SNDK Options History — January 2007

In January 2007, SNDK traded between $40.18 and $45.70. ATM implied volatility averaged 50.4%. The 30-day expected move averaged 15.5%. IV traded above realized volatility by 16.2% (HV 20d: 34.2%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2007-01-30: Highest Volume — 163,396 contracts
  • 2007-01-11: Largest IV spike — 54.5% change
  • 2007-01-29: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.89$40.18$45.70$41.72$40.18
Max Pain$43.88$42.50$45.00$45.00$42.50
ATM IV50.4%31.0%65.7%41.6%31.0%
Expected Move15.5%8.9%18.8%11.9%8.9%
HV 20d34.2%32.2%39.3%32.8%39.3%
Term Structure-5.5%-15.2%15.9%14.2%2.8%
VWIV54.0%32.1%65.4%42.8%32.1%
Skew 25d2.8%-0.7%6.4%0.5%2.4%
Skew 10d4.7%-1.6%10.6%-1.6%1.8%
Call IV 25d52.7%31.2%63.2%42.6%31.2%
Put IV 25d55.5%33.7%66.3%43.1%33.7%
Bid-Ask Spread %8.854.1613.084.386.51
Gamma HHI0.200.140.400.140.22
Net GEX4.6M-9.6M12.5M133.5K3.9M
Net DEX-110.0M-375.7M84.1M46.8M84.1M
Net VEX-3.4M-3.9M-2.9M-2.9M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.271.651.180.55
Total Volume66,346.5518,991163,39659,899159,430
Total OI600,790.65441,795729,167589,614639,832

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-01-03$41.72$45.0041.6%11.9%0.0%0.0%42.8%0.5%14.2%133.5K46.8M-2.9M1.184.38N/AN/A27,42732,472374,243215,371
2007-01-04$42.21$45.0039.5%11.3%0.0%0.0%41.3%-0.7%15.9%1.4M-6.4M-3.0M0.414.16N/AN/A13,4985,493385,550217,402
2007-01-05$43.30$42.5037.0%15.6%0.0%0.0%54.5%1.4%-4.7%3.1M-91.6M-3.1M1.6511.80N/AN/A22,01436,388387,989219,296
2007-01-08$44.30$42.5040.6%15.9%0.0%0.0%55.2%1.5%-6.3%5.3M-172.6M-3.2M0.727.87N/AN/A47,02833,940392,026225,419
2007-01-09$44.11$45.0037.3%16.4%0.0%0.0%57.3%1.7%-6.8%6.3M-143.2M-3.3M0.678.62N/AN/A89,02059,624402,682232,162
2007-01-10$45.70$45.0035.6%16.1%0.0%0.0%55.9%1.7%-7.0%12.5M-375.7M-3.7M1.009.82N/AN/A40,20440,116444,279232,928
2007-01-11$43.80$45.0055.0%15.8%0.0%0.0%55.1%1.0%-6.6%6.2M-160.2M-3.6M1.6111.09N/AN/A26,12942,111443,529241,194
2007-01-12$44.03$45.0054.2%15.5%0.0%0.0%54.3%2.3%-5.6%7.7M-169.1M-3.5M1.2011.99N/AN/A23,18727,888450,130244,747
2007-01-16$43.89$45.0056.2%16.1%0.0%0.0%56.2%2.3%-7.0%6.4M-142.3M-3.4M0.9612.24N/AN/A17,97817,286451,011248,862
2007-01-17$43.46$45.0056.8%16.3%0.0%0.0%56.2%2.5%-6.4%4.4M-114.6M-3.5M1.169.52N/AN/A11,63913,459460,266253,604
2007-01-18$42.67$45.0057.7%16.5%0.0%0.0%58.0%4.2%-7.2%-3.0M-27.6M-3.3M0.438.37N/AN/A39,64017,174463,374253,557
2007-01-19$42.35$45.0057.7%16.5%0.0%0.0%57.0%4.9%-8.4%-9.6M-35.7M-3.4M0.576.77N/AN/A37,22421,104480,037249,130
2007-01-22$41.67$45.0054.6%15.6%0.0%0.0%54.5%4.9%-7.1%4.7M-59.3M-3.4M0.487.04N/AN/A26,95613,023282,785159,010
2007-01-23$42.50$42.5053.5%15.3%0.0%0.0%52.9%4.4%-8.1%6.2M-118.8M-3.5M0.497.51N/AN/A19,2089,466294,348163,531
2007-01-24$42.46$42.5055.2%15.8%0.0%0.0%54.6%4.7%-9.9%6.6M-128.8M-3.5M0.497.81N/AN/A18,0168,869301,986166,782
2007-01-25$41.59$42.5057.7%16.5%32.8%0.0%57.8%2.4%-10.2%5.7M-74.1M-3.5M0.6710.94N/AN/A23,64315,929307,461171,409
2007-01-26$42.73$42.5059.8%17.1%33.5%0.0%59.3%4.8%-12.1%7.5M-168.6M-3.8M0.279.80N/AN/A38,70410,508321,897179,459
2007-01-29$42.24$42.5065.7%18.8%32.8%0.0%65.4%3.1%-15.2%7.4M-149.8M-3.7M0.3513.08N/AN/A57,70620,034329,428184,361
2007-01-30$42.83$42.5060.9%17.5%32.2%0.0%59.9%6.4%-14.3%9.1M-192.4M-3.9M0.517.74N/AN/A108,44954,947347,028197,708
2007-01-31$40.18$42.5031.0%8.9%39.3%0.0%32.1%2.4%2.8%3.9M84.1M-3.6M0.556.51N/AN/A103,08256,348407,738232,094