SANM Options History — October 2012

In October 2012, SANM traded between $7.60 and $8.88. ATM implied volatility averaged 46.6%, placing in the 31.2% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded below realized volatility by 3.4% (HV 20d: 50.0%). Max pain ranged from $8.00 to $8.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 10.64.

Notable Days

2012-10-25: Highest Volume — 1,541 contracts
2012-10-31: Largest IV drop — 38.7% change
2012-10-26: Highest IV Rank — 46.9%
2012-10-26: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.08	$7.60	$8.88	$8.21	$8.88
Max Pain	$8.00	$8.00	$8.00	$8.00	$8.00
ATM IV	46.6%	34.3%	58.7%	34.3%	36.0%
Expected Move	13.9%	9.8%	16.8%	9.8%	10.3%
HV 20d	50.0%	42.7%	70.0%	48.0%	70.0%
HV 60d	47.0%	42.9%	52.7%	48.5%	52.7%
IV Rank	31.2%	15.2%	46.9%	15.2%	17.7%
IV Percentile	54.3%	7.9%	88.5%	7.9%	14.7%
Term Structure	-0.5%	-8.7%	12.6%	5.1%	4.6%
VWIV	48.7%	36.2%	59.6%	39.0%	36.2%
Skew 25d	7.2%	-17.3%	19.6%	-17.3%	2.3%
Skew 10d	12.0%	-4.6%	28.9%	3.3%	5.8%
Call IV 25d	42.4%	23.9%	58.6%	49.6%	30.2%
Put IV 25d	49.6%	32.4%	64.2%	32.4%	32.5%
Bid-Ask Spread %	46.16	20.50	109.45	109.45	28.32
Gamma HHI	0.36	0.26	0.49	0.47	0.41
Net GEX	28.1K	-15.2K	48.8K	42.8K	-10.9K
Net DEX	-311.6K	-623.2K	445.9K	-519.2K	-592.6K
Net VEX	-3.1K	-3.8K	-2.6K	-3.8K	-3.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	10.64	0.00	153.10	0.17	0.02
Total Volume	168.952	0	1,541	70	929
Total OI	4,100.381	2,216	4,777	4,363	3,822

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
2012-10-01	$8.21	$8.00	34.3%	9.8%	48.0%	15.2%	0.0%	-17.3%	5.1%	42.8K	-519.2K	-3.8K	0.17	109.45	60	10	3,470	893
2012-10-02	$8.32	$8.00	38.9%	11.1%	48.3%	20.9%	39.0%	13.5%	12.6%	48.8K	-551.4K	-3.8K	0.00	48.77	0	7	3,510	899
2012-10-03	$7.91	$8.00	39.8%	11.4%	51.4%	22.1%	39.8%	4.7%	6.3%	34.0K	-251.0K	-3.2K	0.30	33.92	132	40	3,510	906
2012-10-04	$7.97	$8.00	39.3%	11.3%	46.9%	21.9%	39.3%	5.6%	8.1%	35.1K	-256.5K	-3.3K	0.00	42.44	0	67	3,611	916
2012-10-05	$8.10	$8.00	37.9%	14.3%	47.5%	20.1%	0.0%	11.5%	-2.1%	38.4K	-312.7K	-3.4K	0.73	22.83	51	37	3,611	981
2012-10-08	$8.08	$8.00	42.3%	14.2%	47.5%	25.9%	0.0%	9.7%	-0.8%	38.3K	-302.0K	-3.3K	0.60	20.50	30	18	3,621	1,003
2012-10-09	$7.92	$8.00	38.1%	14.5%	47.6%	20.4%	0.0%	6.2%	-1.5%	29.1K	-157.2K	-3.1K	17.00	27.96	1	17	3,641	1,001
2012-10-10	$8.17	$8.00	40.3%	14.0%	48.9%	23.3%	54.3%	9.2%	-4.7%	39.7K	-331.2K	-3.3K	0.14	48.72	79	11	3,640	1,000
2012-10-11	$8.27	$8.00	48.8%	14.0%	49.4%	34.1%	0.0%	10.1%	-2.0%	44.6K	-448.7K	-3.4K	0.00	35.65	0	0	3,715	1,011
2012-10-12	$7.87	$8.00	46.2%	13.2%	48.1%	30.8%	45.4%	13.7%	8.3%	26.2K	-134.9K	-3.1K	0.00	55.40	73	0	3,715	1,011
2012-10-15	$7.99	$8.00	52.1%	14.9%	48.7%	38.4%	53.4%	6.6%	-3.4%	28.1K	-143.6K	-2.9K	0.00	40.51	0	24	3,766	1,011
2012-10-16	$8.14	$8.00	52.1%	15.0%	49.6%	38.4%	0.0%	10.9%	-3.2%	30.7K	-361.9K	-3.0K	0.55	63.02	22	12	3,766	971
2012-10-17	$8.48	$8.00	51.9%	14.9%	52.1%	38.1%	0.0%	14.8%	-8.7%	35.7K	-623.2K	-3.1K	0.54	39.22	26	14	3,781	959
2012-10-18	$8.41	$8.00	51.6%	14.8%	52.1%	37.7%	51.2%	3.5%	-3.3%	34.6K	-558.4K	-3.1K	4.00	55.00	10	40	3,715	958
2012-10-19	$7.99	$8.00	51.5%	14.8%	54.5%	37.6%	50.9%	-10.1%	-0.1%	45.1K	-222.5K	-2.8K	1.50	94.08	30	45	3,725	971
2012-10-22	$7.95	$8.00	51.4%	14.7%	54.5%	37.5%	50.3%	7.0%	-0.7%	16.2K	-316.0K	-2.6K	0.07	72.91	140	10	1,872	344
2012-10-23	$7.99	$8.00	55.4%	15.9%	54.6%	42.6%	55.9%	7.8%	-6.1%	16.6K	-338.4K	-2.8K	0.00	22.37	46	0	1,944	354
2012-10-24	$7.77	$8.00	53.0%	15.2%	45.4%	39.6%	0.0%	19.6%	-4.6%	16.0K	-288.1K	-2.6K	2.20	41.05	5	11	1,969	354
2012-10-25	$7.71	$8.00	58.6%	16.8%	42.7%	46.7%	59.6%	5.7%	-6.9%	15.3K	-279.0K	-2.6K	153.10	31.76	10	1,531	1,969	365
2012-10-26	$7.60	$8.00	58.7%	16.8%	42.7%	46.9%	57.4%	16.8%	-7.0%	-15.2K	445.9K	-3.4K	0.00	35.55	10	0	1,979	1,848
2012-10-31	$8.88	$8.00	36.0%	10.3%	70.0%	17.7%	36.2%	2.3%	4.6%	-10.9K	-592.6K	-3.6K	0.02	28.32	909	20	1,974	1,848