SANM Options History — July 2016

In July 2016, SANM traded between $24.72 and $29.14. ATM implied volatility averaged 37.8%, placing in the 30.2% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded below realized volatility by 3.1% (HV 20d: 40.9%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.42.

Notable Days

2016-07-26: Highest Volume — 1,206 contracts
2016-07-26: Largest IV drop — 41.4% change
2016-07-25: Highest IV Rank — 64.5%
2016-07-25: Largest Expected Move — 15.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.56	$24.72	$29.14	$26.82	$25.34
Max Pain	$27.15	$25.00	$28.00	$25.00	$26.00
ATM IV	37.8%	26.6%	52.3%	27.3%	27.4%
Expected Move	12.1%	7.6%	15.0%	7.8%	7.9%
HV 20d	40.9%	26.3%	64.7%	35.0%	63.6%
HV 60d	32.5%	24.3%	42.7%	31.6%	42.7%
IV Rank	30.2%	3.7%	64.5%	5.1%	5.5%
IV Percentile	48.3%	2.4%	90.5%	4.0%	6.0%
Term Structure	-6.2%	-11.2%	15.9%	15.9%	0.1%
VWIV	43.4%	26.8%	52.6%	30.7%	26.8%
Skew 25d	3.9%	1.6%	6.9%	4.7%	4.3%
Skew 10d	14.1%	-5.1%	26.7%	12.8%	-5.1%
Call IV 25d	42.0%	25.8%	49.8%	28.1%	25.8%
Put IV 25d	45.8%	29.8%	54.8%	32.9%	30.1%
Bid-Ask Spread %	60.38	24.06	111.47	111.47	51.72
Gamma HHI	0.19	0.14	0.28	0.20	0.18
Net GEX	48.7K	-2.0K	100.3K	39.5K	49.5K
Net DEX	-2.1M	-3.5M	358.6K	-2.1M	-417.2K
Net VEX	-9.4K	-10.2K	-7.7K	-9.8K	-9.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.42	0.59	2.99	0.93	0.82
Total Volume	718.6	405	1,206	616	899
Total OI	3,081.55	2,360	3,630	3,064	3,630

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
2016-07-01	$26.82	$25.00	27.3%	7.8%	35.0%	5.1%	30.7%	4.7%	15.9%	39.5K	-2.1M	-9.8K	0.93	111.47	319	297	1,958	1,106
2016-07-05	$26.44	$27.00	32.3%	13.4%	35.2%	17.1%	45.7%	4.9%	-9.6%	33.0K	-1.8M	-9.5K	0.89	56.23	325	289	1,958	1,106
2016-07-06	$26.65	$27.00	30.1%	13.0%	35.3%	11.9%	46.0%	4.5%	-8.8%	32.9K	-2.0M	-9.4K	1.15	58.08	289	333	1,966	1,135
2016-07-07	$26.85	$27.00	29.6%	13.2%	35.1%	10.8%	46.5%	4.7%	-9.4%	35.7K	-2.2M	-9.5K	1.53	56.77	267	409	1,987	1,175
2016-07-08	$27.56	$27.00	28.1%	12.9%	36.2%	7.2%	47.0%	3.5%	-9.9%	51.9K	-2.6M	-9.9K	1.70	62.12	278	472	2,024	1,273
2016-07-11	$27.79	$27.00	30.0%	13.2%	36.1%	11.8%	48.0%	4.3%	-9.9%	68.2K	-2.8M	-9.7K	1.89	59.43	237	447	2,022	1,319
2016-07-12	$28.32	$27.00	33.2%	13.1%	36.0%	19.2%	49.1%	6.9%	-9.1%	90.9K	-3.2M	-9.5K	1.42	66.67	283	401	2,017	1,321
2016-07-13	$28.70	$27.00	45.8%	13.1%	36.2%	49.1%	47.4%	4.9%	-9.9%	100.3K	-3.5M	-8.9K	2.15	62.13	282	607	2,000	1,321
2016-07-14	$28.64	$27.00	46.6%	13.4%	35.9%	51.1%	50.1%	3.2%	-10.6%	-2.0K	-3.2M	-8.8K	2.99	62.20	203	607	1,991	1,499
2016-07-15	$28.88	$27.00	46.4%	13.3%	36.0%	50.6%	46.4%	3.8%	-9.6%	32.5K	-3.0M	-8.8K	1.10	66.16	384	423	2,029	1,509
2016-07-18	$28.75	$28.00	46.8%	13.4%	35.8%	51.6%	47.9%	3.3%	-8.0%	43.5K	-2.3M	-9.4K	2.65	63.97	111	294	1,539	821
2016-07-19	$28.85	$28.00	47.5%	13.6%	35.6%	53.3%	48.3%	1.6%	-7.6%	43.7K	-2.3M	-9.5K	1.78	65.19	157	279	1,561	850
2016-07-20	$29.00	$28.00	48.7%	13.9%	35.6%	55.9%	48.9%	2.1%	-8.9%	47.5K	-2.4M	-9.5K	1.80	62.66	155	279	1,604	852
2016-07-21	$28.77	$28.00	48.8%	14.0%	35.2%	56.2%	48.9%	2.9%	-8.0%	48.2K	-2.3M	-9.4K	1.61	64.66	193	311	1,613	852
2016-07-22	$28.73	$28.00	50.9%	14.6%	35.2%	61.1%	52.4%	5.1%	-9.2%	43.6K	-2.2M	-9.8K	0.59	62.34	427	254	1,606	899
2016-07-25	$29.14	$28.00	52.3%	15.0%	26.3%	64.5%	52.6%	5.0%	-11.2%	69.2K	-3.0M	-10.2K	0.85	49.09	451	382	1,909	902
2016-07-26	$24.72	$28.00	30.6%	8.8%	63.5%	13.2%	31.5%	2.1%	-0.7%	29.1K	358.6K	-7.7K	0.72	29.63	701	505	2,121	1,014
2016-07-27	$25.68	$27.00	26.6%	7.6%	64.7%	3.7%	27.4%	2.9%	0.4%	56.5K	-610.4K	-9.8K	0.93	72.94	503	470	2,385	1,137
2016-07-28	$25.60	$26.00	26.9%	7.7%	64.6%	4.4%	27.4%	3.2%	0.3%	61.0K	-682.1K	-10.0K	0.97	24.06	432	417	2,476	1,144
2016-07-29	$25.34	$26.00	27.4%	7.9%	63.6%	5.5%	26.8%	4.3%	0.1%	49.5K	-417.2K	-9.6K	0.82	51.72	494	405	2,473	1,157