SANM Options History — January 2015

In January 2015, SANM traded between $20.97 and $23.65. ATM implied volatility averaged 41.2%, placing in the 43.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 11.4% (HV 20d: 29.9%). Max pain ranged from $23.00 to $23.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 1.36.

Notable Days

2015-01-26: Highest Volume — 2,403 contracts
2015-01-14: Largest IV spike — 46.3% change
2015-01-26: Highest IV Rank — 87.2%
2015-01-26: Largest Expected Move — 17.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.84	$20.97	$23.65	$23.40	$21.20
Max Pain	$23.00	$23.00	$23.00	$23.00	$23.00
ATM IV	41.2%	31.2%	61.2%	31.4%	31.3%
Expected Move	13.4%	8.9%	17.6%	13.4%	9.0%
HV 20d	29.9%	20.9%	45.1%	30.7%	45.1%
HV 60d	50.2%	24.7%	63.8%	63.8%	33.4%
IV Rank	43.6%	21.7%	87.2%	22.0%	22.0%
IV Percentile	79.2%	54.0%	98.4%	55.6%	55.6%
Term Structure	-5.7%	-16.8%	15.2%	15.2%	1.7%
VWIV	47.5%	31.1%	60.8%	45.4%	33.7%
Skew 25d	4.9%	2.1%	8.8%	3.1%	2.1%
Skew 10d	9.8%	3.1%	21.3%	3.1%	3.3%
Call IV 25d	44.4%	29.3%	57.6%	29.3%	32.3%
Put IV 25d	49.3%	32.4%	63.0%	32.4%	34.4%
Bid-Ask Spread %	62.69	45.22	71.71	59.01	45.22
Gamma HHI	0.29	0.24	0.35	0.26	0.26
Net GEX	-197.2K	-270.4K	-76.6K	-197.8K	-241.2K
Net DEX	2.2M	522.5K	6.6M	1.1M	5.4M
Net VEX	-24.8K	-28.2K	-21.5K	-28.2K	-24.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.36	0.11	6.00	0.71	0.92
Total Volume	813.95	14	2,403	975	1,011
Total OI	8,830.55	5,693	10,393	10,007	8,732

Daily Data (20 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
2015-01-02	$23.40	$23.00	31.4%	13.4%	30.7%	22.0%	45.4%	3.1%	15.2%	-197.8K	1.1M	-28.2K	0.71	59.01	571	404	3,167	6,840
2015-01-05	$23.01	$23.00	33.8%	13.8%	31.1%	27.3%	48.8%	4.5%	-6.1%	-202.5K	2.0M	-27.7K	1.65	69.57	95	157	3,228	6,907
2015-01-06	$22.62	$23.00	34.9%	14.0%	31.4%	29.8%	51.0%	6.0%	-7.8%	-216.0K	3.1M	-27.6K	2.97	62.17	37	110	3,272	7,010
2015-01-07	$22.98	$23.00	32.6%	13.9%	29.2%	24.8%	56.7%	4.8%	-7.6%	-236.0K	2.3M	-26.9K	6.00	65.04	2	12	3,283	7,024
2015-01-08	$23.60	$23.00	36.4%	13.7%	28.3%	33.0%	49.2%	6.5%	-8.5%	-186.6K	522.5K	-27.1K	0.97	59.85	525	511	3,285	7,036
2015-01-09	$23.65	$23.00	38.0%	13.7%	27.5%	36.6%	47.7%	3.9%	-6.5%	-201.2K	584.8K	-26.9K	0.93	59.51	487	451	3,320	7,073
2015-01-12	$23.52	$23.00	34.1%	14.2%	27.5%	28.0%	49.7%	4.4%	-8.9%	-235.1K	1.3M	-26.1K	0.90	69.74	501	451	3,295	7,083
2015-01-13	$23.47	$23.00	34.5%	14.3%	25.9%	29.0%	49.5%	5.0%	-8.3%	-241.4K	1.3M	-25.0K	0.87	63.58	535	463	3,293	7,083
2015-01-14	$23.29	$23.00	50.5%	14.5%	26.1%	63.9%	49.4%	7.1%	-10.9%	-267.2K	1.7M	-24.9K	0.84	68.55	569	477	3,278	7,073
2015-01-15	$22.96	$23.00	49.5%	14.2%	24.9%	61.7%	49.4%	4.5%	-8.3%	-270.4K	2.3M	-23.7K	0.82	61.65	583	480	3,300	6,917
2015-01-16	$23.50	$23.00	50.2%	14.4%	26.1%	63.1%	50.9%	6.1%	-9.0%	-254.2K	1.2M	-23.0K	0.33	66.40	83	27	3,281	6,915
2015-01-20	$23.11	$23.00	51.7%	14.8%	25.8%	66.4%	51.7%	3.2%	-5.6%	-87.3K	1.0M	-22.4K	0.81	69.49	84	68	1,773	3,920
2015-01-21	$22.89	$23.00	52.8%	15.1%	22.3%	68.8%	55.9%	4.7%	-8.4%	-92.9K	1.2M	-22.4K	0.11	71.71	88	10	1,821	3,987
2015-01-22	$23.21	$23.00	51.8%	14.9%	20.9%	66.6%	49.1%	8.8%	-7.8%	-93.5K	1.1M	-22.6K	0.69	70.24	354	244	1,901	3,997
2015-01-23	$23.09	$23.00	53.4%	15.3%	21.0%	70.1%	51.8%	7.1%	-8.4%	-82.7K	933.5K	-22.5K	0.65	62.15	380	248	1,959	3,997
2015-01-26	$23.36	$23.00	61.2%	17.6%	21.3%	87.2%	60.8%	5.3%	-16.8%	-76.6K	744.6K	-22.4K	3.61	55.93	521	1,882	2,034	4,030
2015-01-27	$20.97	$23.00	33.1%	9.5%	43.3%	25.8%	34.4%	3.5%	-1.2%	-245.6K	6.6M	-21.5K	1.35	48.30	703	947	2,393	5,814
2015-01-28	$21.32	$23.00	31.2%	8.9%	43.9%	21.7%	33.3%	2.8%	0.1%	-249.3K	5.4M	-24.6K	0.89	65.09	621	555	2,758	5,855
2015-01-29	$21.70	$23.00	32.0%	9.2%	44.7%	23.4%	31.1%	4.2%	-1.7%	-266.3K	4.8M	-25.6K	1.14	60.62	483	549	2,802	5,875
2015-01-30	$21.20	$23.00	31.3%	9.0%	45.1%	22.0%	33.7%	2.1%	1.7%	-241.2K	5.4M	-24.6K	0.92	45.22	527	484	2,822	5,910