SANM Options History — February 2014

In February 2014, SANM traded between $15.98 and $17.26. ATM implied volatility averaged 34.0%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 16.3% (HV 20d: 50.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.41.

Notable Days

2014-02-21: Highest Volume — 1,593 contracts
2014-02-11: Largest IV drop — 9.0% change
2014-02-03: Highest IV Rank — 31.0%
2014-02-03: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.80	$15.98	$17.26	$16.11	$16.96
Max Pain	$16.79	$16.00	$17.00	$16.00	$17.00
ATM IV	34.0%	31.0%	38.0%	38.0%	34.5%
Expected Move	9.9%	9.4%	10.9%	10.9%	9.9%
HV 20d	50.3%	21.7%	59.2%	58.7%	21.7%
HV 60d	38.3%	37.6%	38.8%	38.8%	37.6%
IV Rank	23.5%	17.9%	31.0%	31.0%	24.4%
IV Percentile	34.9%	6.3%	75.4%	75.4%	42.1%
Term Structure	0.2%	-1.7%	1.8%	-1.7%	-0.5%
VWIV	36.5%	31.7%	41.9%	41.3%	34.6%
Skew 25d	2.1%	-1.2%	7.0%	-1.2%	-0.6%
Skew 10d	4.4%	-12.6%	17.1%	-1.1%	-7.3%
Call IV 25d	35.2%	30.2%	41.6%	41.6%	36.0%
Put IV 25d	37.3%	33.5%	40.8%	40.4%	35.4%
Bid-Ask Spread %	78.65	31.91	97.62	35.32	88.07
Gamma HHI	0.49	0.30	0.96	0.38	0.30
Net GEX	214.8K	-10.4K	1.3M	14.0K	124.6K
Net DEX	-2.1M	-4.3M	367.4K	-547.8K	-1.5M
Net VEX	-10.3K	-13.1K	-7.1K	-13.1K	-9.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.00	2.60	2.60	1.43
Total Volume	299.474	0	1,593	472	56
Total OI	7,450.947	3,984	9,254	8,000	4,912

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
2014-02-03	$16.11	$16.00	38.0%	10.9%	58.7%	31.0%	41.3%	-1.2%	-1.7%	14.0K	-547.8K	-13.1K	2.60	35.32	131	341	4,281	3,719
2014-02-04	$15.98	$16.00	36.1%	10.4%	58.5%	27.5%	38.9%	1.2%	0.0%	-10.4K	367.4K	-13.0K	0.13	31.91	38	5	4,355	3,978
2014-02-05	$16.14	$16.00	36.8%	10.6%	58.5%	28.8%	41.9%	4.3%	-0.4%	784	-85.1K	-13.1K	0.00	50.69	0	4	4,379	3,970
2014-02-06	$16.54	$16.00	34.1%	9.8%	59.1%	23.6%	40.5%	3.5%	1.6%	54.8K	-1.4M	-13.0K	1.00	64.14	12	12	4,379	3,968
2014-02-07	$16.79	$17.00	33.1%	9.9%	59.2%	21.9%	0.0%	4.1%	-0.1%	84.0K	-2.2M	-12.5K	0.00	72.39	10	0	4,385	3,957
2014-02-10	$16.71	$17.00	34.6%	9.8%	59.2%	24.6%	0.0%	7.0%	0.2%	81.7K	-2.2M	-11.4K	0.00	74.99	0	0	4,385	3,957
2014-02-11	$16.83	$17.00	31.5%	9.9%	55.2%	18.8%	0.0%	4.4%	0.3%	138.4K	-2.4M	-11.1K	0.87	84.42	92	80	4,385	3,957
2014-02-12	$16.89	$17.00	31.0%	9.8%	55.1%	17.9%	0.0%	4.5%	0.6%	153.0K	-2.6M	-11.5K	0.00	84.49	10	0	4,473	4,037
2014-02-13	$16.89	$17.00	33.6%	9.6%	54.0%	22.7%	33.6%	2.7%	1.7%	158.5K	-2.6M	-11.2K	0.00	92.76	33	0	4,483	4,037
2014-02-14	$16.80	$17.00	34.0%	9.8%	53.4%	23.5%	36.8%	3.3%	0.1%	161.1K	-2.2M	-10.8K	0.04	90.40	508	19	4,477	4,037
2014-02-18	$17.13	$17.00	34.0%	9.7%	53.5%	23.5%	0.0%	-0.0%	-0.1%	349.4K	-4.3M	-8.5K	0.00	87.55	312	0	4,801	4,056
2014-02-19	$16.93	$17.00	34.2%	9.8%	53.4%	23.8%	0.0%	0.9%	-0.2%	383.7K	-3.5M	-8.0K	0.27	97.62	94	25	4,569	4,056
2014-02-20	$17.06	$17.00	34.0%	9.7%	53.4%	23.4%	0.0%	4.2%	-0.8%	591.7K	-3.9M	-7.1K	0.01	93.68	928	12	4,274	4,080
2014-02-21	$16.98	$17.00	32.6%	9.4%	53.2%	21.0%	35.3%	-0.7%	0.2%	1.3M	-4.3M	-7.3K	0.00	91.25	1,593	0	5,165	4,089
2014-02-24	$17.26	$17.00	33.8%	9.7%	51.0%	23.1%	35.4%	1.4%	0.9%	103.0K	-1.6M	-8.0K	0.00	86.34	838	2	2,941	1,043
2014-02-25	$17.13	$17.00	34.2%	9.8%	49.5%	23.9%	34.5%	-1.1%	0.5%	118.8K	-1.6M	-8.5K	0.34	90.18	190	65	3,432	1,045
2014-02-26	$17.09	$17.00	32.8%	9.4%	25.3%	21.1%	31.7%	0.5%	1.8%	127.1K	-1.7M	-9.0K	0.27	90.75	141	38	3,602	1,090
2014-02-27	$17.03	$17.00	33.7%	9.7%	24.2%	22.9%	33.3%	1.5%	0.1%	125.7K	-1.6M	-8.9K	0.03	87.39	98	3	3,687	1,127
2014-02-28	$16.96	$17.00	34.5%	9.9%	21.7%	24.4%	34.6%	-0.6%	-0.5%	124.6K	-1.5M	-9.1K	1.43	88.07	23	33	3,782	1,130