SNDK Options History — May 2007

In May 2007, SNDK traded between $41.89 and $45.03. ATM implied volatility averaged 27.4%. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 0.9% (HV 20d: 26.6%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.41.

Notable Days

  • 2007-05-22: Highest Volume — 60,086 contracts
  • 2007-05-10: Largest IV spike — 10.9% change
  • 2007-05-31: Largest Expected Move — 8.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.67$41.89$45.03$42.72$43.55
Max Pain$44.09$42.50$45.00$45.00$42.50
ATM IV27.4%24.3%30.5%27.9%30.5%
Expected Move8.0%7.0%8.7%8.0%8.7%
HV 20d26.6%22.0%28.9%26.5%24.0%
HV 60d28.3%26.1%29.8%29.2%26.1%
Term Structure2.3%0.8%4.3%1.8%0.8%
VWIV28.1%24.5%30.1%28.3%30.1%
Skew 25d1.9%0.6%4.1%1.5%4.1%
Skew 10d3.4%-5.1%8.0%3.7%6.2%
Call IV 25d27.6%24.1%29.0%28.0%27.3%
Put IV 25d29.5%25.8%31.4%29.4%31.4%
Bid-Ask Spread %7.664.9111.554.917.85
Gamma HHI0.190.140.300.150.18
Net GEX9.5M3.1M15.2M3.1M7.1M
Net DEX-225.3M-384.5M-85.9M-98.1M-211.7M
Net VEX-3.5M-3.8M-2.0M-3.6M-3.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.410.436.372.063.61
Total Volume25,065.7734,98260,08651,00334,724
Total OI544,969.273411,774606,231566,957521,914

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-05-01$42.72$45.0027.9%8.0%26.5%0.0%28.3%1.5%1.8%3.1M-98.1M-3.6M2.064.91N/AN/A16,68034,323341,051225,906
2007-05-02$42.50$45.0026.9%7.7%26.5%0.0%27.7%0.6%2.7%3.4M-98.6M-3.6M0.785.43N/AN/A9,8687,718347,418225,717
2007-05-03$43.78$45.0026.5%7.6%28.0%0.0%27.6%1.0%1.5%9.4M-250.4M-3.7M0.596.03N/AN/A12,9227,646348,501223,765
2007-05-04$44.15$42.5026.2%8.3%28.2%0.0%29.3%2.1%1.2%11.0M-284.3M-3.7M0.567.64N/AN/A10,3495,783351,394225,774
2007-05-07$43.96$42.5027.2%8.3%28.0%0.0%29.1%2.8%1.1%9.9M-260.0M-3.7M1.498.91N/AN/A7,04810,493353,175227,943
2007-05-08$44.39$45.0026.8%8.3%28.2%0.0%29.0%2.5%1.6%11.3M-301.4M-3.7M2.487.91N/AN/A7,57218,806354,181232,674
2007-05-09$45.03$45.0026.4%8.2%27.1%0.0%28.9%2.1%1.9%15.2M-384.5M-3.7M0.837.65N/AN/A15,97313,269353,859230,536
2007-05-10$44.10$45.0029.3%8.4%28.3%0.0%29.5%2.2%1.4%10.4M-264.3M-3.7M1.268.54N/AN/A7,8979,968359,827234,088
2007-05-11$44.87$45.0028.7%8.2%28.9%0.0%29.1%3.0%1.6%14.2M-362.0M-3.8M0.458.38N/AN/A8,4903,790360,018236,184
2007-05-14$44.83$45.0029.1%8.3%28.5%0.0%29.4%2.0%1.2%14.8M-288.6M-2.0M0.847.79N/AN/A5,8234,879252,015159,759
2007-05-15$44.26$45.0029.5%8.4%28.2%0.0%29.0%2.4%1.4%12.8M-280.2M-3.6M0.848.71N/AN/A6,7725,690360,911233,654
2007-05-16$44.44$45.0028.6%8.2%28.2%0.0%29.4%1.4%2.4%14.7M-303.8M-3.6M0.437.69N/AN/A9,8564,255364,279235,755
2007-05-17$44.07$45.0027.4%7.9%28.4%0.0%27.6%1.2%3.4%10.4M-230.2M-3.6M0.507.22N/AN/A11,2525,606366,982235,572
2007-05-18$44.14$45.0025.7%7.4%28.4%0.0%25.9%1.7%4.0%10.0M-234.7M-3.5M0.796.79N/AN/A9,1627,253370,216236,015
2007-05-21$44.27$45.0024.3%7.0%27.6%0.0%24.5%1.7%4.3%8.0M-245.5M-3.5M0.746.63N/AN/A19,15714,156285,798179,088
2007-05-22$43.54$45.0025.9%7.4%24.8%0.0%25.7%1.1%3.6%7.3M-187.9M-3.5M1.976.45N/AN/A20,20939,877294,739182,927
2007-05-23$43.20$42.5026.7%7.7%24.7%0.0%26.8%1.1%2.8%8.1M-191.7M-3.5M0.667.16N/AN/A8,8245,864302,565183,453
2007-05-24$42.00$42.5027.4%7.9%23.9%0.0%27.8%0.9%3.1%5.7M-94.7M-3.4M1.2710.92N/AN/A16,47820,863306,393184,896
2007-05-25$41.97$42.5026.2%7.5%22.3%0.0%26.7%2.2%4.0%6.3M-102.6M-3.4M0.6511.55N/AN/A3,0241,958312,357187,370
2007-05-29$41.89$42.5027.4%7.9%22.0%0.0%27.4%1.7%2.6%5.8M-85.9M-3.3M6.377.30N/AN/A4,95231,546311,170188,278
2007-05-30$43.15$42.5029.1%8.3%23.9%0.0%29.0%2.2%2.6%9.0M-195.4M-3.5M1.776.98N/AN/A18,28832,384313,050188,157
2007-05-31$43.55$42.5030.5%8.7%24.0%0.0%30.1%4.1%0.8%7.1M-211.7M-3.6M3.617.85N/AN/A7,53027,194314,274207,640