SANM Options History — November 2014

In November 2014, SANM traded between $24.28 and $25.82. ATM implied volatility averaged 29.1%, placing in the 17.2% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded below realized volatility by 49.3% (HV 20d: 78.5%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 1 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.15.

Notable Days

2014-11-03: Highest Volume — 2,119 contracts
2014-11-11: Largest IV drop — 5.3% change
2014-11-04: Highest IV Rank — 24.2%
2014-11-04: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.02	$24.28	$25.82	$25.11	$24.60
Max Pain	$22.00	$22.00	$22.00	$22.00	$22.00
ATM IV	29.1%	26.8%	32.4%	32.3%	27.6%
Expected Move	10.4%	10.2%	10.9%	10.4%	10.2%
HV 20d	78.5%	18.6%	105.3%	105.3%	19.3%
HV 60d	63.2%	63.0%	63.5%	63.0%	63.1%
IV Rank	17.2%	12.0%	24.2%	24.0%	13.9%
IV Percentile	36.0%	18.3%	56.3%	55.2%	31.0%
Term Structure	-0.3%	-2.0%	0.8%	-2.0%	-0.3%
VWIV	37.8%	35.9%	40.1%	37.6%	35.9%
Skew 25d	2.8%	1.4%	5.1%	5.1%	3.5%
Skew 10d	6.1%	0.9%	14.9%	1.2%	7.9%
Call IV 25d	28.7%	25.0%	32.2%	31.6%	26.8%
Put IV 25d	31.5%	29.6%	36.6%	36.6%	30.3%
Bid-Ask Spread %	59.68	46.16	71.16	64.65	67.92
Gamma HHI	0.24	0.22	0.28	0.28	0.25
Net GEX	-39.7K	-75.7K	30.2K	-45.5K	-70.9K
Net DEX	-3.9M	-5.8M	-607.1K	-4.3M	-607.1K
Net VEX	-29.3K	-32.4K	-27.1K	-32.4K	-27.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.15	0.12	2.32	1.19	1.57
Total Volume	1,052.368	18	2,119	2,119	18
Total OI	11,357.632	8,540	12,453	11,688	8,633

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
2014-11-03	$25.11	$22.00	32.3%	10.4%	105.3%	24.0%	37.6%	5.1%	-2.0%	-45.5K	-4.3M	-32.4K	1.19	64.65	968	1,151	3,926	7,762
2014-11-04	$25.21	$22.00	32.4%	10.9%	104.6%	24.2%	40.1%	2.5%	-0.9%	-42.4K	-4.6M	-31.3K	1.35	64.62	876	1,180	3,951	7,773
2014-11-05	$25.59	$22.00	31.6%	10.4%	104.5%	22.6%	37.0%	3.0%	-1.1%	-41.3K	-5.1M	-30.5K	0.87	46.16	853	742	3,978	7,831
2014-11-06	$25.82	$22.00	31.5%	10.5%	103.0%	22.4%	37.5%	1.4%	-1.2%	-40.3K	-5.8M	-29.0K	0.81	48.87	875	710	4,038	7,934
2014-11-07	$25.58	$22.00	31.3%	10.3%	83.2%	21.8%	38.7%	1.7%	-0.6%	-35.8K	-5.5M	-29.9K	1.43	49.46	515	736	4,073	7,933
2014-11-10	$25.36	$22.00	31.4%	10.7%	83.5%	22.0%	37.8%	2.3%	-0.0%	-36.0K	-5.3M	-29.3K	1.39	53.96	480	666	4,104	7,958
2014-11-11	$25.50	$22.00	29.7%	10.4%	83.7%	18.4%	37.4%	2.0%	0.4%	-25.4K	-5.6M	-28.1K	1.31	62.17	524	685	4,051	7,767
2014-11-12	$25.09	$22.00	28.5%	10.5%	84.1%	15.9%	38.3%	2.3%	0.1%	-31.8K	-4.9M	-29.1K	1.20	51.72	548	655	4,133	8,007
2014-11-13	$24.79	$22.00	28.3%	10.4%	84.6%	15.5%	39.3%	1.8%	0.1%	-41.4K	-4.4M	-30.4K	1.17	53.76	549	644	4,145	8,005
2014-11-14	$25.12	$22.00	28.2%	10.4%	84.7%	15.1%	36.7%	3.2%	0.8%	-27.9K	-4.9M	-29.2K	0.12	70.74	69	8	4,157	8,002
2014-11-17	$24.62	$22.00	28.2%	10.7%	85.5%	15.1%	38.2%	1.6%	0.3%	-36.3K	-4.2M	-29.0K	1.10	48.64	640	707	4,156	8,010
2014-11-18	$24.69	$22.00	27.8%	10.2%	85.5%	14.2%	36.9%	2.2%	0.1%	-29.5K	-4.3M	-29.6K	1.05	61.25	662	698	4,293	8,128
2014-11-19	$24.28	$22.00	28.5%	10.6%	85.7%	15.8%	37.0%	1.8%	-0.4%	-44.1K	-3.5M	-29.8K	2.32	69.23	97	225	4,327	8,126
2014-11-20	$24.54	$22.00	27.5%	10.5%	85.5%	13.7%	38.6%	3.5%	-0.4%	-22.1K	-3.7M	-29.8K	1.36	68.72	534	728	4,282	8,151
2014-11-21	$24.72	$22.00	27.9%	10.3%	85.6%	14.5%	39.7%	2.6%	0.1%	30.2K	-4.2M	-29.1K	1.42	62.95	500	709	4,302	8,135
2014-11-24	$24.95	$22.00	26.8%	10.3%	85.3%	12.0%	0.0%	4.3%	-0.5%	-73.3K	-745.3K	-27.8K	0.36	69.88	22	8	2,364	6,176
2014-11-25	$24.87	$22.00	27.3%	10.4%	18.6%	13.1%	36.6%	2.8%	-0.4%	-75.7K	-836.6K	-27.1K	1.24	71.16	422	523	2,386	6,176
2014-11-26	$24.94	$22.00	26.9%	10.4%	18.6%	12.2%	0.0%	4.7%	-0.4%	-64.4K	-924.3K	-27.3K	0.66	47.98	41	27	2,437	6,185
2014-11-28	$24.60	$22.00	27.6%	10.2%	19.3%	13.9%	35.9%	3.5%	-0.3%	-70.9K	-607.1K	-27.5K	1.57	67.92	7	11	2,454	6,179