SANM Options History — June 2014

In June 2014, SANM traded between $20.21 and $22.85. ATM implied volatility averaged 26.4%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 5.9% (HV 20d: 20.5%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.68.

Notable Days

2014-06-20: Highest Volume — 706 contracts
2014-06-06: Largest IV drop — 7.6% change
2014-06-16: Highest IV Rank — 6.8%
2014-06-11: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.92	$20.21	$22.85	$20.21	$22.78
Max Pain	$19.86	$19.00	$21.00	$21.00	$20.00
ATM IV	26.4%	24.7%	27.4%	26.9%	24.7%
Expected Move	7.6%	7.1%	7.9%	7.7%	7.1%
HV 20d	20.5%	17.5%	22.3%	18.6%	20.0%
HV 60d	35.6%	35.2%	35.8%	35.7%	35.3%
IV Rank	4.9%	1.5%	6.8%	5.8%	1.5%
IV Percentile	3.2%	0.4%	6.7%	2.4%	0.4%
Term Structure	9.1%	-0.2%	17.3%	1.5%	16.5%
VWIV	27.5%	24.6%	32.1%	26.7%	24.6%
Skew 25d	1.1%	-1.7%	5.1%	-0.3%	0.1%
Skew 10d	1.8%	-6.8%	13.5%	-5.4%	6.2%
Call IV 25d	27.8%	24.5%	30.4%	30.4%	29.1%
Put IV 25d	28.9%	27.2%	31.6%	30.1%	29.1%
Bid-Ask Spread %	83.68	66.51	94.92	66.51	86.63
Gamma HHI	0.36	0.18	0.67	0.22	0.24
Net GEX	164.5K	-2.7K	574.7K	10.9K	161.6K
Net DEX	-2.5M	-4.0M	-650.8K	-686.9K	-3.1M
Net VEX	-8.2K	-10.2K	-7.1K	-7.4K	-10.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.68	0.01	19.00	2.32	1.66
Total Volume	224.81	20	706	83	154
Total OI	5,556.857	4,560	7,007	5,176	5,286

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
2014-06-02	$20.21	$21.00	26.9%	7.7%	18.6%	5.8%	0.0%	-0.3%	1.5%	10.9K	-686.9K	-7.4K	2.32	66.51	25	58	3,098	2,078
2014-06-03	$20.24	$21.00	27.3%	7.8%	18.3%	6.6%	26.7%	5.1%	-0.2%	2.4K	-650.8K	-7.3K	1.24	69.06	21	26	3,123	2,125
2014-06-04	$20.37	$21.00	26.9%	7.7%	17.5%	5.9%	0.0%	5.0%	1.2%	-2.7K	-717.8K	-7.1K	4.56	66.53	25	114	3,144	2,137
2014-06-05	$20.85	$21.00	26.9%	7.7%	19.3%	6.0%	27.5%	2.5%	0.2%	42.0K	-1.3M	-7.7K	0.61	73.23	36	22	3,153	2,244
2014-06-06	$21.06	$19.00	24.9%	7.7%	19.6%	2.0%	26.9%	0.4%	7.5%	63.2K	-1.6M	-7.1K	0.29	78.41	24	7	3,150	2,244
2014-06-09	$21.68	$19.00	26.7%	7.7%	21.9%	5.5%	27.5%	1.5%	8.1%	165.7K	-2.6M	-7.3K	0.46	84.80	155	72	3,171	2,245
2014-06-10	$22.30	$19.00	25.6%	7.7%	22.3%	3.4%	26.9%	0.5%	8.6%	272.5K	-3.4M	-7.6K	0.25	87.05	175	43	3,235	2,312
2014-06-11	$22.47	$19.00	26.4%	7.9%	21.7%	5.0%	27.1%	1.0%	7.5%	317.7K	-3.9M	-7.8K	0.13	86.98	187	25	3,370	2,344
2014-06-12	$21.99	$19.00	27.3%	7.8%	21.7%	6.7%	27.0%	0.7%	7.9%	199.4K	-2.6M	-7.2K	0.98	85.82	211	206	3,375	2,321
2014-06-13	$21.71	$19.00	27.1%	7.8%	22.2%	6.3%	28.6%	-0.6%	8.5%	135.7K	-2.2M	-8.6K	19.00	84.30	1	19	3,545	2,510
2014-06-16	$21.77	$19.00	27.4%	7.8%	22.0%	6.8%	28.2%	1.6%	7.9%	142.2K	-2.2M	-8.2K	1.17	83.76	36	42	3,545	2,528
2014-06-17	$22.15	$20.00	27.1%	7.8%	22.2%	6.3%	29.1%	0.2%	9.1%	190.1K	-2.7M	-7.6K	0.12	84.71	401	48	3,531	2,523
2014-06-18	$22.13	$20.00	26.2%	7.5%	20.5%	4.6%	29.4%	2.4%	9.2%	205.3K	-2.8M	-8.4K	0.06	86.85	113	7	3,911	2,565
2014-06-19	$22.37	$20.00	26.9%	7.7%	20.5%	6.0%	32.1%	1.5%	8.2%	236.3K	-3.2M	-8.1K	0.06	88.13	512	33	3,980	2,522
2014-06-20	$22.62	$20.00	27.1%	7.8%	20.5%	6.4%	29.0%	-1.3%	7.5%	574.7K	-4.0M	-8.7K	0.01	86.30	696	10	4,470	2,537
2014-06-23	$22.61	$20.00	27.1%	7.8%	20.6%	6.3%	27.7%	0.5%	15.1%	125.6K	-2.9M	-8.5K	0.10	87.29	309	31	3,184	1,376
2014-06-24	$22.77	$20.00	26.4%	7.6%	20.3%	5.0%	27.5%	-0.3%	16.1%	151.0K	-3.1M	-8.9K	0.81	89.47	77	62	3,401	1,407
2014-06-25	$22.85	$20.00	24.8%	7.1%	20.2%	1.9%	26.1%	2.4%	16.9%	152.4K	-3.2M	-9.0K	0.36	92.53	76	27	3,389	1,464
2014-06-26	$22.66	$20.00	25.0%	7.2%	20.7%	2.2%	25.6%	-1.7%	17.3%	152.2K	-3.1M	-9.5K	1.09	93.94	182	199	3,408	1,486
2014-06-27	$22.82	$20.00	25.4%	7.3%	20.4%	3.0%	24.8%	1.9%	16.2%	156.1K	-3.1M	-10.2K	0.09	94.92	233	21	3,581	1,676
2014-06-30	$22.78	$20.00	24.7%	7.1%	20.0%	1.5%	24.6%	0.1%	16.5%	161.6K	-3.1M	-10.2K	1.66	86.63	58	96	3,605	1,681