SANM Options History — March 2013

In March 2013, SANM traded between $10.26 and $12.08. ATM implied volatility averaged 33.7%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 6.3% (HV 20d: 27.3%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 4.16.

Notable Days

2013-03-07: Highest Volume — 2,480 contracts
2013-03-13: Largest IV spike — 45.3% change
2013-03-13: Highest IV Rank — 46.0%
2013-03-07: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.31	$10.26	$12.08	$10.26	$11.37
Max Pain	$9.95	$9.00	$10.00	$9.00	$10.00
ATM IV	33.7%	21.5%	41.7%	31.0%	35.5%
Expected Move	9.8%	8.9%	10.7%	8.9%	10.2%
HV 20d	27.3%	24.1%	30.4%	27.9%	28.2%
HV 60d	60.6%	58.3%	61.1%	61.0%	58.3%
IV Rank	27.6%	0.0%	46.0%	20.5%	31.8%
IV Percentile	16.2%	0.0%	49.6%	3.6%	21.0%
Term Structure	6.2%	1.9%	10.6%	3.1%	10.4%
VWIV	33.1%	25.0%	37.7%	37.7%	27.7%
Skew 25d	4.9%	-0.9%	11.7%	6.6%	0.6%
Skew 10d	6.0%	-1.3%	15.9%	2.9%	2.5%
Call IV 25d	29.3%	22.8%	33.2%	22.8%	31.9%
Put IV 25d	34.2%	29.4%	40.7%	29.4%	32.4%
Bid-Ask Spread %	17.75	12.87	30.21	17.22	16.34
Gamma HHI	0.30	0.23	0.46	0.37	0.26
Net GEX	83.0K	62.0K	156.3K	62.0K	72.6K
Net DEX	-3.3M	-5.6M	-1.5M	-1.5M	-3.0M
Net VEX	-7.0K	-8.3K	-6.1K	-7.7K	-6.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	4.16	0.00	37.60	0.13	0.43
Total Volume	347	0	2,480	191	1,110
Total OI	6,462.6	5,533	8,075	5,933	5,753

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
2013-03-01	$10.26	$9.00	31.0%	8.9%	27.9%	20.5%	0.0%	6.6%	3.1%	62.0K	-1.5M	-7.7K	0.13	17.22	169	22	4,044	1,889
2013-03-04	$10.30	$10.00	34.6%	10.4%	27.2%	28.6%	37.7%	9.8%	3.3%	66.9K	-1.7M	-7.7K	4.67	15.01	3	14	4,180	1,909
2013-03-05	$10.62	$10.00	21.5%	9.4%	28.0%	0.0%	34.2%	4.1%	4.5%	70.9K	-2.2M	-7.3K	0.78	16.08	160	125	4,182	1,902
2013-03-06	$10.87	$10.00	29.9%	9.0%	25.7%	19.1%	31.4%	4.6%	5.6%	78.4K	-2.5M	-7.3K	0.00	22.71	106	0	4,317	1,982
2013-03-07	$11.15	$10.00	38.6%	10.7%	26.0%	38.9%	37.2%	9.0%	1.9%	69.9K	-2.9M	-7.6K	0.24	19.85	1,997	483	4,346	1,982
2013-03-08	$11.31	$10.00	35.0%	10.1%	25.6%	30.7%	37.2%	8.4%	4.2%	155.5K	-4.2M	-8.3K	31.25	16.04	4	125	5,751	2,049
2013-03-11	$11.38	$10.00	33.5%	10.2%	24.1%	27.2%	32.1%	9.3%	2.9%	156.3K	-4.3M	-7.8K	0.06	18.01	70	4	5,755	2,023
2013-03-12	$11.66	$10.00	28.7%	9.4%	24.8%	16.4%	33.8%	3.5%	5.2%	126.0K	-4.9M	-7.3K	0.94	19.02	170	160	5,818	2,023
2013-03-13	$11.78	$10.00	41.7%	9.9%	24.8%	46.0%	27.1%	2.0%	2.5%	104.3K	-5.2M	-7.3K	0.04	12.87	110	4	5,909	2,166
2013-03-14	$12.08	$10.00	31.8%	9.1%	25.2%	23.4%	35.7%	4.8%	4.8%	71.0K	-5.6M	-6.6K	0.04	16.07	166	6	5,869	2,168
2013-03-15	$11.85	$10.00	31.5%	9.0%	27.0%	22.8%	33.2%	5.7%	6.1%	73.5K	-5.2M	-6.9K	0.00	17.58	1,392	3	5,790	2,174
2013-03-18	$11.40	$10.00	35.9%	10.3%	30.4%	32.8%	35.7%	0.7%	9.5%	64.5K	-2.8M	-6.8K	37.60	14.71	5	188	4,029	1,534
2013-03-19	$11.54	$10.00	34.3%	9.8%	29.7%	29.1%	34.6%	4.7%	8.1%	64.5K	-3.0M	-6.7K	0.48	16.30	62	30	4,029	1,504
2013-03-20	$11.68	$10.00	31.4%	9.0%	29.0%	22.6%	31.6%	11.7%	10.6%	63.5K	-3.2M	-6.4K	0.00	13.55	44	0	4,089	1,519
2013-03-21	$11.45	$10.00	34.8%	10.0%	28.8%	30.3%	34.8%	1.6%	10.3%	67.2K	-2.9M	-6.6K	0.15	19.00	114	17	4,097	1,519
2013-03-22	$11.30	$10.00	34.6%	9.9%	29.4%	29.8%	0.0%	5.4%	9.4%	74.2K	-2.8M	-6.9K	0.00	16.71	0	0	4,210	1,526
2013-03-25	$11.36	$10.00	36.7%	10.5%	29.3%	34.6%	25.0%	-0.9%	7.0%	72.2K	-2.9M	-6.7K	0.00	14.09	8	0	4,210	1,526
2013-03-26	$11.39	$10.00	36.0%	10.3%	28.0%	33.0%	0.0%	2.1%	7.1%	72.4K	-3.0M	-6.4K	0.00	30.21	27	0	4,216	1,526
2013-03-27	$11.43	$10.00	36.4%	10.4%	27.9%	34.0%	0.0%	3.1%	7.5%	74.3K	-3.0M	-6.1K	2.23	23.69	13	29	4,211	1,526
2013-03-28	$11.37	$10.00	35.5%	10.2%	28.2%	31.8%	27.7%	0.6%	10.4%	72.6K	-3.0M	-6.3K	0.43	16.34	778	332	4,224	1,529