SANM Options History — May 2014

In May 2014, SANM traded between $20.11 and $21.19. ATM implied volatility averaged 28.6%, placing in the 10.3% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 14.0% (HV 20d: 42.5%). Max pain ranged from $17.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2014-05-16: Highest Volume — 1,987 contracts
2014-05-06: Largest IV spike — 8.9% change
2014-05-07: Highest IV Rank — 19.2%
2014-05-01: Largest Expected Move — 9.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.45	$20.11	$21.19	$20.31	$20.35
Max Pain	$20.62	$17.00	$21.00	$17.00	$21.00
ATM IV	28.6%	26.4%	32.6%	31.8%	26.7%
Expected Move	8.2%	7.6%	9.1%	9.1%	7.7%
HV 20d	42.5%	19.0%	55.0%	54.9%	19.3%
HV 60d	36.2%	35.7%	36.6%	35.9%	35.7%
IV Rank	10.3%	5.0%	19.2%	17.7%	5.6%
IV Percentile	4.9%	1.2%	25.4%	15.1%	1.6%
Term Structure	0.6%	-0.9%	1.5%	-0.9%	1.1%
VWIV	29.2%	24.7%	33.4%	30.8%	25.9%
Skew 25d	1.7%	-1.9%	6.6%	6.6%	1.9%
Skew 10d	4.1%	-6.6%	13.6%	13.6%	1.2%
Call IV 25d	28.2%	26.3%	29.7%	27.6%	27.5%
Put IV 25d	30.0%	27.4%	34.1%	34.1%	29.4%
Bid-Ask Spread %	88.26	79.37	98.36	88.04	94.02
Gamma HHI	0.31	0.19	0.56	0.29	0.25
Net GEX	103.3K	2.7K	194.1K	190.2K	21.8K
Net DEX	-4.2M	-8.1M	-607.7K	-5.9M	-838.1K
Net VEX	-9.7K	-12.0K	-7.8K	-12.0K	-7.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.00	3.71	1.85	0.00
Total Volume	213.333	0	1,987	333	0
Total OI	6,471.048	5,122	7,846	7,026	5,176

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
2014-05-01	$20.31	$17.00	31.8%	9.1%	54.9%	17.7%	30.8%	6.6%	-0.9%	190.2K	-5.9M	-12.0K	1.85	88.04	117	216	4,854	2,172
2014-05-02	$20.61	$17.00	29.9%	8.6%	55.0%	14.0%	31.3%	-0.7%	-0.7%	165.9K	-6.7M	-11.5K	0.44	89.69	103	45	4,958	2,208
2014-05-05	$20.79	$21.00	29.3%	8.4%	53.4%	12.7%	32.3%	3.2%	0.4%	151.5K	-7.1M	-10.7K	2.95	81.06	42	124	4,981	2,233
2014-05-06	$20.43	$21.00	31.9%	8.8%	54.1%	17.7%	31.1%	1.3%	-0.2%	186.8K	-6.2M	-11.6K	3.36	84.22	14	47	5,009	2,356
2014-05-07	$20.48	$21.00	32.6%	8.9%	53.9%	19.2%	31.1%	3.9%	-0.4%	194.1K	-6.2M	-11.3K	3.71	85.75	24	89	5,021	2,383
2014-05-08	$20.54	$21.00	30.0%	8.4%	53.8%	14.2%	29.7%	2.6%	1.0%	184.8K	-6.5M	-11.0K	0.04	83.77	176	7	5,045	2,449
2014-05-09	$20.66	$21.00	27.9%	8.4%	53.2%	10.1%	29.7%	3.1%	0.5%	175.1K	-6.7M	-10.5K	0.00	79.37	22	0	5,061	2,456
2014-05-12	$21.19	$21.00	27.5%	8.3%	52.2%	9.4%	29.1%	1.1%	0.6%	93.2K	-8.1M	-8.8K	0.24	81.67	267	64	5,076	2,456
2014-05-13	$20.93	$21.00	26.8%	8.1%	51.8%	8.0%	29.8%	0.5%	1.2%	111.3K	-7.7M	-9.0K	0.14	84.46	249	34	5,142	2,508
2014-05-14	$20.48	$21.00	29.1%	8.2%	53.1%	12.5%	28.7%	0.7%	1.5%	156.8K	-6.8M	-9.6K	0.20	86.07	175	35	5,306	2,540
2014-05-15	$20.35	$21.00	28.7%	8.2%	53.4%	9.5%	31.4%	3.4%	1.5%	152.3K	-6.4M	-9.1K	0.14	85.22	331	48	5,085	2,460
2014-05-16	$20.26	$21.00	28.4%	8.2%	53.2%	9.0%	33.4%	1.4%	1.3%	185.5K	-6.4M	-9.1K	0.04	85.84	1,913	74	5,287	2,466
2014-05-19	$20.54	$21.00	27.5%	7.9%	53.1%	7.0%	29.0%	1.3%	0.5%	48.0K	-1.1M	-9.9K	0.63	86.39	16	10	3,058	2,064
2014-05-20	$20.14	$21.00	28.4%	8.1%	53.7%	8.8%	25.6%	0.4%	0.7%	31.1K	-770.0K	-9.7K	0.77	89.32	30	23	3,071	2,054
2014-05-21	$20.12	$21.00	27.8%	8.0%	22.7%	7.6%	24.7%	-1.9%	0.8%	25.3K	-677.1K	-9.5K	0.00	97.16	11	0	3,085	2,061
2014-05-22	$20.11	$21.00	27.2%	7.8%	21.7%	6.4%	27.4%	-0.4%	0.4%	19.8K	-655.3K	-9.0K	0.21	95.22	56	12	3,082	2,061
2014-05-23	$20.32	$21.00	26.4%	7.6%	22.0%	5.0%	26.8%	0.3%	1.1%	24.4K	-784.2K	-8.8K	0.32	98.36	31	10	3,083	2,063
2014-05-27	$20.26	$21.00	27.4%	7.8%	20.6%	6.8%	27.2%	1.4%	1.2%	21.4K	-750.6K	-8.3K	0.00	95.54	10	0	3,098	2,070
2014-05-28	$20.23	$21.00	27.5%	7.9%	19.0%	7.1%	25.9%	3.1%	0.6%	2.7K	-607.7K	-7.9K	1.33	89.21	15	20	3,098	2,070
2014-05-29	$20.45	$21.00	27.6%	7.9%	19.2%	7.3%	0.0%	3.3%	-0.1%	26.3K	-910.3K	-8.0K	0.00	92.97	20	0	3,108	2,078
2014-05-30	$20.35	$21.00	26.7%	7.7%	19.3%	5.6%	0.0%	1.9%	1.1%	21.8K	-838.1K	-7.8K	0.00	94.02	0	0	3,098	2,078