SANM Options History — February 2013

In February 2013, SANM traded between $9.56 and $10.35. ATM implied volatility averaged 34.5%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 52.6% (HV 20d: 87.1%). Max pain ranged from $9.00 to $9.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.48.

Notable Days

2013-02-07: Highest Volume — 525 contracts
2013-02-06: Largest IV drop — 19.5% change
2013-02-05: Highest IV Rank — 40.4%
2013-02-04: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.04	$9.56	$10.35	$9.71	$10.25
Max Pain	$9.00	$9.00	$9.00	$9.00	$9.00
ATM IV	34.5%	31.9%	39.7%	37.8%	32.1%
Expected Move	9.9%	9.2%	11.1%	10.6%	9.2%
HV 20d	87.1%	28.2%	94.7%	93.6%	28.2%
HV 60d	61.2%	60.8%	61.9%	61.5%	61.4%
IV Rank	28.4%	22.5%	40.4%	36.0%	22.9%
IV Percentile	13.2%	4.8%	40.1%	27.0%	5.2%
Term Structure	1.4%	-0.9%	3.8%	0.9%	3.8%
VWIV	35.5%	30.0%	40.0%	38.2%	32.1%
Skew 25d	3.8%	-4.4%	9.5%	3.1%	6.7%
Skew 10d	3.5%	-6.3%	11.6%	-1.8%	1.9%
Call IV 25d	29.8%	20.1%	36.9%	35.4%	22.8%
Put IV 25d	33.6%	25.7%	40.9%	38.5%	29.4%
Bid-Ask Spread %	18.62	9.16	98.84	16.08	14.76
Gamma HHI	0.37	0.26	0.42	0.26	0.36
Net GEX	47.9K	34.0K	58.6K	34.0K	58.5K
Net DEX	-888.8K	-1.5M	-166.9K	-280.5K	-1.5M
Net VEX	-8.1K	-9.0K	-7.6K	-8.1K	-7.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.00	3.63	0.11	0.08
Total Volume	177.737	1	525	365	92
Total OI	7,046	5,543	8,280	7,332	5,912

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
2013-02-01	$9.71	$9.00	37.8%	10.6%	93.6%	36.0%	38.2%	3.1%	0.9%	34.0K	-280.5K	-8.1K	0.11	16.08	329	36	4,984	2,348
2013-02-04	$9.56	$9.00	38.7%	11.1%	93.1%	38.2%	0.0%	-0.1%	-0.9%	35.1K	-166.9K	-8.0K	0.89	12.71	129	115	5,136	2,369
2013-02-05	$9.95	$9.00	39.7%	10.5%	94.7%	40.4%	36.7%	5.6%	1.0%	44.4K	-669.8K	-8.6K	1.13	10.99	97	110	5,265	2,439
2013-02-06	$9.83	$9.00	31.9%	10.0%	93.9%	22.5%	40.0%	5.0%	0.8%	39.8K	-430.4K	-8.5K	0.46	11.47	242	111	5,315	2,542
2013-02-07	$10.04	$9.00	35.3%	10.1%	94.3%	30.3%	35.8%	4.6%	0.4%	51.6K	-815.8K	-9.0K	0.24	9.95	425	100	5,533	2,643
2013-02-08	$9.87	$9.00	32.9%	9.4%	94.4%	24.7%	37.4%	3.8%	3.0%	47.0K	-416.4K	-8.7K	0.11	10.09	273	30	5,510	2,726
2013-02-11	$9.89	$9.00	33.3%	9.6%	93.8%	25.8%	0.0%	4.3%	1.5%	44.6K	-318.5K	-8.4K	0.00	9.16	1	0	5,388	2,756
2013-02-12	$9.96	$9.00	33.9%	9.7%	93.9%	27.0%	35.4%	3.3%	1.7%	47.6K	-450.1K	-8.4K	0.86	14.61	86	74	5,389	2,756
2013-02-13	$10.15	$9.00	34.9%	10.0%	94.1%	29.4%	39.5%	6.6%	1.6%	50.0K	-827.8K	-8.3K	3.63	19.04	52	189	5,429	2,756
2013-02-14	$10.28	$9.00	34.2%	9.8%	93.3%	27.7%	33.7%	-4.4%	1.1%	48.6K	-1.1M	-8.2K	0.00	14.26	50	0	5,420	2,860
2013-02-15	$10.10	$9.00	35.2%	10.1%	93.0%	30.1%	36.8%	3.5%	0.6%	49.3K	-781.0K	-8.1K	0.15	17.07	144	22	5,386	2,860
2013-02-19	$10.35	$9.00	32.6%	9.3%	93.6%	24.1%	30.0%	1.4%	1.6%	48.2K	-1.5M	-7.6K	0.01	15.96	173	2	3,675	1,868
2013-02-20	$10.22	$9.00	34.8%	10.0%	93.5%	29.3%	34.1%	-1.7%	1.0%	49.7K	-1.4M	-7.8K	0.40	16.00	20	8	3,812	1,870
2013-02-21	$10.00	$9.00	33.7%	9.6%	93.6%	26.5%	33.6%	3.5%	-0.2%	47.2K	-1.1M	-7.8K	0.06	16.03	82	5	3,812	1,869
2013-02-22	$10.17	$9.00	32.3%	9.2%	93.8%	23.3%	0.0%	7.6%	3.7%	51.6K	-1.3M	-7.7K	0.00	98.84	14	0	3,868	1,874
2013-02-25	$10.19	$9.00	35.9%	10.3%	93.8%	31.6%	0.0%	9.5%	1.3%	51.0K	-1.4M	-7.7K	0.54	13.64	112	60	3,873	1,874
2013-02-26	$10.01	$9.00	33.8%	9.7%	93.8%	26.9%	33.8%	2.1%	1.4%	53.4K	-1.1M	-7.9K	0.31	15.97	139	43	3,973	1,874
2013-02-27	$10.15	$9.00	32.5%	9.3%	31.6%	23.9%	0.0%	7.2%	2.6%	58.6K	-1.3M	-7.8K	0.20	17.11	10	2	4,016	1,894
2013-02-28	$10.25	$9.00	32.1%	9.2%	28.2%	22.9%	32.1%	6.7%	3.8%	58.5K	-1.5M	-7.8K	0.08	14.76	85	7	4,016	1,896