SANM Options History — September 2012

In September 2012, SANM traded between $8.32 and $9.54. ATM implied volatility averaged 38.1%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.4% (HV 20d: 39.5%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.40.

Notable Days

2012-09-13: Highest Volume — 262 contracts
2012-09-10: Largest IV spike — 18.1% change
2012-09-14: Highest IV Rank — 25.1%
2012-09-14: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.02	$8.32	$9.54	$8.58	$8.51
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	38.1%	35.1%	42.2%	40.2%	37.1%
Expected Move	10.9%	10.1%	12.1%	11.5%	10.6%
HV 20d	39.5%	36.3%	49.2%	36.9%	46.4%
HV 60d	46.9%	43.7%	49.3%	49.3%	48.2%
IV Rank	19.9%	16.2%	25.1%	22.5%	18.6%
IV Percentile	22.1%	8.7%	37.7%	29.0%	19.0%
Term Structure	7.7%	1.3%	11.9%	1.3%	11.9%
VWIV	37.6%	34.6%	42.2%	37.2%	42.2%
Skew 25d	4.5%	-4.3%	11.3%	7.8%	10.8%
Skew 10d	11.3%	-8.3%	65.7%	9.5%	16.6%
Call IV 25d	35.5%	32.3%	40.3%	40.3%	32.6%
Put IV 25d	40.1%	31.3%	48.9%	48.2%	43.5%
Bid-Ask Spread %	52.52	17.55	88.34	46.93	73.52
Gamma HHI	0.66	0.49	0.74	0.68	0.54
Net GEX	59.6K	43.9K	74.0K	46.6K	50.7K
Net DEX	-1.4M	-2.1M	-648.0K	-909.1K	-797.3K
Net VEX	-4.8K	-5.2K	-4.2K	-5.2K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	4.80	0.00	0.00
Total Volume	59.789	3	262	20	19
Total OI	4,556.842	4,200	4,815	4,485	4,357

Daily Data (19 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
2012-09-04	$8.58	$8.00	40.2%	11.5%	36.9%	22.5%	0.0%	7.8%	1.3%	46.6K	-909.1K	-5.2K	0.00	46.93	20	0	3,454	1,031
2012-09-05	$8.51	$8.00	35.6%	10.2%	36.9%	16.8%	0.0%	10.1%	2.0%	47.1K	-850.6K	-5.1K	0.00	66.58	3	0	3,450	1,031
2012-09-06	$8.98	$8.00	38.2%	10.9%	41.2%	20.0%	0.0%	3.1%	4.5%	59.8K	-1.2M	-5.1K	0.00	65.14	20	0	3,453	1,031
2012-09-07	$9.02	$8.00	35.8%	10.7%	37.4%	17.0%	0.0%	11.1%	8.5%	59.2K	-1.3M	-5.2K	0.00	72.69	20	0	3,473	1,031
2012-09-10	$8.98	$8.00	42.2%	10.8%	37.4%	25.1%	0.0%	10.2%	9.7%	58.9K	-1.4M	-5.0K	0.00	88.34	78	0	3,493	1,031
2012-09-11	$9.03	$8.00	37.9%	10.9%	37.3%	19.7%	0.0%	10.9%	7.1%	64.1K	-1.4M	-5.1K	0.00	41.97	25	0	3,561	1,031
2012-09-12	$9.15	$8.00	38.5%	11.6%	36.6%	20.5%	0.0%	11.3%	5.9%	64.7K	-1.5M	-5.1K	0.13	73.48	86	11	3,566	1,031
2012-09-13	$9.12	$8.00	38.6%	11.1%	36.3%	20.5%	0.0%	5.5%	7.8%	62.5K	-1.6M	-5.2K	0.00	57.21	262	0	3,651	1,042
2012-09-14	$9.54	$8.00	42.2%	12.1%	38.9%	25.1%	37.2%	1.3%	5.1%	61.4K	-2.1M	-4.9K	4.80	37.15	5	24	3,729	1,042
2012-09-17	$9.36	$8.00	37.7%	10.8%	39.0%	19.4%	38.1%	-2.0%	9.0%	67.8K	-2.0M	-4.8K	0.02	17.55	116	2	3,734	1,044
2012-09-18	$9.31	$8.00	37.9%	10.9%	38.6%	19.6%	0.0%	-3.9%	8.1%	71.9K	-1.9M	-4.8K	0.00	45.79	0	5	3,769	1,046
2012-09-19	$9.41	$8.00	38.3%	11.0%	38.6%	20.2%	34.6%	7.9%	5.8%	63.4K	-2.0M	-4.8K	0.00	39.35	5	0	3,769	1,046
2012-09-20	$9.31	$8.00	36.3%	10.4%	38.8%	17.7%	37.8%	3.1%	9.6%	74.0K	-1.9M	-4.8K	0.00	45.47	0	15	3,769	1,046
2012-09-21	$9.32	$8.00	36.2%	10.4%	38.3%	17.6%	36.2%	-2.0%	10.8%	69.8K	-2.0M	-4.7K	1.00	28.28	10	10	3,765	1,044
2012-09-24	$9.19	$8.00	35.1%	10.1%	38.7%	16.2%	35.1%	-4.3%	11.1%	56.0K	-1.5M	-4.5K	0.35	48.85	78	27	3,319	881
2012-09-25	$9.12	$8.00	38.8%	11.1%	36.6%	20.8%	0.0%	-3.5%	9.8%	54.0K	-1.4M	-4.6K	0.00	68.18	7	0	3,373	885
2012-09-26	$8.32	$8.00	41.6%	11.9%	48.1%	24.3%	39.6%	3.8%	6.5%	43.9K	-648.0K	-4.2K	0.33	48.71	145	48	3,380	885
2012-09-27	$8.64	$8.00	35.4%	10.1%	49.2%	16.5%	42.2%	5.2%	11.0%	56.7K	-872.0K	-4.3K	0.12	32.74	85	10	3,449	888
2012-09-28	$8.51	$8.00	37.1%	10.6%	46.4%	18.6%	0.0%	10.8%	11.9%	50.7K	-797.3K	-4.3K	0.00	73.52	19	0	3,459	898