SANM Options History — November 2015

In November 2015, SANM traded between $21.00 and $24.87. ATM implied volatility averaged 34.7%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 36.0% (HV 20d: 70.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.85.

Notable Days

2015-11-05: Highest Volume — 1,839 contracts
2015-11-03: Largest IV drop — 45.7% change
2015-11-02: Highest IV Rank — 100.0%
2015-11-02: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.37	$21.00	$24.87	$21.00	$22.67
Max Pain	$21.90	$21.00	$22.00	$21.00	$22.00
ATM IV	34.7%	30.4%	67.3%	67.3%	33.4%
Expected Move	9.9%	8.7%	19.3%	19.3%	9.6%
HV 20d	70.7%	42.2%	76.3%	42.2%	65.7%
HV 60d	48.8%	36.0%	50.5%	36.0%	48.5%
IV Rank	23.1%	13.0%	100.0%	100.0%	20.2%
IV Percentile	59.7%	40.1%	100.0%	100.0%	61.1%
Term Structure	-1.9%	-19.1%	0.4%	-19.1%	-2.3%
VWIV	34.5%	28.5%	65.1%	65.1%	34.2%
Skew 25d	2.7%	-2.6%	5.7%	4.7%	-2.6%
Skew 10d	7.2%	-8.8%	18.5%	18.4%	3.3%
Call IV 25d	33.5%	29.6%	64.3%	64.3%	32.7%
Put IV 25d	36.2%	30.1%	68.9%	68.9%	30.1%
Bid-Ask Spread %	78.51	23.32	113.96	23.32	113.96
Gamma HHI	0.19	0.15	0.26	0.17	0.19
Net GEX	138.6K	57.7K	188.1K	57.7K	95.9K
Net DEX	-3.7M	-7.6M	-1.1M	-1.1M	-2.0M
Net VEX	-12.8K	-15.5K	-10.7K	-15.5K	-11.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.09	2.50	0.35	0.48
Total Volume	996.9	40	1,839	1,219	40
Total OI	6,396.75	4,025	7,334	6,082	4,418

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
2015-11-02	$21.00	$21.00	67.3%	19.3%	42.2%	100.0%	65.1%	4.7%	-19.1%	57.7K	-1.1M	-15.5K	0.35	23.32	906	313	3,734	2,348
2015-11-03	$24.87	$21.00	36.5%	10.5%	74.1%	27.5%	35.7%	5.7%	-4.2%	173.9K	-7.6M	-12.6K	0.66	27.63	1,046	695	4,257	2,367
2015-11-04	$24.39	$22.00	36.2%	10.4%	74.5%	26.7%	34.6%	4.6%	-2.4%	171.2K	-5.8M	-14.4K	1.20	35.04	794	952	4,100	2,665
2015-11-05	$24.50	$22.00	34.4%	9.4%	74.5%	22.3%	33.7%	3.8%	-0.3%	162.7K	-5.7M	-14.5K	1.28	71.35	808	1,031	4,095	2,924
2015-11-06	$24.69	$22.00	32.3%	9.2%	74.5%	17.4%	28.5%	2.5%	-1.3%	151.2K	-6.1M	-14.6K	0.09	78.26	54	5	4,178	3,128
2015-11-09	$23.87	$22.00	36.0%	9.6%	75.7%	26.2%	32.7%	2.4%	-1.4%	161.4K	-4.8M	-14.6K	2.50	80.08	14	35	4,158	3,133
2015-11-10	$23.80	$22.00	34.4%	9.4%	75.5%	22.6%	33.3%	3.1%	-1.7%	163.0K	-4.5M	-14.4K	0.97	80.32	719	695	4,166	3,130
2015-11-11	$23.88	$22.00	33.1%	9.5%	75.5%	19.5%	34.4%	2.4%	-0.7%	166.0K	-4.9M	-14.0K	0.97	102.85	719	695	4,171	3,130
2015-11-12	$23.23	$22.00	32.5%	9.3%	75.7%	18.0%	34.4%	0.5%	0.1%	175.2K	-3.6M	-13.9K	1.10	84.94	680	745	4,180	3,154
2015-11-13	$22.85	$22.00	32.6%	9.3%	75.9%	18.2%	33.5%	1.8%	-0.5%	164.6K	-2.8M	-13.8K	1.00	85.79	689	686	4,171	3,137
2015-11-16	$23.26	$22.00	33.1%	9.5%	76.2%	19.5%	33.5%	1.8%	-0.6%	188.1K	-3.3M	-12.6K	0.84	91.81	51	43	4,144	3,109
2015-11-17	$23.00	$22.00	33.6%	9.6%	76.3%	20.7%	34.8%	0.7%	-2.1%	173.0K	-2.7M	-12.2K	1.19	51.81	596	712	4,107	3,147
2015-11-18	$23.27	$22.00	31.9%	9.1%	75.2%	16.5%	33.3%	3.6%	-0.4%	174.9K	-3.4M	-11.5K	1.09	87.94	602	658	4,106	3,154
2015-11-19	$23.35	$22.00	31.3%	9.0%	68.1%	15.1%	32.0%	2.5%	-0.1%	179.2K	-3.4M	-11.4K	1.06	87.83	656	697	4,106	3,154
2015-11-20	$23.18	$22.00	31.6%	9.1%	68.0%	15.9%	32.5%	2.1%	-0.4%	73.8K	-3.9M	-11.0K	0.94	89.71	715	672	4,123	3,208
2015-11-23	$22.79	$22.00	31.1%	8.9%	67.4%	14.8%	31.0%	2.0%	0.4%	67.4K	-1.7M	-10.7K	0.09	96.33	162	15	2,443	1,582
2015-11-24	$22.66	$22.00	30.6%	8.8%	67.6%	13.5%	31.6%	3.9%	-0.1%	75.7K	-1.7M	-10.8K	0.09	96.36	163	15	2,560	1,575
2015-11-25	$22.93	$22.00	30.4%	8.7%	66.2%	13.0%	31.1%	4.9%	0.1%	93.3K	-2.1M	-11.0K	0.55	90.28	622	339	2,687	1,576
2015-11-27	$23.11	$22.00	31.0%	8.9%	65.2%	14.5%	31.1%	4.0%	-1.1%	104.2K	-2.4M	-11.6K	0.61	94.52	560	339	2,807	1,603
2015-11-30	$22.67	$22.00	33.4%	9.6%	65.7%	20.2%	34.2%	-2.6%	-2.3%	95.9K	-2.0M	-11.1K	0.48	113.96	27	13	2,815	1,603