SNDK Options History — February 2007

In February 2007, SNDK traded between $36.42 and $41.84. ATM implied volatility averaged 32.8%. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 2.1% (HV 20d: 34.9%). Max pain ranged from $40.00 to $42.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 1.24.

Notable Days

  • 2007-02-20: Highest Volume — 91,537 contracts
  • 2007-02-08: Largest IV spike — 13.4% change
  • 2007-02-27: Largest Expected Move — 10.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$39.93$36.42$41.84$40.74$36.42
Max Pain$40.13$40.00$42.50$42.50$40.00
ATM IV32.8%28.0%37.8%31.2%36.4%
Expected Move9.6%8.9%10.8%8.9%10.4%
HV 20d34.9%32.8%38.7%38.7%33.5%
Term Structure5.1%1.4%6.9%1.4%6.0%
VWIV33.7%30.7%38.6%30.7%37.6%
Skew 25d0.5%-1.9%3.9%3.9%-1.9%
Skew 10d1.3%-3.2%6.9%6.9%-3.0%
Call IV 25d33.8%28.9%40.3%28.9%39.3%
Put IV 25d34.3%31.3%39.4%32.9%37.4%
Bid-Ask Spread %8.815.3714.925.9211.97
Gamma HHI0.180.130.430.170.13
Net GEX2.3M-13.4M10.9M4.4M-768.0K
Net DEX28.0M-134.2M200.8M22.2M200.8M
Net VEX-3.3M-3.7M-2.8M-3.6M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.240.513.370.671.09
Total Volume40,971.15819,83791,53734,43836,326
Total OI590,572.368495,076648,924612,217552,296

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-02-01$40.74$42.5031.2%8.9%38.7%0.0%30.7%3.9%1.4%4.4M22.2M-3.6M0.675.92N/AN/A20,58113,857381,635230,582
2007-02-02$40.80$40.0028.0%9.2%38.4%0.0%31.9%1.5%5.2%4.7M3.7M-3.5M0.626.86N/AN/A15,9859,869381,720219,717
2007-02-05$40.85$40.0029.4%9.6%37.1%0.0%33.1%0.9%3.5%5.2M-6.1M-3.4M0.798.24N/AN/A12,73310,075381,486216,944
2007-02-06$41.20$40.0030.5%9.7%36.1%0.0%33.7%0.8%4.2%7.2M-57.8M-3.5M2.6012.24N/AN/A20,05352,088385,126218,762
2007-02-07$41.66$40.0029.2%9.3%36.5%0.0%32.4%1.7%5.1%9.3M-108.8M-3.6M0.9411.61N/AN/A34,57632,548392,615221,476
2007-02-08$41.84$40.0033.1%9.5%33.7%0.0%33.2%1.4%4.1%10.9M-134.2M-3.7M1.2214.92N/AN/A8,94510,892399,325229,029
2007-02-09$40.30$40.0033.8%9.7%33.0%0.0%34.1%-0.6%4.7%1.3M48.7M-3.4M1.329.36N/AN/A23,67431,368395,919234,717
2007-02-12$39.79$40.0035.9%10.3%32.9%0.0%36.0%0.8%3.9%-1.9M97.2M-3.3M1.077.78N/AN/A10,91411,675401,771238,531
2007-02-13$39.85$40.0034.8%10.0%33.0%0.0%34.8%0.6%4.8%-1.7M68.0M-3.3M3.377.22N/AN/A11,86439,937401,934233,783
2007-02-14$40.80$40.0033.3%9.5%34.4%0.0%33.3%1.2%5.6%2.1M-35.5M-3.4M1.977.95N/AN/A9,43218,565404,540236,837
2007-02-15$41.15$40.0033.7%9.7%34.2%0.0%33.5%0.5%5.8%4.6M-79.4M-3.5M0.516.07N/AN/A19,2909,790405,603238,562
2007-02-16$40.13$40.0034.3%9.8%35.1%0.0%34.3%-0.5%5.9%-13.4M14.0M-3.4M0.759.91N/AN/A17,27113,017411,570237,354
2007-02-20$40.52$40.0032.1%9.2%35.0%0.0%32.0%1.4%6.9%3.7M-3.6M-3.2M1.3111.53N/AN/A39,66951,868303,418191,658
2007-02-21$39.85$40.0031.1%8.9%34.5%0.0%31.7%-1.4%6.0%3.8M24.4M-3.2M0.767.44N/AN/A24,53118,598318,427196,802
2007-02-22$38.95$40.0032.0%9.2%35.2%0.0%32.2%0.4%6.6%1.9M85.2M-3.2M1.145.37N/AN/A18,81921,447326,445201,120
2007-02-23$38.62$40.0032.4%9.3%34.7%0.0%32.3%0.2%5.9%1.7M93.9M-3.1M1.376.62N/AN/A12,39816,998333,617203,434
2007-02-26$38.22$40.0034.1%9.8%32.8%0.0%34.8%0.0%5.9%491.4K125.4M-3.1M0.827.11N/AN/A12,62010,363337,866208,636
2007-02-27$36.91$40.0037.8%10.8%34.3%0.0%38.6%-0.9%5.5%-177.1K173.8M-2.9M1.289.21N/AN/A24,46531,351341,171206,447
2007-02-28$36.42$40.0036.4%10.4%33.5%0.0%37.6%-1.9%6.0%-768.0K200.8M-2.8M1.0911.97N/AN/A17,36418,962344,173208,123