SANM Options History — September 2013

In September 2013, SANM traded between $16.37 and $18.13. ATM implied volatility averaged 34.5%, placing in the 29.9% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 8.5% (HV 20d: 26.0%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 2.62.

Notable Days

2013-09-16: Highest Volume — 1,583 contracts
2013-09-12: Largest IV spike — 26.4% change
2013-09-30: Highest IV Rank — 39.2%
2013-09-30: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.37	$16.37	$18.13	$16.37	$17.49
Max Pain	$14.55	$14.00	$16.00	$16.00	$15.00
ATM IV	34.5%	29.5%	38.6%	37.9%	38.6%
Expected Move	10.2%	9.3%	11.1%	10.9%	11.1%
HV 20d	26.0%	20.8%	28.9%	20.8%	26.3%
HV 60d	27.9%	26.2%	29.8%	29.2%	26.7%
IV Rank	29.9%	18.4%	39.2%	37.7%	39.2%
IV Percentile	27.7%	3.2%	62.3%	55.2%	62.3%
Term Structure	6.4%	1.2%	11.5%	1.2%	8.0%
VWIV	34.6%	23.9%	37.7%	37.3%	23.9%
Skew 25d	3.5%	-0.9%	11.0%	11.0%	4.9%
Skew 10d	12.2%	-4.1%	20.7%	15.0%	19.8%
Call IV 25d	34.0%	29.3%	35.7%	30.0%	35.7%
Put IV 25d	37.5%	33.7%	41.1%	41.1%	40.6%
Bid-Ask Spread %	22.61	13.70	67.89	16.15	16.55
Gamma HHI	0.38	0.26	0.73	0.27	0.27
Net GEX	186.8K	87.2K	822.2K	87.2K	95.7K
Net DEX	-4.1M	-5.4M	-2.7M	-2.7M	-3.6M
Net VEX	-12.2K	-13.4K	-11.0K	-13.2K	-11.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.62	0.00	33.33	4.63	0.00
Total Volume	221.75	17	1,583	45	17
Total OI	7,487.95	6,812	9,293	6,812	7,442

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
2013-09-03	$16.37	$16.00	37.9%	10.9%	20.8%	37.7%	37.3%	11.0%	1.2%	87.2K	-2.7M	-13.2K	4.63	16.15	8	37	4,594	2,218
2013-09-04	$16.70	$16.00	33.4%	9.6%	21.9%	27.3%	33.3%	5.1%	4.2%	109.8K	-3.2M	-13.4K	0.38	21.26	55	21	4,600	2,224
2013-09-05	$16.45	$16.00	36.3%	10.4%	22.2%	33.9%	36.2%	11.0%	1.4%	90.1K	-2.8M	-13.0K	0.81	14.91	37	30	4,610	2,245
2013-09-06	$16.53	$14.00	34.1%	10.3%	21.5%	28.8%	0.0%	3.8%	5.1%	96.8K	-2.9M	-13.0K	0.53	67.89	57	30	4,636	2,275
2013-09-09	$16.82	$14.00	32.0%	10.2%	22.2%	24.1%	36.0%	4.0%	5.3%	121.0K	-3.3M	-12.6K	0.66	32.76	35	23	4,693	2,299
2013-09-10	$17.63	$14.00	32.2%	10.9%	27.6%	24.6%	36.4%	2.5%	4.2%	193.9K	-4.7M	-12.0K	0.82	35.83	179	146	4,702	2,299
2013-09-11	$17.66	$14.00	29.5%	10.3%	27.4%	18.4%	34.3%	3.1%	5.1%	200.8K	-4.7M	-12.5K	0.17	18.86	58	10	4,795	2,419
2013-09-12	$17.32	$14.00	37.3%	10.7%	27.3%	36.2%	37.7%	3.5%	3.9%	174.2K	-4.1M	-12.5K	0.15	13.70	61	9	4,809	2,429
2013-09-13	$17.56	$14.00	36.4%	10.5%	26.8%	34.3%	35.8%	2.4%	4.0%	207.0K	-4.5M	-12.3K	33.33	19.82	9	300	4,835	2,434
2013-09-16	$17.40	$14.00	35.4%	10.2%	27.2%	31.9%	35.6%	2.1%	7.0%	181.8K	-4.1M	-12.2K	0.01	16.19	1,562	21	4,835	2,717
2013-09-17	$17.35	$14.00	35.1%	10.1%	27.3%	31.1%	35.1%	1.9%	7.5%	268.5K	-4.3M	-13.2K	0.00	16.24	803	0	6,294	2,696
2013-09-18	$17.33	$14.00	35.7%	10.2%	27.3%	32.5%	36.0%	1.0%	5.8%	277.3K	-4.3M	-12.9K	0.04	38.49	25	1	6,597	2,696
2013-09-19	$17.45	$14.00	35.6%	10.2%	27.2%	32.4%	35.1%	3.2%	6.4%	161.8K	-4.1M	-12.4K	0.18	17.95	38	7	5,610	2,673
2013-09-20	$17.96	$14.00	33.9%	9.7%	28.0%	28.5%	35.3%	-0.9%	6.8%	822.2K	-5.4M	-12.0K	0.05	19.96	315	16	5,638	2,679
2013-09-23	$18.13	$14.00	32.4%	9.3%	27.8%	24.9%	33.4%	-0.4%	10.6%	147.6K	-4.9M	-11.6K	2.02	19.02	86	174	4,974	2,267
2013-09-24	$18.03	$15.00	33.1%	9.5%	27.6%	26.7%	33.1%	1.4%	11.5%	138.7K	-4.8M	-11.5K	0.26	19.75	43	11	4,981	2,354
2013-09-25	$18.09	$15.00	33.6%	9.6%	27.1%	27.8%	33.2%	4.0%	11.3%	143.1K	-4.8M	-11.4K	2.41	15.80	27	65	4,987	2,365
2013-09-26	$17.68	$15.00	32.8%	9.4%	28.9%	25.9%	33.4%	3.2%	10.2%	115.0K	-4.1M	-11.2K	5.56	14.36	9	50	4,993	2,403
2013-09-27	$17.54	$15.00	34.9%	10.0%	28.0%	30.8%	35.6%	2.6%	8.9%	104.0K	-3.8M	-11.3K	0.43	16.79	42	18	4,999	2,443
2013-09-30	$17.49	$15.00	38.6%	11.1%	26.3%	39.2%	23.9%	4.9%	8.0%	95.7K	-3.6M	-11.0K	0.00	16.55	17	0	4,999	2,443