SANM Options History — July 2012

In July 2012, SANM traded between $7.18 and $8.75. ATM implied volatility averaged 48.8%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 1.7% (HV 20d: 50.5%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.90.

Notable Days

2012-07-25: Highest Volume — 570 contracts
2012-07-30: Largest IV drop — 30.2% change
2012-07-23: Highest IV Rank — 50.2%
2012-07-23: Largest Expected Move — 18.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.90	$7.18	$8.75	$8.04	$8.54
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	48.8%	29.5%	65.5%	45.9%	36.6%
Expected Move	14.5%	8.4%	18.8%	13.2%	10.5%
HV 20d	50.5%	41.0%	56.1%	53.8%	54.1%
HV 60d	51.7%	45.4%	55.4%	55.2%	50.7%
IV Rank	27.6%	1.4%	50.2%	23.8%	11.2%
IV Percentile	42.3%	0.4%	69.4%	37.3%	11.1%
Term Structure	-0.7%	-8.6%	6.9%	6.9%	-3.6%
VWIV	48.2%	27.9%	62.2%	48.0%	41.5%
Skew 25d	10.5%	-1.1%	23.1%	3.4%	4.7%
Skew 10d	16.6%	-2.5%	38.3%	0.5%	13.1%
Call IV 25d	40.6%	25.1%	54.3%	37.0%	36.2%
Put IV 25d	51.1%	28.3%	65.2%	40.4%	41.0%
Bid-Ask Spread %	71.41	39.03	115.84	86.51	43.09
Gamma HHI	0.55	0.35	0.72	0.54	0.55
Net GEX	33.2K	8.0K	51.0K	45.5K	30.3K
Net DEX	-251.0K	-950.4K	294.6K	-448.4K	-908.3K
Net VEX	-4.9K	-6.0K	-3.6K	-5.9K	-6.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.90	0.00	25.00	0.00	2.56
Total Volume	131.381	6	570	6	417
Total OI	5,888.905	2,913	7,109	6,953	4,122

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
2012-07-02	$8.04	$8.00	45.9%	13.2%	53.8%	23.8%	0.0%	3.4%	6.9%	45.5K	-448.4K	-5.9K	0.00	86.51	6	0	5,405	1,548
2012-07-03	$8.18	$8.00	47.9%	13.7%	51.9%	26.5%	48.0%	19.4%	3.0%	47.3K	-574.5K	-6.0K	0.00	102.22	111	0	5,411	1,548
2012-07-05	$8.19	$8.00	48.9%	14.0%	50.5%	27.8%	0.0%	14.0%	1.4%	51.0K	-594.2K	-5.9K	0.00	115.84	10	0	5,512	1,548
2012-07-06	$7.99	$8.00	44.4%	15.7%	50.7%	21.7%	0.0%	13.5%	-1.9%	48.6K	-415.0K	-5.6K	0.00	40.05	15	0	5,522	1,548
2012-07-09	$7.80	$8.00	45.9%	15.7%	51.7%	23.7%	0.0%	17.2%	-3.2%	46.0K	-237.2K	-5.3K	0.00	42.61	21	0	5,522	1,548
2012-07-10	$7.66	$8.00	39.6%	15.0%	49.3%	15.2%	55.1%	9.1%	1.4%	41.4K	-64.1K	-5.0K	0.04	76.63	111	5	5,538	1,548
2012-07-11	$7.71	$8.00	47.0%	15.2%	46.2%	25.2%	52.5%	7.0%	-1.3%	44.6K	-109.7K	-5.0K	1.43	80.76	7	10	5,535	1,553
2012-07-12	$7.44	$8.00	59.0%	16.9%	46.7%	41.4%	53.9%	17.6%	-3.4%	25.8K	205.1K	-4.3K	0.00	99.09	7	0	5,540	1,553
2012-07-13	$7.64	$8.00	56.4%	16.2%	47.3%	38.0%	0.0%	23.1%	-8.5%	47.0K	50.4K	-4.6K	0.08	97.93	12	1	5,547	1,553
2012-07-16	$7.31	$8.00	59.5%	17.1%	49.0%	42.2%	61.7%	17.6%	2.2%	24.0K	221.0K	-4.1K	1.29	96.76	21	27	5,539	1,553
2012-07-17	$7.48	$8.00	56.0%	16.1%	48.8%	37.4%	0.0%	14.1%	-1.3%	34.1K	200.2K	-4.2K	0.00	81.57	0	25	5,539	1,570
2012-07-18	$7.62	$8.00	56.0%	16.0%	48.1%	37.4%	0.0%	12.2%	-4.2%	44.7K	152.2K	-4.3K	0.00	60.07	31	0	5,539	1,570
2012-07-19	$7.63	$8.00	53.6%	15.4%	48.0%	34.1%	0.0%	14.5%	-1.3%	42.3K	166.6K	-4.2K	0.00	77.30	0	10	5,536	1,570
2012-07-20	$7.41	$8.00	54.7%	15.7%	46.4%	35.7%	52.3%	1.9%	-0.2%	12.3K	294.6K	-3.9K	25.00	72.09	2	50	5,536	1,556
2012-07-23	$7.18	$8.00	65.5%	18.8%	41.0%	50.2%	62.2%	-1.1%	-8.6%	8.0K	8.6K	-3.6K	3.85	63.65	33	127	1,983	930
2012-07-24	$7.94	$8.00	48.0%	13.8%	55.1%	26.5%	47.6%	5.8%	-3.2%	11.3K	-259.8K	-4.3K	0.78	40.56	236	185	2,004	953
2012-07-25	$8.26	$8.00	45.0%	12.9%	56.1%	22.5%	41.1%	12.5%	-0.1%	13.1K	-407.6K	-4.6K	0.02	51.88	557	13	2,115	1,000
2012-07-26	$8.47	$8.00	42.1%	12.1%	54.8%	18.5%	42.0%	5.2%	2.3%	20.8K	-662.5K	-5.4K	0.05	39.63	387	20	2,564	1,013
2012-07-27	$8.75	$8.00	42.2%	12.1%	55.7%	18.7%	40.5%	7.4%	2.1%	27.9K	-938.0K	-6.0K	0.26	39.03	171	44	2,902	1,013
2012-07-30	$8.59	$8.00	29.5%	8.4%	54.6%	1.4%	27.9%	0.5%	6.9%	31.1K	-950.4K	-5.9K	0.81	92.30	48	39	3,036	1,045
2012-07-31	$8.54	$8.00	36.6%	10.5%	54.1%	11.2%	41.5%	4.7%	-3.6%	30.3K	-908.3K	-6.0K	2.56	43.09	117	300	3,061	1,061