SANM Options History — December 2012

In December 2012, SANM traded between $9.69 and $11.07. ATM implied volatility averaged 41.6%, placing in the 44.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded above realized volatility by 11.0% (HV 20d: 30.6%). Max pain ranged from $8.00 to $9.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.15.

Notable Days

2012-12-05: Highest Volume — 650 contracts
2012-12-13: Largest IV spike — 87.2% change
2012-12-28: Highest IV Rank — 66.3%
2012-12-28: Largest Expected Move — 14.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.50	$9.69	$11.07	$9.76	$11.07
Max Pain	$8.90	$8.00	$9.00	$9.00	$9.00
ATM IV	41.6%	24.7%	50.9%	34.3%	49.6%
Expected Move	12.8%	9.8%	14.6%	9.8%	14.2%
HV 20d	30.6%	24.3%	42.9%	31.1%	42.9%
HV 60d	50.7%	47.9%	52.3%	51.8%	49.8%
IV Rank	44.9%	5.7%	66.3%	28.1%	63.3%
IV Percentile	46.5%	0.8%	83.3%	8.3%	80.2%
Term Structure	0.3%	-4.6%	11.4%	9.5%	-3.2%
VWIV	44.1%	31.0%	54.1%	31.0%	54.1%
Skew 25d	4.9%	1.0%	8.9%	6.1%	4.0%
Skew 10d	15.6%	-1.9%	31.3%	10.8%	14.1%
Call IV 25d	41.7%	22.3%	50.9%	30.6%	49.1%
Put IV 25d	46.6%	28.2%	55.4%	36.8%	53.1%
Bid-Ask Spread %	16.67	9.27	25.24	17.96	19.75
Gamma HHI	0.34	0.30	0.40	0.39	0.30
Net GEX	56.0K	45.2K	78.9K	58.5K	54.6K
Net DEX	-2.5M	-3.4M	-1.7M	-1.7M	-2.6M
Net VEX	-4.5K	-4.9K	-3.8K	-3.9K	-4.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.00	7.20	0.08	2.14
Total Volume	146.85	7	650	146	229
Total OI	4,631.1	3,676	5,501	3,676	4,337

Daily Data (20 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
2012-12-03	$9.76	$9.00	34.3%	9.8%	31.1%	28.1%	31.0%	6.1%	9.5%	58.5K	-1.7M	-3.9K	0.08	17.96	135	11	3,037	639
2012-12-04	$9.69	$9.00	35.7%	10.2%	30.6%	31.2%	36.1%	5.0%	9.2%	63.7K	-1.7M	-4.0K	5.18	9.35	22	114	3,160	639
2012-12-05	$10.11	$9.00	34.3%	9.8%	33.7%	28.0%	34.1%	5.8%	11.4%	54.9K	-2.1M	-3.8K	0.53	10.52	426	224	3,176	753
2012-12-06	$10.12	$9.00	35.3%	10.1%	32.8%	30.3%	35.3%	8.9%	10.9%	53.3K	-2.2M	-4.6K	0.34	9.27	53	18	3,480	977
2012-12-07	$10.16	$8.00	32.9%	13.4%	28.3%	24.7%	46.1%	7.1%	-3.7%	50.6K	-2.3M	-4.5K	0.16	22.30	159	25	3,520	995
2012-12-10	$10.27	$8.00	36.8%	14.0%	28.3%	33.8%	46.9%	5.0%	-3.1%	47.2K	-2.5M	-4.5K	0.59	11.88	135	80	3,649	1,000
2012-12-11	$10.55	$9.00	35.5%	13.3%	24.6%	30.7%	45.4%	7.1%	-2.8%	45.2K	-2.7M	-4.5K	1.12	20.27	58	65	3,737	1,080
2012-12-12	$10.37	$9.00	24.7%	13.3%	24.6%	5.7%	45.5%	5.1%	-0.9%	46.4K	-2.6M	-4.6K	0.72	16.07	64	46	3,749	1,141
2012-12-13	$10.43	$9.00	46.2%	13.2%	24.3%	55.4%	47.3%	5.2%	-1.0%	45.7K	-2.7M	-4.6K	0.00	18.89	7	0	3,787	1,187
2012-12-14	$10.31	$9.00	46.2%	13.2%	25.5%	55.5%	0.0%	4.2%	0.1%	45.5K	-2.5M	-4.5K	0.00	16.71	60	0	3,790	1,187
2012-12-17	$10.91	$9.00	45.5%	13.1%	29.2%	54.0%	46.5%	4.4%	-1.6%	46.9K	-3.1M	-4.2K	0.01	15.12	371	5	3,795	1,187
2012-12-18	$11.00	$9.00	45.2%	13.0%	29.0%	53.3%	42.7%	8.0%	-2.0%	64.8K	-3.3M	-4.6K	0.11	14.21	186	20	4,106	1,192
2012-12-19	$10.84	$9.00	45.1%	12.9%	30.1%	52.8%	44.2%	4.7%	-1.5%	74.5K	-3.2M	-4.9K	7.20	16.44	5	36	4,247	1,212
2012-12-20	$11.03	$9.00	45.6%	13.1%	30.3%	54.1%	43.8%	5.5%	-1.0%	78.9K	-3.4M	-4.8K	0.24	12.55	29	7	4,239	1,244
2012-12-21	$10.75	$9.00	46.3%	13.3%	32.5%	55.8%	42.9%	1.0%	-2.4%	66.9K	-3.1M	-4.8K	1.78	15.81	18	32	4,250	1,251
2012-12-24	$10.75	$9.00	48.9%	14.0%	32.6%	61.8%	49.6%	1.3%	-2.8%	53.8K	-2.2M	-4.7K	0.00	25.24	0	38	3,362	749
2012-12-26	$10.73	$9.00	46.3%	13.3%	32.5%	55.8%	48.7%	1.5%	-2.2%	54.6K	-2.3M	-4.5K	0.97	14.58	100	97	3,362	787
2012-12-27	$10.74	$9.00	47.3%	13.6%	32.5%	58.0%	48.3%	6.1%	-3.1%	55.8K	-2.3M	-4.7K	0.29	21.64	17	5	3,449	852
2012-12-28	$10.33	$9.00	50.9%	14.6%	36.3%	66.3%	49.1%	1.1%	-4.6%	57.9K	-1.9M	-4.7K	0.33	24.76	30	10	3,461	857
2012-12-31	$11.07	$9.00	49.6%	14.2%	42.9%	63.3%	54.1%	4.0%	-3.2%	54.6K	-2.6M	-4.3K	2.14	19.75	73	156	3,470	867