SANM Options History — November 2012

In November 2012, SANM traded between $8.49 and $9.42. ATM implied volatility averaged 41.9%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 21.3% (HV 20d: 63.2%). Max pain ranged from $7.00 to $9.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 2.16.

Notable Days

2012-11-06: Highest Volume — 220 contracts
2012-11-13: Largest IV spike — 42.6% change
2012-11-13: Highest IV Rank — 70.2%
2012-11-14: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.07	$8.49	$9.42	$9.13	$9.42
Max Pain	$8.19	$7.00	$9.00	$8.00	$9.00
ATM IV	41.9%	36.4%	65.1%	39.1%	37.4%
Expected Move	11.8%	10.4%	13.5%	11.2%	10.7%
HV 20d	63.2%	28.8%	70.5%	70.5%	28.8%
HV 60d	52.7%	51.3%	53.5%	53.0%	51.3%
IV Rank	32.4%	21.7%	70.2%	21.7%	32.8%
IV Percentile	41.8%	17.1%	94.4%	32.9%	22.2%
Term Structure	6.4%	0.6%	19.8%	1.2%	9.5%
VWIV	41.5%	36.2%	49.0%	39.1%	38.9%
Skew 25d	5.3%	-3.1%	19.5%	6.6%	-0.4%
Skew 10d	6.9%	-2.2%	20.4%	6.7%	-1.7%
Call IV 25d	34.3%	25.0%	40.9%	29.1%	36.5%
Put IV 25d	39.6%	30.9%	47.8%	35.7%	36.1%
Bid-Ask Spread %	30.40	11.97	121.29	27.29	34.18
Gamma HHI	0.38	0.31	0.47	0.33	0.44
Net GEX	36.8K	-280	60.5K	24.0K	60.5K
Net DEX	-1.1M	-1.5M	-485.3K	-1.2M	-1.4M
Net VEX	-4.4K	-4.9K	-4.1K	-4.5K	-4.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.16	0.00	30.43	1.19	1.24
Total Volume	55.667	0	220	81	10
Total OI	4,466.048	3,459	5,364	4,671	3,666

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
2012-11-01	$9.13	$8.00	39.1%	11.2%	70.5%	21.7%	39.1%	6.6%	1.2%	24.0K	-1.2M	-4.5K	1.19	27.29	37	44	2,803	1,868
2012-11-02	$9.11	$8.00	40.5%	11.6%	67.5%	23.5%	40.5%	6.5%	0.6%	25.4K	-1.1M	-4.7K	0.03	11.97	147	4	2,838	1,912
2012-11-05	$9.30	$7.00	41.2%	12.1%	67.7%	31.2%	0.0%	10.3%	6.6%	36.3K	-1.4M	-4.6K	0.00	29.27	60	0	2,946	1,916
2012-11-06	$9.40	$7.00	43.2%	12.5%	67.6%	34.4%	49.0%	15.8%	5.0%	39.0K	-1.5M	-4.7K	30.43	14.48	7	213	3,006	1,916
2012-11-07	$9.23	$8.00	42.3%	12.2%	68.1%	32.9%	0.0%	9.7%	5.7%	34.3K	-1.3M	-4.8K	0.00	18.79	28	0	3,009	2,129
2012-11-08	$8.87	$8.00	43.8%	12.4%	69.5%	35.4%	48.0%	7.2%	5.4%	18.4K	-984.8K	-4.9K	0.37	17.66	70	26	3,031	2,129
2012-11-09	$8.94	$8.00	42.2%	12.2%	68.9%	32.8%	42.4%	7.5%	5.2%	24.9K	-1.1M	-4.8K	0.00	21.94	181	0	3,066	2,145
2012-11-12	$8.64	$8.00	45.7%	12.9%	70.1%	38.4%	0.0%	3.0%	3.3%	8.7K	-805.6K	-4.7K	0.00	21.58	10	0	3,207	2,145
2012-11-13	$8.49	$8.00	65.1%	13.4%	67.9%	70.2%	0.0%	11.5%	5.1%	-280	-485.3K	-4.6K	0.50	12.11	2	1	3,217	2,145
2012-11-14	$8.49	$8.00	46.8%	13.5%	67.8%	40.3%	0.0%	9.0%	5.2%	4.3K	-697.2K	-4.2K	1.00	33.11	3	3	3,219	2,145
2012-11-15	$8.62	$8.00	36.4%	10.4%	67.7%	23.2%	0.0%	1.7%	19.8%	13.9K	-777.4K	-4.2K	0.00	121.29	0	0	3,206	2,143
2012-11-16	$8.93	$8.00	42.2%	12.1%	67.3%	32.8%	0.0%	19.5%	4.9%	53.1K	-1.1M	-4.4K	0.20	28.98	10	2	3,206	2,143
2012-11-19	$9.11	$8.00	42.3%	12.1%	67.4%	33.0%	43.1%	7.0%	3.0%	48.3K	-1.0M	-4.2K	2.00	31.25	11	22	2,917	542
2012-11-20	$9.13	$8.00	43.0%	12.3%	64.2%	34.1%	43.5%	3.2%	2.5%	47.3K	-1.1M	-4.3K	0.03	33.50	35	1	2,925	564
2012-11-21	$9.23	$8.00	39.0%	11.2%	64.1%	27.5%	39.0%	0.2%	7.4%	52.3K	-1.2M	-4.3K	0.40	32.89	55	22	2,958	565
2012-11-23	$9.22	$9.00	38.2%	11.0%	64.1%	26.3%	38.5%	-2.9%	9.8%	53.7K	-1.2M	-4.3K	1.33	18.82	15	20	3,013	587
2012-11-26	$9.26	$9.00	40.1%	11.5%	62.8%	29.3%	39.7%	-2.8%	8.4%	55.2K	-1.2M	-4.2K	0.13	21.88	38	5	3,013	607
2012-11-27	$9.21	$9.00	36.9%	10.6%	62.7%	24.0%	0.0%	-3.1%	8.9%	57.4K	-1.2M	-4.2K	0.00	39.28	0	0	3,032	612
2012-11-28	$9.34	$9.00	37.2%	10.7%	62.1%	24.6%	36.2%	0.7%	9.8%	57.7K	-1.3M	-4.2K	0.11	40.75	36	4	3,032	612
2012-11-29	$9.40	$9.00	37.9%	10.9%	30.2%	32.0%	38.9%	0.9%	7.5%	58.4K	-1.4M	-4.1K	1.24	27.41	21	26	3,036	616
2012-11-30	$9.42	$9.00	37.4%	10.7%	28.8%	32.8%	0.0%	-0.4%	9.5%	60.5K	-1.4M	-4.1K	0.00	34.18	0	10	3,037	629