SANM Options History — March 2014

In March 2014, SANM traded between $16.84 and $17.94. ATM implied volatility averaged 33.1%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 9.8% (HV 20d: 23.2%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2014-03-21: Highest Volume — 1,740 contracts
2014-03-11: Largest IV drop — 5.7% change
2014-03-03: Highest IV Rank — 26.4%
2014-03-03: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.40	$16.84	$17.94	$17.00	$17.45
Max Pain	$17.00	$17.00	$17.00	$17.00	$17.00
ATM IV	33.1%	30.5%	35.8%	35.5%	32.9%
Expected Move	9.4%	8.7%	10.2%	10.2%	9.4%
HV 20d	23.2%	19.2%	26.4%	21.3%	26.4%
HV 60d	37.6%	37.0%	38.2%	37.5%	37.8%
IV Rank	20.2%	15.1%	26.4%	26.4%	19.7%
IV Percentile	24.4%	3.6%	55.6%	52.0%	23.0%
Term Structure	8.0%	-2.5%	14.3%	0.6%	13.4%
VWIV	35.1%	31.7%	42.0%	36.1%	42.0%
Skew 25d	0.4%	-4.7%	3.2%	-2.9%	-4.7%
Skew 10d	3.4%	-10.0%	18.5%	7.7%	-7.2%
Call IV 25d	33.7%	30.1%	39.8%	39.8%	34.1%
Put IV 25d	34.1%	29.4%	37.9%	36.8%	29.4%
Bid-Ask Spread %	91.85	81.05	105.20	87.69	105.20
Gamma HHI	0.38	0.22	0.88	0.30	0.23
Net GEX	180.5K	99.8K	756.3K	129.3K	126.5K
Net DEX	-1.8M	-2.7M	-961.3K	-1.6M	-1.6M
Net VEX	-7.6K	-9.7K	-6.0K	-8.8K	-6.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.00	5.00	4.63	0.00
Total Volume	164.619	0	1,740	135	0
Total OI	5,146	4,183	5,270	4,952	5,259

Daily Data (21 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
2014-03-03	$17.00	$17.00	35.5%	10.2%	21.3%	26.4%	36.1%	-2.9%	0.6%	129.3K	-1.6M	-8.8K	4.63	87.69	24	111	3,803	1,149
2014-03-04	$17.70	$17.00	35.5%	10.2%	20.8%	26.3%	0.0%	2.1%	-2.5%	169.1K	-2.5M	-9.7K	0.01	89.76	104	1	3,827	1,260
2014-03-05	$17.60	$17.00	34.2%	9.8%	20.6%	23.8%	34.7%	-1.8%	-1.6%	174.7K	-2.4M	-9.3K	0.16	91.62	87	14	3,862	1,261
2014-03-06	$17.45	$17.00	34.9%	10.0%	21.0%	23.6%	0.0%	-4.6%	0.4%	171.8K	-2.2M	-9.1K	0.00	93.89	19	0	3,913	1,270
2014-03-07	$17.37	$17.00	35.1%	9.4%	19.7%	24.0%	0.0%	1.0%	7.9%	165.6K	-2.0M	-8.8K	0.00	84.77	0	4	3,932	1,270
2014-03-10	$17.32	$17.00	35.8%	9.4%	19.2%	25.3%	33.1%	3.2%	7.8%	165.1K	-1.9M	-8.4K	2.00	81.05	13	26	3,932	1,273
2014-03-11	$17.06	$17.00	33.8%	9.3%	20.0%	21.3%	0.0%	1.7%	8.0%	140.2K	-1.4M	-7.9K	0.00	84.72	11	0	3,944	1,299
2014-03-12	$17.37	$17.00	34.1%	9.4%	20.8%	22.0%	0.0%	2.9%	7.4%	170.6K	-1.7M	-7.8K	0.00	84.70	2	0	3,955	1,299
2014-03-13	$16.84	$17.00	33.1%	9.5%	23.8%	20.0%	37.9%	1.9%	7.6%	105.3K	-1.0M	-7.2K	0.00	91.53	0	2	3,954	1,299
2014-03-14	$16.84	$17.00	33.5%	9.6%	23.8%	20.8%	34.3%	3.1%	7.4%	99.8K	-961.3K	-7.1K	0.00	92.27	14	0	3,954	1,299
2014-03-17	$17.06	$17.00	33.0%	9.5%	24.1%	19.9%	0.0%	1.3%	8.2%	112.7K	-1.2M	-6.7K	0.00	90.79	0	0	3,955	1,299
2014-03-18	$17.52	$17.00	31.4%	9.0%	25.0%	16.9%	32.0%	2.4%	9.2%	200.3K	-1.9M	-6.8K	5.00	91.04	1	5	3,955	1,299
2014-03-19	$17.61	$17.00	31.6%	9.1%	24.6%	17.3%	31.7%	2.2%	8.8%	240.1K	-2.0M	-6.5K	1.06	93.80	16	17	3,955	1,304
2014-03-20	$17.63	$17.00	31.1%	8.9%	24.5%	16.3%	34.8%	1.4%	9.1%	249.5K	-2.0M	-6.3K	0.75	93.40	4	3	3,951	1,317
2014-03-21	$17.94	$17.00	31.5%	9.0%	25.0%	17.0%	34.9%	-3.2%	9.5%	756.3K	-2.7M	-6.0K	0.00	90.29	1,736	4	3,950	1,320
2014-03-24	$17.91	$17.00	32.0%	9.2%	24.5%	17.9%	36.0%	0.7%	11.1%	124.6K	-2.1M	-7.3K	0.07	92.31	636	47	3,076	1,107
2014-03-25	$17.82	$17.00	30.5%	8.7%	24.4%	15.1%	33.2%	2.4%	14.3%	145.8K	-2.0M	-7.6K	0.27	92.11	321	88	3,706	1,152
2014-03-26	$17.39	$17.00	31.2%	9.0%	26.1%	16.5%	42.0%	-1.0%	14.0%	124.7K	-1.6M	-7.5K	0.37	93.79	52	19	3,985	1,203
2014-03-27	$17.27	$17.00	32.2%	9.2%	26.2%	18.3%	0.0%	1.1%	12.9%	108.7K	-1.3M	-7.2K	0.00	102.30	8	0	4,037	1,222
2014-03-28	$17.25	$17.00	31.3%	9.0%	26.1%	16.6%	0.0%	-0.7%	13.7%	110.3K	-1.3M	-7.0K	0.00	101.85	0	68	4,037	1,222
2014-03-31	$17.45	$17.00	32.9%	9.4%	26.4%	19.7%	0.0%	-4.7%	13.4%	126.5K	-1.6M	-6.7K	0.00	105.20	0	0	4,037	1,222