SANM Options History — February 2015

In February 2015, SANM traded between $20.87 and $23.00. ATM implied volatility averaged 30.6%, placing in the 20.5% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 11.0% (HV 20d: 41.7%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 1.52.

Notable Days

2015-02-05: Highest Volume — 1,885 contracts
2015-02-03: Largest IV drop — 15.7% change
2015-02-02: Highest IV Rank — 37.9%
2015-02-02: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.28	$20.87	$23.00	$20.87	$22.79
Max Pain	$21.32	$21.00	$23.00	$23.00	$21.00
ATM IV	30.6%	26.4%	38.6%	38.6%	26.4%
Expected Move	8.7%	7.6%	11.1%	11.1%	7.6%
HV 20d	41.7%	19.8%	46.6%	45.3%	19.8%
HV 60d	33.9%	33.4%	34.2%	33.4%	33.6%
IV Rank	20.5%	11.3%	37.9%	37.9%	11.3%
IV Percentile	51.3%	16.7%	85.7%	85.7%	16.7%
Term Structure	0.0%	-4.8%	1.8%	-4.8%	-0.2%
VWIV	31.9%	28.5%	33.4%	33.4%	33.3%
Skew 25d	3.2%	0.0%	5.9%	4.6%	5.2%
Skew 10d	11.7%	1.5%	18.3%	11.7%	9.9%
Call IV 25d	30.6%	26.6%	37.9%	37.9%	26.6%
Put IV 25d	33.8%	30.1%	42.5%	42.5%	31.7%
Bid-Ask Spread %	79.48	35.95	98.57	42.16	90.26
Gamma HHI	0.35	0.26	0.68	0.27	0.43
Net GEX	-307.5K	-1.2M	-150.4K	-223.6K	-170.3K
Net DEX	2.7M	474.4K	6.2M	6.2M	676.7K
Net VEX	-21.3K	-24.0K	-18.4K	-22.6K	-18.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.52	0.14	4.23	0.99	0.95
Total Volume	804	50	1,885	303	769
Total OI	7,924.526	5,940	8,843	8,689	6,230

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
2015-02-02	$20.87	$23.00	38.6%	11.1%	45.3%	37.9%	33.4%	4.6%	-4.8%	-223.6K	6.2M	-22.6K	0.99	42.16	152	151	2,783	5,906
2015-02-03	$21.21	$23.00	32.6%	9.3%	45.7%	24.7%	30.2%	1.9%	-0.1%	-251.4K	5.6M	-23.6K	1.26	49.86	438	550	2,841	5,963
2015-02-04	$21.06	$23.00	32.5%	9.3%	45.5%	24.6%	32.4%	0.0%	0.8%	-241.2K	5.4M	-23.8K	1.15	65.38	391	451	2,880	5,963
2015-02-05	$21.68	$21.00	30.1%	8.9%	46.5%	19.4%	32.7%	4.1%	0.8%	-273.4K	4.9M	-23.8K	4.01	62.42	376	1,509	2,863	5,947
2015-02-06	$21.92	$21.00	34.1%	8.8%	45.5%	28.1%	33.1%	3.1%	0.8%	-250.5K	3.6M	-24.0K	4.20	35.95	346	1,452	2,856	5,570
2015-02-09	$22.11	$21.00	33.3%	9.2%	45.6%	26.4%	32.9%	3.9%	0.6%	-266.8K	3.3M	-23.2K	4.23	76.78	334	1,414	2,868	5,574
2015-02-10	$22.36	$21.00	30.1%	9.1%	45.9%	19.4%	32.1%	5.9%	0.5%	-258.8K	2.8M	-23.0K	1.13	82.45	317	358	2,870	5,574
2015-02-11	$22.06	$21.00	31.1%	8.9%	46.1%	21.6%	32.1%	3.1%	-0.2%	-268.8K	3.2M	-22.7K	1.20	85.80	317	380	2,883	5,595
2015-02-12	$22.44	$21.00	31.7%	9.1%	46.6%	22.7%	32.6%	3.3%	-1.0%	-266.8K	2.5M	-22.9K	1.20	90.29	309	370	2,883	5,631
2015-02-13	$22.53	$21.00	30.6%	8.8%	46.4%	20.5%	32.8%	5.0%	0.1%	-309.8K	2.6M	-22.5K	1.17	91.89	317	370	2,896	5,639
2015-02-17	$22.50	$21.00	30.5%	8.8%	45.5%	20.2%	32.2%	1.3%	1.2%	-331.7K	2.5M	-21.0K	1.12	88.16	329	370	2,896	5,639
2015-02-18	$22.69	$21.00	29.6%	8.5%	45.3%	18.3%	31.7%	3.2%	-0.3%	-365.1K	2.2M	-20.6K	1.10	98.57	335	370	2,898	5,639
2015-02-19	$22.75	$21.00	29.8%	8.5%	45.2%	18.6%	31.1%	4.4%	-0.5%	-532.8K	2.2M	-19.5K	0.14	91.82	44	6	2,871	5,531
2015-02-20	$23.00	$21.00	29.0%	8.3%	45.1%	16.9%	28.5%	4.9%	0.2%	-1.2M	1.0M	-18.7K	0.70	95.20	53	37	2,894	5,537
2015-02-23	$22.81	$21.00	28.5%	8.2%	45.2%	15.9%	31.8%	1.2%	1.8%	-154.8K	607.1K	-18.4K	1.05	89.03	317	333	1,959	3,981
2015-02-24	$22.91	$21.00	28.1%	8.1%	45.0%	15.0%	30.8%	0.9%	1.2%	-150.4K	548.3K	-18.7K	1.07	91.08	304	324	2,006	4,116
2015-02-25	$22.89	$21.00	27.0%	7.8%	20.7%	12.6%	31.2%	3.3%	0.7%	-168.3K	474.4K	-18.5K	1.06	92.26	336	357	2,036	4,127
2015-02-26	$22.76	$21.00	28.1%	8.1%	20.5%	15.0%	31.4%	1.7%	-1.2%	-174.9K	517.2K	-18.4K	1.07	90.80	333	357	2,070	4,151
2015-02-27	$22.79	$21.00	26.4%	7.6%	19.8%	11.3%	33.3%	5.2%	-0.2%	-170.3K	676.7K	-18.5K	0.95	90.26	394	375	2,079	4,151