SNDK Options History — June 2007

In June 2007, SNDK traded between $42.54 and $48.94. ATM implied volatility averaged 28.3%. The 30-day expected move averaged 8.5%. IV traded below realized volatility by 0.4% (HV 20d: 28.7%). Max pain ranged from $42.50 to $45.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.21.

Notable Days

  • 2007-06-01: Highest Volume — 71,244 contracts
  • 2007-06-04: Largest IV drop — 18.6% change
  • 2007-06-01: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$45.87$42.54$48.94$42.54$48.94
Max Pain$42.74$42.50$45.00$42.50$45.00
ATM IV28.3%25.4%34.1%34.1%30.1%
Expected Move8.5%7.6%9.8%9.8%8.6%
HV 20d28.7%23.0%33.6%23.0%30.5%
HV 60d26.9%25.3%27.8%26.7%27.6%
Term Structure7.1%-0.0%10.8%-0.0%8.1%
VWIV30.1%26.8%34.6%34.6%30.6%
Skew 25d2.0%0.1%4.0%4.0%1.9%
Skew 10d4.2%0.2%8.9%8.9%4.1%
Call IV 25d29.4%26.2%33.4%33.4%29.7%
Put IV 25d31.4%27.6%37.4%37.4%31.6%
Bid-Ask Spread %7.304.1811.457.109.39
Gamma HHI0.200.140.460.140.19
Net GEX10.7M-789.4K24.9M2.0M13.8M
Net DEX-409.7M-653.5M-100.5M-100.5M-653.5M
Net VEX-3.8M-4.1M-3.6M-3.6M-4.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.210.394.582.660.63
Total Volume32,157.04811,30671,24471,24423,669
Total OI567,799.286512,567596,999537,045587,881

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-06-01$42.54$42.5034.1%9.8%23.0%0.0%34.6%4.0%-0.0%2.0M-100.5M-3.6M2.667.10N/AN/A19,44051,804316,271220,774
2007-06-04$43.73$42.5027.8%9.6%25.0%0.0%33.4%3.6%3.8%-789.4K-186.9M-3.7M2.3610.14N/AN/A17,40041,097324,250257,632
2007-06-05$43.39$42.5026.3%9.3%25.1%0.0%32.7%3.2%4.9%3.4M-180.2M-3.6M4.587.50N/AN/A7,71835,386327,850238,463
2007-06-06$43.68$42.5028.2%9.3%25.0%0.0%31.5%2.9%4.5%6.2M-230.3M-3.6M0.737.42N/AN/A8,6426,327329,638235,559
2007-06-07$42.92$42.5028.3%9.2%25.0%0.0%31.9%2.1%5.0%2.2M-139.0M-3.6M1.4311.45N/AN/A10,26214,658332,237237,856
2007-06-08$44.22$42.5025.9%8.6%26.5%0.0%31.4%3.1%6.0%9.1M-276.4M-3.7M0.426.74N/AN/A10,0004,204335,388245,527
2007-06-11$44.85$42.5027.9%8.9%26.2%0.0%31.4%1.8%5.5%14.1M-371.4M-3.6M0.397.00N/AN/A18,2687,196338,184246,567
2007-06-12$44.05$42.5030.6%8.7%27.0%0.0%30.5%1.6%6.1%10.2M-274.5M-3.6M2.035.76N/AN/A11,44723,264343,725247,307
2007-06-13$44.18$42.5025.4%8.5%26.6%0.0%30.8%2.3%6.3%12.2M-282.4M-3.6M0.5010.82N/AN/A11,3125,610343,360248,699
2007-06-14$44.98$42.5027.7%7.9%27.4%0.0%28.4%1.7%8.4%24.9M-384.9M-3.6M0.508.64N/AN/A14,9147,483342,064250,928
2007-06-15$46.40$42.5027.5%7.9%29.2%0.0%28.6%1.4%7.4%11.3M-564.2M-3.7M0.456.88N/AN/A34,36215,303343,202253,797
2007-06-18$47.31$42.5026.7%7.7%29.8%0.0%27.2%1.3%8.4%11.8M-505.6M-3.8M0.494.18N/AN/A28,73814,047301,563211,004
2007-06-19$47.62$42.5026.7%7.6%29.8%0.0%26.8%1.4%8.9%13.4M-553.9M-3.9M1.835.17N/AN/A14,29326,189315,054216,144
2007-06-20$46.45$42.5026.8%7.7%30.7%0.0%27.3%0.1%8.7%11.9M-446.9M-3.9M0.435.43N/AN/A15,4746,589319,570219,418
2007-06-21$48.54$42.5029.7%8.5%33.6%0.0%29.9%1.3%8.0%13.7M-627.0M-4.0M0.655.73N/AN/A28,93018,713323,826219,665
2007-06-22$47.90$42.5028.3%8.1%31.9%0.0%28.3%1.3%9.0%13.2M-571.8M-4.0M0.485.09N/AN/A10,5665,075330,698229,601
2007-06-25$47.13$42.5027.9%8.0%32.9%0.0%28.3%1.2%10.2%12.4M-497.7M-4.0M0.675.79N/AN/A6,7694,537330,613230,550
2007-06-26$47.31$42.5028.2%8.1%32.8%0.0%28.6%2.5%10.8%12.4M-514.1M-4.0M2.016.97N/AN/A8,33216,780331,891233,170
2007-06-27$48.51$42.5029.5%8.5%32.4%0.0%29.4%1.3%9.8%13.4M-618.6M-4.1M0.686.36N/AN/A19,77113,386333,616240,354
2007-06-28$48.64$45.0029.9%8.6%32.3%0.0%29.7%1.5%9.2%14.1M-624.6M-4.1M1.589.71N/AN/A14,47122,872343,210246,679
2007-06-29$48.94$45.0030.1%8.6%30.5%0.0%30.6%1.9%8.1%13.8M-653.5M-4.1M0.639.39N/AN/A14,5559,114339,861248,020