SANM Options History — November 2013

In November 2013, SANM traded between $14.91 and $15.75. ATM implied volatility averaged 33.6%, placing in the 22.6% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 18.9% (HV 20d: 52.4%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.66.

Notable Days

2013-11-04: Highest Volume — 321 contracts
2013-11-14: Largest IV spike — 41.0% change
2013-11-06: Highest IV Rank — 30.4%
2013-11-06: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.38	$14.91	$15.75	$14.91	$15.48
Max Pain	$16.10	$16.00	$17.00	$17.00	$16.00
ATM IV	33.6%	23.9%	37.7%	36.0%	34.3%
Expected Move	9.8%	9.0%	10.4%	10.3%	9.8%
HV 20d	52.4%	27.8%	57.4%	54.9%	27.8%
HV 60d	39.1%	37.9%	39.9%	37.9%	39.1%
IV Rank	22.6%	4.5%	30.4%	27.3%	24.1%
IV Percentile	25.4%	0.8%	59.5%	42.1%	31.3%
Term Structure	0.6%	-0.7%	3.2%	-0.2%	-0.6%
VWIV	34.0%	31.6%	36.7%	35.4%	31.6%
Skew 25d	4.3%	0.1%	15.3%	15.3%	3.9%
Skew 10d	9.8%	-5.4%	19.0%	11.6%	4.7%
Call IV 25d	31.7%	24.5%	33.7%	24.5%	25.3%
Put IV 25d	36.0%	29.1%	39.7%	39.7%	29.1%
Bid-Ask Spread %	76.60	24.63	102.32	24.63	102.32
Gamma HHI	0.33	0.23	0.63	0.34	0.26
Net GEX	-72.4K	-203.3K	36.7K	-144.4K	36.7K
Net DEX	1.7M	-671.4K	4.2M	4.2M	-558.1K
Net VEX	-11.1K	-14.7K	-8.8K	-13.8K	-8.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.66	0.00	12.22	1.49	0.00
Total Volume	86.4	3	321	174	27
Total OI	8,563	5,150	11,456	11,246	5,256

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
2013-11-01	$14.91	$17.00	36.0%	10.3%	54.9%	27.3%	35.4%	15.3%	-0.2%	-144.4K	4.2M	-13.8K	1.49	24.63	70	104	5,162	6,084
2013-11-04	$15.52	$16.00	36.8%	9.8%	57.4%	28.8%	34.5%	5.8%	1.0%	-182.5K	2.8M	-14.7K	0.19	63.19	269	52	5,188	6,158
2013-11-05	$15.75	$16.00	32.8%	9.8%	57.0%	21.2%	34.1%	4.0%	-0.7%	-203.3K	2.3M	-14.3K	0.31	68.24	97	30	5,234	6,173
2013-11-06	$15.48	$17.00	37.7%	10.4%	57.3%	30.4%	36.7%	4.9%	0.1%	-187.4K	3.1M	-13.9K	0.41	67.73	32	13	5,234	6,189
2013-11-07	$15.16	$16.00	36.4%	10.3%	57.2%	28.1%	34.4%	5.1%	-0.4%	-168.8K	3.9M	-12.9K	2.21	71.76	19	42	5,239	6,189
2013-11-08	$15.36	$16.00	32.4%	10.0%	57.2%	20.4%	36.1%	3.9%	0.3%	-188.1K	3.5M	-12.7K	5.73	72.89	15	86	5,248	6,152
2013-11-11	$15.34	$16.00	32.6%	10.2%	56.8%	21.0%	33.9%	3.7%	-0.7%	-187.6K	3.6M	-11.8K	12.22	77.66	18	220	5,256	6,200
2013-11-12	$15.43	$16.00	35.0%	9.8%	56.9%	25.5%	0.0%	3.9%	2.0%	-174.6K	3.4M	-11.4K	0.69	77.34	29	20	5,256	6,017
2013-11-13	$15.46	$16.00	23.9%	9.7%	56.4%	4.5%	33.6%	4.6%	0.9%	-123.1K	3.5M	-10.7K	0.84	83.42	25	21	5,243	6,012
2013-11-14	$15.19	$16.00	33.7%	9.7%	56.6%	22.9%	34.3%	5.3%	1.1%	-139.6K	3.8M	-10.2K	0.70	82.65	20	14	5,171	5,834
2013-11-15	$15.48	$16.00	34.0%	9.7%	57.2%	23.4%	32.2%	3.6%	1.3%	-31.6K	3.3M	-10.1K	0.25	83.24	204	52	5,168	5,828
2013-11-18	$15.48	$16.00	33.9%	9.7%	56.1%	23.3%	33.8%	1.8%	0.8%	29.0K	-531.2K	-9.9K	0.30	76.46	71	21	2,997	2,153
2013-11-19	$15.09	$16.00	34.4%	9.9%	56.4%	24.2%	0.0%	3.4%	0.7%	24.5K	-94.2K	-9.6K	0.00	82.79	0	11	3,055	2,147
2013-11-20	$15.13	$16.00	34.1%	9.8%	56.2%	23.7%	34.3%	2.3%	0.1%	25.3K	-179.5K	-9.6K	0.00	89.27	12	0	3,055	2,158
2013-11-21	$15.60	$16.00	31.8%	9.1%	56.9%	19.3%	33.8%	4.9%	2.3%	34.5K	-661.2K	-9.9K	0.75	82.03	8	6	3,063	2,158
2013-11-22	$15.57	$16.00	32.5%	9.3%	55.9%	20.6%	32.9%	3.5%	0.9%	34.7K	-671.4K	-9.8K	0.50	80.95	20	10	3,063	2,159
2013-11-25	$15.30	$16.00	33.3%	9.5%	56.0%	22.2%	32.7%	2.7%	-0.2%	30.7K	-335.8K	-9.1K	3.10	84.16	10	31	3,076	2,155
2013-11-26	$15.47	$16.00	31.5%	9.0%	29.2%	18.8%	0.0%	0.1%	3.2%	33.6K	-517.1K	-9.2K	0.50	84.94	2	1	3,086	2,178
2013-11-27	$15.48	$16.00	33.9%	9.7%	28.7%	23.3%	33.9%	3.1%	0.9%	34.2K	-500.9K	-9.1K	1.30	76.33	20	26	3,087	2,179
2013-11-29	$15.48	$16.00	34.3%	9.8%	27.8%	24.1%	31.6%	3.9%	-0.6%	36.7K	-558.1K	-8.8K	0.00	102.32	27	0	3,091	2,165