SANM Options History — February 2016

In February 2016, SANM traded between $18.58 and $20.98. ATM implied volatility averaged 39.1%, placing in the 33.5% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 1.3% (HV 20d: 40.4%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.58.

Notable Days

2016-02-04: Highest Volume — 1,038 contracts
2016-02-10: Largest IV drop — 24.6% change
2016-02-09: Highest IV Rank — 69.4%
2016-02-11: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.92	$18.58	$20.98	$18.93	$20.64
Max Pain	$18.35	$18.00	$19.00	$18.00	$19.00
ATM IV	39.1%	32.3%	54.3%	37.1%	35.2%
Expected Move	10.9%	9.3%	13.1%	10.6%	10.1%
HV 20d	40.4%	23.6%	49.0%	48.1%	23.6%
HV 60d	36.6%	36.1%	37.1%	36.1%	36.8%
IV Rank	33.5%	17.6%	69.4%	28.9%	24.3%
IV Percentile	70.5%	45.6%	93.3%	71.8%	61.1%
Term Structure	-0.9%	-2.7%	1.3%	-0.2%	-0.5%
VWIV	39.1%	33.8%	44.9%	37.7%	38.4%
Skew 25d	4.1%	0.7%	7.0%	4.3%	6.5%
Skew 10d	16.3%	-6.0%	28.9%	14.4%	-2.5%
Call IV 25d	36.8%	30.9%	44.0%	33.6%	32.9%
Put IV 25d	40.8%	35.5%	47.8%	37.9%	39.4%
Bid-Ask Spread %	89.72	78.01	106.86	106.86	98.05
Gamma HHI	0.20	0.15	0.27	0.23	0.18
Net GEX	45.6K	27.9K	77.6K	36.3K	33.6K
Net DEX	-1.1M	-2.0M	-190.3K	-393.8K	-1.2M
Net VEX	-5.0K	-5.7K	-4.1K	-4.5K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.33	0.87	0.81	0.87
Total Volume	732.05	504	1,038	639	586
Total OI	2,525.9	2,102	2,946	2,304	2,261

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
2016-02-01	$18.93	$18.00	37.1%	10.6%	48.1%	28.9%	37.7%	4.3%	-0.2%	36.3K	-393.8K	-4.5K	0.81	106.86	354	285	1,509	795
2016-02-02	$18.58	$18.00	38.2%	10.9%	48.3%	31.4%	38.4%	5.1%	-0.2%	28.8K	-228.3K	-4.3K	0.53	92.23	460	243	1,505	815
2016-02-03	$18.75	$18.00	38.8%	11.1%	48.2%	32.9%	41.0%	7.0%	-1.4%	27.9K	-190.3K	-4.1K	0.41	97.23	599	243	1,414	818
2016-02-04	$19.44	$18.00	39.4%	10.8%	49.0%	34.3%	38.4%	6.6%	-1.4%	46.6K	-795.7K	-4.8K	0.33	78.01	778	260	1,579	818
2016-02-05	$19.27	$18.00	42.4%	11.2%	45.8%	41.3%	40.3%	3.6%	-2.1%	45.8K	-826.9K	-5.5K	0.43	81.80	605	260	1,759	850
2016-02-08	$19.42	$18.00	47.4%	12.0%	44.8%	53.1%	42.3%	2.8%	-1.7%	42.1K	-873.6K	-5.3K	0.43	82.78	607	261	1,744	850
2016-02-09	$19.54	$18.00	54.3%	12.1%	43.8%	69.4%	42.9%	0.7%	-2.6%	47.3K	-985.4K	-5.3K	0.44	80.47	619	274	1,754	851
2016-02-10	$19.68	$18.00	40.9%	11.7%	43.7%	37.9%	42.2%	1.4%	-1.7%	54.5K	-1.2M	-5.5K	0.46	83.28	593	274	1,864	894
2016-02-11	$19.61	$18.00	45.8%	13.1%	41.8%	49.3%	44.9%	3.9%	-2.7%	58.4K	-1.2M	-5.7K	0.50	83.72	559	281	1,986	894
2016-02-12	$19.85	$18.00	41.6%	11.9%	41.8%	39.4%	42.4%	3.3%	-1.6%	66.2K	-1.4M	-5.6K	0.40	81.17	652	262	1,981	891
2016-02-16	$20.48	$18.00	40.1%	11.5%	40.1%	36.0%	41.4%	3.1%	-2.4%	74.4K	-2.0M	-5.3K	0.38	85.28	644	247	2,028	891
2016-02-17	$20.09	$18.00	39.2%	11.2%	41.3%	33.8%	40.4%	5.7%	-2.2%	71.7K	-1.7M	-5.1K	0.60	90.42	413	248	2,022	886
2016-02-18	$20.54	$18.00	37.1%	10.6%	41.6%	28.9%	37.8%	6.3%	-0.7%	77.6K	-2.0M	-5.0K	0.72	97.54	408	292	2,028	888
2016-02-19	$20.37	$19.00	36.4%	10.4%	42.0%	27.3%	37.7%	4.2%	-0.5%	39.4K	-1.9M	-4.8K	0.80	92.69	411	327	2,025	921
2016-02-22	$20.40	$19.00	35.2%	10.1%	42.1%	24.4%	35.8%	1.9%	0.2%	36.0K	-1.0M	-4.8K	0.75	93.71	313	235	1,390	712
2016-02-23	$20.42	$19.00	34.1%	9.8%	42.1%	21.8%	33.8%	1.7%	1.0%	31.6K	-983.5K	-4.8K	0.72	94.03	304	220	1,398	786
2016-02-24	$20.67	$19.00	33.0%	9.4%	28.4%	19.0%	34.1%	3.5%	1.0%	30.4K	-1.1M	-4.8K	0.66	91.41	304	200	1,397	826
2016-02-25	$20.77	$19.00	33.3%	9.5%	28.0%	19.8%	34.9%	4.7%	-0.2%	30.2K	-1.1M	-4.9K	0.65	91.19	308	200	1,396	846
2016-02-26	$20.98	$19.00	32.3%	9.3%	23.6%	17.6%	36.7%	5.1%	1.3%	33.0K	-1.3M	-4.7K	0.64	92.48	313	199	1,400	846
2016-02-29	$20.64	$19.00	35.2%	10.1%	23.6%	24.3%	38.4%	6.5%	-0.5%	33.6K	-1.2M	-4.4K	0.87	98.05	313	273	1,411	850