SANM Options History — January 2016

In January 2016, SANM traded between $16.80 and $20.43. ATM implied volatility averaged 50.8%, placing in the 61.3% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 16.0% (HV 20d: 34.9%). Max pain ranged from $18.00 to $21.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.82.

Notable Days

2016-01-25: Highest Volume — 1,026 contracts
2016-01-26: Largest IV drop — 36.7% change
2016-01-25: Highest IV Rank — 89.6%
2016-01-25: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.08	$16.80	$20.43	$20.43	$18.74
Max Pain	$19.84	$18.00	$21.00	$21.00	$18.00
ATM IV	50.8%	35.9%	62.8%	41.3%	35.9%
Expected Move	15.0%	10.3%	18.0%	14.3%	10.3%
HV 20d	34.9%	28.5%	48.2%	32.3%	48.2%
HV 60d	49.3%	47.1%	50.6%	48.8%	50.6%
IV Rank	61.3%	26.0%	89.6%	38.8%	26.0%
IV Percentile	89.6%	68.7%	99.6%	81.0%	68.7%
Term Structure	-8.4%	-13.6%	0.4%	-8.6%	0.4%
VWIV	51.0%	39.9%	58.7%	49.2%	39.9%
Skew 25d	6.0%	2.7%	10.3%	2.7%	4.0%
Skew 10d	6.1%	-11.1%	19.5%	6.4%	8.7%
Call IV 25d	49.9%	35.0%	58.2%	48.7%	35.0%
Put IV 25d	56.0%	38.9%	66.9%	51.4%	38.9%
Bid-Ask Spread %	80.40	67.46	100.55	69.59	99.37
Gamma HHI	0.20	0.14	0.28	0.27	0.20
Net GEX	-4.4K	-43.6K	32.9K	14.3K	30.9K
Net DEX	818.7K	-406.2K	2.0M	661.3K	-275.9K
Net VEX	-3.1K	-4.9K	-1.9K	-4.9K	-4.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.41	1.18	0.86	0.92
Total Volume	638.737	125	1,026	728	125
Total OI	2,968.316	1,095	4,232	4,138	2,194

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
2016-01-04	$20.43	$21.00	41.3%	14.3%	32.3%	38.8%	49.2%	2.7%	-8.6%	14.3K	661.3K	-4.9K	0.86	69.59	391	337	2,603	1,535
2016-01-05	$20.02	$21.00	37.8%	14.2%	30.6%	30.5%	48.9%	5.1%	-6.3%	-11.8K	983.7K	-4.5K	0.98	67.46	393	385	2,695	1,537
2016-01-06	$19.42	$21.00	47.1%	14.8%	31.2%	52.5%	50.1%	2.7%	-9.7%	-43.6K	1.3M	-3.9K	1.05	71.81	354	372	2,694	1,518
2016-01-07	$18.51	$21.00	44.4%	15.1%	32.6%	46.0%	49.5%	7.5%	-11.7%	-40.6K	1.6M	-3.4K	1.09	72.66	349	379	2,700	1,523
2016-01-08	$18.08	$21.00	53.0%	15.2%	33.0%	66.4%	49.3%	4.6%	-8.5%	-32.5K	1.6M	-3.3K	1.18	76.22	326	386	2,725	1,502
2016-01-11	$17.69	$21.00	55.3%	15.5%	33.2%	71.9%	51.3%	5.4%	-10.0%	-31.6K	1.9M	-2.6K	1.06	71.87	361	383	2,722	1,493
2016-01-12	$17.68	$21.00	56.4%	15.7%	33.1%	74.3%	50.7%	5.8%	-12.1%	-27.2K	1.8M	-2.6K	0.88	70.33	381	336	2,746	1,425
2016-01-13	$17.15	$20.00	59.2%	17.0%	34.0%	81.0%	50.8%	4.8%	-10.1%	-18.9K	1.9M	-2.2K	0.94	80.05	330	310	2,769	1,421
2016-01-14	$17.34	$20.00	56.2%	16.1%	31.0%	74.0%	55.2%	6.5%	-13.6%	-20.7K	1.8M	-2.2K	0.88	76.12	332	291	2,784	1,417
2016-01-15	$16.80	$20.00	58.0%	16.6%	31.8%	78.2%	54.2%	8.2%	-7.6%	1.9K	2.0M	-2.1K	0.91	84.69	345	314	2,785	1,410
2016-01-19	$16.81	$20.00	59.0%	16.9%	30.1%	80.6%	54.4%	10.0%	-10.1%	1.1K	298.2K	-1.9K	0.67	87.60	254	170	725	370
2016-01-20	$16.99	$20.00	61.2%	17.5%	30.9%	85.6%	58.2%	10.3%	-11.7%	1.6K	279.2K	-2.1K	0.62	77.00	251	155	755	400
2016-01-21	$17.04	$20.00	60.1%	17.2%	31.1%	83.1%	57.7%	9.1%	-10.9%	1.7K	270.6K	-2.1K	0.59	79.10	262	155	759	395
2016-01-22	$17.21	$20.00	60.1%	17.2%	31.7%	83.1%	57.8%	7.8%	-12.9%	2.4K	244.4K	-2.2K	0.75	78.87	257	194	781	395
2016-01-25	$17.38	$18.00	62.8%	18.0%	28.5%	89.6%	58.7%	7.0%	-12.4%	4.7K	174.0K	-2.6K	0.50	74.12	685	341	868	436
2016-01-26	$19.05	$18.00	39.8%	11.4%	46.3%	35.2%	41.5%	3.3%	-1.9%	26.3K	-397.5K	-4.2K	0.41	96.44	697	287	1,323	662
2016-01-27	$18.88	$18.00	38.1%	10.9%	46.3%	31.3%	40.2%	6.0%	-0.1%	32.9K	-406.2K	-4.5K	0.57	100.55	415	238	1,463	696
2016-01-28	$18.22	$18.00	40.1%	11.5%	46.7%	35.8%	39.9%	4.2%	-1.3%	26.2K	-152.9K	-4.1K	0.80	93.78	330	265	1,467	705
2016-01-29	$18.74	$18.00	35.9%	10.3%	48.2%	26.0%	0.0%	4.0%	0.4%	30.9K	-275.9K	-4.2K	0.92	99.37	65	60	1,459	735