9%	0.0%	-1.3%	19.3%	22.6K	243.0K	-3.4K	0.00	46.93	12	0	4,602	1,431
2012-06-22	$7.70	$8.00	45.0%	12.9%	53.9%	22.5%	45.8%	8.6%	7.4%	30.1K	77.3K	-3.9K	0.00	107.05	47	0	4,569	1,431
2012-06-25	$7.64	$8.00	45.5%	13.0%	54.1%	23.1%	0.0%	8.9%	4.5%	29.2K	103.2K	-3.8K	0.00	46.76	68	0	4,600	1,431
2012-06-26	$7.50	$8.00	46.5%	13.3%	54.6%	24.5%	0.0%	14.8%	14.1%	30.8K	89.7K	-3.8K	0.28	56.01	89	25	4,668	1,431
2012-06-27	$7.83	$8.00	52.9%	15.2%	55.6%	33.2%	0.0%	19.6%	2.2%	34.0K	-160.8K	-4.5K	0.20	92.30	695	136	4,757	1,456
2012-06-28	$7.85	$8.00	49.2%	14.1%	55.6%	28.2%	49.3%	16.2%	8.1%	39.1K	-306.9K	-6.0K	0.00	113.31	5	0	5,395	1,548
2012-06-29	$8.19	$8.00	46.2%	13.2%	53.5%	24.0%	30.0%	17.2%	10.5%	46.3K	-650.8K	-6.4K	0.00	117.36	49	0	5,395	1,548