SANM Options History — May 2015

In May 2015, SANM traded between $20.73 and $21.89. ATM implied volatility averaged 28.9%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 12.7% (HV 20d: 41.6%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.55.

Notable Days

2015-05-01: Highest Volume — 1,062 contracts
2015-05-13: Largest IV drop — 23.0% change
2015-05-12: Highest IV Rank — 33.9%
2015-05-11: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.32	$20.73	$21.89	$21.14	$21.69
Max Pain	$20.50	$20.00	$21.00	$21.00	$21.00
ATM IV	28.9%	24.9%	36.8%	28.6%	26.2%
Expected Move	7.8%	7.1%	8.2%	8.2%	7.5%
HV 20d	41.6%	24.3%	53.5%	53.5%	24.3%
HV 60d	37.7%	37.1%	38.0%	37.5%	37.9%
IV Rank	16.6%	7.9%	33.9%	16.1%	10.8%
IV Percentile	41.8%	6.0%	84.5%	50.8%	17.5%
Term Structure	0.7%	-0.7%	2.4%	-0.6%	1.5%
VWIV	27.3%	24.8%	30.2%	29.6%	27.7%
Skew 25d	2.1%	-0.2%	5.9%	3.1%	2.5%
Skew 10d	4.6%	-9.4%	19.4%	19.4%	8.5%
Call IV 25d	26.9%	22.0%	29.5%	27.1%	26.8%
Put IV 25d	29.0%	26.5%	32.2%	30.1%	29.4%
Bid-Ask Spread %	79.15	28.59	109.74	29.26	95.53
Gamma HHI	0.18	0.16	0.19	0.17	0.19
Net GEX	33.8K	4.0K	60.8K	15.7K	60.8K
Net DEX	-332.3K	-1.0M	311.1K	20.2K	-764.4K
Net VEX	-10.6K	-12.1K	-9.3K	-11.8K	-9.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.55	0.00	4.75	1.30	1.47
Total Volume	663.3	46	1,062	1,062	667
Total OI	4,109.9	3,418	4,621	4,563	3,599

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
2015-05-01	$21.14	$21.00	28.6%	8.2%	53.5%	16.1%	29.6%	3.1%	-0.6%	15.7K	20.2K	-11.8K	1.30	29.26	461	601	2,754	1,809
2015-05-04	$21.38	$20.00	33.2%	8.1%	53.1%	26.1%	28.1%	0.8%	0.5%	28.2K	-355.9K	-12.1K	2.53	30.15	19	48	2,786	1,809
2015-05-05	$20.84	$20.00	30.4%	8.2%	52.8%	20.0%	29.6%	2.2%	0.4%	12.0K	143.6K	-11.5K	1.53	28.59	410	628	2,804	1,817
2015-05-06	$20.73	$20.00	30.4%	8.2%	51.6%	20.0%	30.2%	3.1%	0.8%	4.0K	311.1K	-11.3K	1.55	37.26	406	628	2,798	1,817
2015-05-07	$20.89	$20.00	30.1%	8.2%	51.9%	19.3%	30.1%	2.0%	0.4%	6.3K	231.5K	-11.1K	1.56	54.23	403	628	2,800	1,817
2015-05-08	$21.41	$20.00	35.5%	7.9%	52.9%	31.1%	27.1%	2.2%	1.0%	28.3K	-444.9K	-11.8K	0.28	63.96	40	11	2,785	1,817
2015-05-11	$21.38	$20.00	34.8%	8.2%	52.9%	29.4%	28.5%	1.6%	0.9%	21.8K	-366.7K	-11.0K	4.75	73.77	8	38	2,768	1,810
2015-05-12	$21.18	$20.00	36.8%	8.0%	50.5%	33.9%	29.0%	-0.0%	0.3%	17.0K	-168.7K	-10.7K	1.74	105.33	345	599	2,781	1,820
2015-05-13	$21.47	$20.00	28.3%	8.1%	50.7%	15.5%	26.3%	2.1%	-0.1%	20.2K	-486.1K	-10.8K	1.66	90.78	360	599	2,783	1,805
2015-05-14	$21.89	$20.00	26.3%	7.5%	51.4%	11.0%	26.2%	2.2%	0.8%	60.6K	-1.0M	-10.9K	1.67	85.41	350	586	2,769	1,805
2015-05-15	$21.43	$20.00	26.0%	7.5%	51.3%	10.3%	26.8%	2.6%	2.2%	42.1K	-600.7K	-10.4K	1.72	84.31	354	608	2,770	1,797
2015-05-18	$21.60	$21.00	24.9%	7.1%	51.3%	7.9%	24.8%	1.4%	2.4%	43.3K	-622.6K	-10.5K	0.00	106.35	86	0	2,013	1,406
2015-05-19	$21.44	$21.00	26.4%	7.6%	26.8%	11.1%	25.6%	-0.2%	1.0%	38.7K	-437.5K	-10.0K	0.17	98.65	69	12	2,012	1,406
2015-05-20	$21.30	$21.00	26.3%	7.5%	26.2%	10.9%	25.9%	4.3%	0.5%	42.4K	-325.6K	-9.8K	1.71	99.00	272	465	2,073	1,403
2015-05-21	$21.31	$21.00	26.3%	7.5%	25.6%	10.9%	25.5%	2.5%	1.4%	43.2K	-363.8K	-9.8K	1.42	109.74	325	461	2,079	1,403
2015-05-22	$21.36	$21.00	25.5%	7.3%	25.6%	9.3%	25.2%	1.0%	0.6%	47.2K	-365.9K	-9.8K	1.41	107.12	316	446	2,139	1,423
2015-05-26	$21.09	$21.00	26.6%	7.6%	26.1%	11.7%	27.2%	0.1%	-0.1%	39.3K	-118.6K	-9.3K	1.48	98.70	270	399	2,144	1,428
2015-05-27	$21.44	$21.00	27.0%	7.7%	26.3%	12.5%	25.2%	5.9%	0.6%	51.6K	-410.4K	-9.3K	1.47	96.24	275	404	2,146	1,426
2015-05-28	$21.46	$21.00	27.7%	7.9%	26.1%	14.1%	26.4%	2.2%	-0.7%	54.1K	-515.0K	-9.4K	1.52	88.61	265	404	2,151	1,426
2015-05-29	$21.69	$21.00	26.2%	7.5%	24.3%	10.8%	27.7%	2.5%	1.5%	60.8K	-764.4K	-9.8K	1.47	95.53	270	397	2,173	1,426