SANM Options History — June 2013

In June 2013, SANM traded between $13.53 and $14.48. ATM implied volatility averaged 37.2%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 4.0% (HV 20d: 33.3%). Max pain ranged from $10.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 8.10.

Notable Days

2013-06-18: Highest Volume — 1,599 contracts
2013-06-21: Largest IV drop — 5.7% change
2013-06-12: Highest IV Rank — 41.7%
2013-06-12: Largest Expected Move — 11.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.93	$13.53	$14.48	$13.85	$14.35
Max Pain	$10.60	$10.00	$13.00	$13.00	$10.00
ATM IV	37.2%	35.3%	39.8%	37.1%	36.4%
Expected Move	10.7%	10.2%	11.7%	10.6%	10.4%
HV 20d	33.3%	30.6%	37.3%	30.6%	35.3%
HV 60d	46.6%	45.4%	47.7%	46.2%	47.7%
IV Rank	35.8%	31.3%	41.7%	35.6%	33.9%
IV Percentile	39.5%	24.2%	56.3%	37.7%	34.1%
Term Structure	5.2%	-0.9%	12.7%	-0.9%	11.0%
VWIV	37.6%	32.2%	41.7%	32.2%	34.7%
Skew 25d	8.0%	2.7%	17.3%	17.1%	10.5%
Skew 10d	10.3%	-2.0%	24.5%	9.2%	14.8%
Call IV 25d	32.5%	24.4%	39.5%	24.8%	28.8%
Put IV 25d	40.5%	36.9%	44.4%	41.9%	39.4%
Bid-Ask Spread %	18.76	10.85	41.48	12.36	12.08
Gamma HHI	0.25	0.20	0.37	0.24	0.26
Net GEX	53.2K	38.0K	73.3K	53.6K	45.4K
Net DEX	-3.7M	-4.5M	-3.0M	-3.7M	-3.9M
Net VEX	-9.6K	-14.5K	-6.4K	-6.4K	-14.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	8.10	0.00	112.50	0.40	0.00
Total Volume	232.05	18	1,599	42	23
Total OI	7,356.85	6,386	8,826	6,386	7,893

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
2013-06-03	$13.85	$13.00	37.1%	10.6%	30.6%	35.6%	32.2%	17.1%	-0.9%	53.6K	-3.7M	-6.4K	0.40	12.36	30	12	3,964	2,422
2013-06-04	$13.80	$13.00	35.9%	10.3%	30.6%	32.8%	38.1%	17.3%	1.9%	53.6K	-3.7M	-6.5K	0.20	11.91	123	24	3,989	2,424
2013-06-05	$13.55	$13.00	36.9%	10.6%	31.6%	35.1%	0.0%	7.2%	-0.5%	51.3K	-3.5M	-6.8K	0.48	11.34	52	25	4,079	2,444
2013-06-06	$13.90	$13.00	37.2%	10.7%	32.5%	35.8%	0.0%	15.9%	0.8%	60.2K	-3.8M	-6.7K	112.50	22.68	2	225	4,130	2,469
2013-06-07	$13.89	$10.00	35.3%	10.5%	32.5%	31.3%	38.0%	5.9%	3.2%	54.6K	-3.8M	-6.8K	0.02	15.52	65	1	4,132	2,694
2013-06-10	$14.04	$10.00	36.9%	10.4%	30.7%	35.0%	36.6%	4.9%	3.0%	57.9K	-4.0M	-6.6K	2.71	15.15	21	57	4,168	2,695
2013-06-11	$13.93	$10.00	38.6%	11.4%	30.9%	39.0%	40.1%	6.2%	0.7%	55.1K	-3.8M	-7.0K	0.73	16.21	279	204	4,179	2,739
2013-06-12	$13.68	$10.00	39.8%	11.7%	30.9%	41.7%	40.9%	4.9%	0.5%	50.7K	-3.5M	-8.9K	0.33	10.85	69	23	4,428	2,942
2013-06-13	$14.03	$10.00	38.6%	11.1%	32.0%	38.9%	38.8%	5.1%	3.3%	59.9K	-4.0M	-8.7K	1.18	15.50	22	26	4,482	2,963
2013-06-14	$13.71	$10.00	38.4%	11.0%	33.0%	38.4%	38.7%	5.9%	3.2%	51.5K	-3.6M	-8.7K	0.00	12.11	18	0	4,502	2,989
2013-06-17	$13.94	$10.00	37.2%	10.7%	33.2%	35.8%	0.0%	9.0%	4.4%	57.4K	-3.9M	-8.5K	2.50	11.50	10	25	4,507	2,989
2013-06-18	$14.44	$10.00	38.7%	11.1%	34.5%	39.2%	37.7%	14.8%	5.6%	73.3K	-4.5M	-8.2K	0.62	22.25	988	611	4,497	3,014
2013-06-19	$13.94	$10.00	36.9%	10.6%	36.7%	35.0%	37.0%	4.8%	5.5%	55.0K	-3.9M	-12.2K	0.00	28.56	64	0	5,149	3,576
2013-06-20	$13.53	$10.00	38.7%	11.1%	37.3%	39.1%	41.7%	4.6%	6.2%	49.3K	-3.3M	-12.0K	15.44	31.53	9	139	5,149	3,561
2013-06-21	$13.87	$10.00	36.5%	10.5%	33.7%	34.1%	38.2%	3.1%	7.5%	38.0K	-3.6M	-12.1K	19.30	33.83	10	193	5,145	3,681
2013-06-24	$13.56	$10.00	37.3%	10.7%	34.7%	35.9%	37.7%	4.6%	10.9%	43.0K	-3.0M	-11.8K	0.28	41.48	211	59	4,399	2,399
2013-06-25	$13.93	$10.00	35.9%	10.3%	35.2%	32.8%	35.9%	4.8%	12.7%	50.1K	-3.4M	-12.5K	0.94	23.92	319	300	4,564	2,447
2013-06-26	$14.08	$10.00	35.6%	10.2%	34.7%	32.1%	35.3%	2.7%	12.2%	53.1K	-3.7M	-14.0K	1.38	11.49	50	69	4,882	2,747
2013-06-27	$14.48	$10.00	36.9%	10.6%	35.0%	35.1%	34.7%	10.1%	11.7%	51.5K	-4.2M	-14.1K	2.99	14.97	71	212	4,899	2,805
2013-06-28	$14.35	$10.00	36.4%	10.4%	35.3%	33.9%	0.0%	10.5%	11.0%	45.4K	-3.9M	-14.5K	0.00	12.08	23	0	4,935	2,958