SNDK Options History — April 2007

In April 2007, SNDK traded between $41.86 and $45.20. ATM implied volatility averaged 36.5%. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 11.2% (HV 20d: 25.3%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.36.

Notable Days

  • 2007-04-26: Highest Volume — 149,985 contracts
  • 2007-04-12: Largest IV spike — 51.6% change
  • 2007-04-20: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.48$41.86$45.20$44.00$43.45
Max Pain$43.75$42.50$45.00$42.50$45.00
ATM IV36.5%25.6%45.0%29.1%27.7%
Expected Move11.1%7.3%12.9%8.3%7.9%
HV 20d25.3%15.9%29.7%29.7%25.9%
HV 60d31.2%29.0%33.2%33.2%29.0%
Term Structure-1.6%-8.0%13.4%12.4%1.4%
VWIV38.7%26.3%45.2%28.0%27.2%
Skew 25d2.6%0.9%3.6%1.2%1.0%
Skew 10d5.4%0.9%12.2%3.1%0.9%
Call IV 25d37.8%25.7%44.1%29.7%27.2%
Put IV 25d40.4%27.6%46.9%30.9%28.2%
Bid-Ask Spread %6.253.468.254.327.46
Gamma HHI0.220.130.550.250.16
Net GEX11.3M4.5M32.3M14.0M6.3M
Net DEX-284.5M-462.6M-114.3M-381.3M-192.8M
Net VEX-3.8M-4.1M-3.4M-4.1M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.360.316.922.701.46
Total Volume39,183.3512,986149,98534,53823,654
Total OI615,147.9449,559681,817636,776572,843

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-04-02$44.00$42.5029.1%8.3%29.7%0.0%28.0%1.2%12.4%14.0M-381.3M-4.1M2.704.32N/AN/A9,34025,198399,592237,184
2007-04-03$43.91$42.5028.9%8.3%27.5%0.0%29.5%0.9%12.2%14.1M-371.5M-4.0M0.805.22N/AN/A7,2185,768401,453238,422
2007-04-04$44.67$42.5027.0%7.7%27.7%0.0%27.5%1.5%13.4%16.3M-462.6M-4.1M1.283.46N/AN/A14,41818,449404,827240,766
2007-04-05$44.50$42.5027.0%7.7%26.9%0.0%27.2%1.7%13.2%15.4M-433.8M-4.0M0.963.46N/AN/A7,4527,126403,422242,295
2007-04-09$44.03$45.0028.4%12.2%27.0%0.0%42.8%2.8%-5.1%14.5M-380.5M-3.9M0.887.66N/AN/A8,2017,201405,766242,662
2007-04-10$44.25$45.0026.7%12.3%26.5%0.0%42.1%3.2%-6.1%15.3M-399.0M-3.9M1.458.25N/AN/A22,35832,473406,169246,472
2007-04-11$43.22$45.0028.3%12.4%28.3%0.0%42.9%3.6%-5.9%11.0M-270.5M-3.8M0.607.44N/AN/A21,79213,170409,542247,955
2007-04-12$43.40$45.0042.9%12.3%28.2%0.0%42.3%3.3%-5.4%11.2M-300.9M-3.8M6.925.03N/AN/A6,37444,109412,406250,610
2007-04-13$43.35$45.0042.5%12.2%28.2%0.0%41.9%3.0%-5.5%10.8M-291.0M-3.8M0.636.21N/AN/A10,6656,726412,596249,376
2007-04-16$42.85$45.0044.0%12.6%28.6%0.0%43.6%3.5%-6.3%8.5M-229.0M-3.7M0.578.02N/AN/A13,6917,822414,692250,762
2007-04-17$42.18$45.0043.1%12.4%28.7%0.0%43.2%2.4%-6.3%4.9M-144.6M-3.6M3.086.73N/AN/A9,37528,898417,512253,742
2007-04-18$42.23$45.0044.6%12.8%23.5%0.0%44.3%3.4%-7.6%5.1M-151.6M-3.6M0.667.28N/AN/A11,4597,617421,359257,503
2007-04-19$42.59$42.5043.6%12.5%19.5%0.0%44.0%3.6%-6.3%8.3M-206.3M-3.6M0.538.19N/AN/A9,6975,119424,787257,000
2007-04-20$42.53$42.5045.0%12.9%19.5%0.0%44.8%2.5%-8.0%32.3M-233.3M-3.6M0.316.02N/AN/A23,2887,159425,434256,383
2007-04-23$41.86$42.5044.0%12.6%15.9%0.0%44.2%2.1%-5.4%4.5M-114.3M-3.4M0.536.18N/AN/A26,87014,216275,962173,597
2007-04-24$43.54$42.5043.5%12.5%22.0%0.0%42.9%3.1%-5.7%7.3M-239.6M-3.7M1.205.22N/AN/A27,25832,609289,691182,761
2007-04-25$43.93$42.5044.0%12.6%22.3%0.0%45.2%2.9%-6.6%7.8M-273.9M-3.8M1.405.01N/AN/A15,04121,104298,037192,313
2007-04-26$45.20$42.5044.6%12.8%24.7%0.0%44.9%3.5%-7.5%8.8M-365.1M-3.9M0.506.44N/AN/A100,14949,836302,470205,851
2007-04-27$44.01$45.0025.6%7.3%25.5%0.0%26.3%1.9%2.0%9.0M-249.4M-3.8M0.657.34N/AN/A49,08931,678346,405232,339
2007-04-30$43.45$45.0027.7%7.9%25.9%0.0%27.2%1.0%1.4%6.3M-192.8M-3.7M1.467.46N/AN/A9,62114,033343,345229,498