SNDK Options History — July 2007

In July 2007, SNDK traded between $47.60 and $57.80. ATM implied volatility averaged 43.6%, placing in the 49.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 10.3% (HV 20d: 33.3%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2007-07-19: Highest Volume — 155,853 contracts
2007-07-05: Largest IV spike — 52.3% change
2007-07-10: Highest IV Rank — 84.7%
2007-07-18: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.86	$47.60	$57.80	$48.40	$53.63
Max Pain	$49.17	$45.00	$52.50	$45.00	$52.50
ATM IV	43.6%	31.4%	59.4%	31.7%	42.3%
Expected Move	11.6%	9.0%	13.8%	9.1%	12.1%
HV 20d	33.3%	30.1%	41.9%	30.1%	41.9%
HV 60d	29.8%	27.7%	32.8%	27.7%	32.8%
IV Rank	49.5%	24.4%	84.7%	56.6%	43.2%
IV Percentile	80.5%	62.0%	97.7%	89.7%	75.7%
Term Structure	-1.3%	-11.5%	8.7%	8.7%	1.0%
VWIV	41.0%	31.9%	48.3%	31.9%	42.8%
Skew 25d	0.5%	-1.6%	2.8%	2.0%	1.3%
Skew 10d	1.4%	-3.4%	5.4%	5.3%	-0.1%
Call IV 25d	40.8%	31.1%	48.6%	31.1%	42.3%
Put IV 25d	41.3%	31.6%	49.6%	33.1%	43.6%
Bid-Ask Spread %	6.32	4.31	8.11	5.78	7.96
Gamma HHI	0.20	0.14	0.29	0.19	0.22
Net GEX	13.2M	8.3M	17.9M	13.3M	8.3M
Net DEX	-958.9M	-1.52B	-518.3M	-598.9M	-589.1M
Net VEX	-4.4M	-5.1M	-4.0M	-4.0M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.27	2.27	2.27	1.29
Total Volume	60,229.762	11,297	155,853	24,225	88,756
Total OI	635,545.81	545,940	782,568	588,083	583,459

Daily Data (21 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2007-07-02	$48.40	$45.00	31.7%	9.1%	30.1%	0.0%	31.9%	2.0%	8.7%	13.3M	-598.9M	-4.0M	2.27	5.78	N/A	N/A	7,406	16,819	343,270	244,813
2007-07-03	$47.60	$45.00	31.4%	9.0%	30.8%	0.0%	31.9%	-0.8%	8.5%	11.7M	-518.3M	-4.0M	0.81	6.44	N/A	N/A	6,234	5,063	343,033	246,642
2007-07-05	$48.09	$45.00	47.8%	13.7%	30.8%	56.6%	48.3%	1.5%	-11.5%	11.2M	-550.6M	-4.0M	1.27	8.11	N/A	N/A	42,598	54,243	344,618	247,388
2007-07-06	$49.20	$47.50	48.0%	10.3%	30.3%	57.2%	36.4%	2.8%	-0.7%	12.3M	-676.8M	-4.1M	0.54	6.17	N/A	N/A	17,946	9,754	359,246	262,045
2007-07-09	$51.24	$47.50	56.5%	11.3%	31.6%	77.7%	39.3%	1.0%	-3.3%	13.3M	-880.7M	-4.0M	0.49	4.31	N/A	N/A	40,608	19,899	359,743	265,335
2007-07-10	$51.28	$47.50	59.4%	12.2%	31.5%	84.7%	42.7%	0.8%	-4.1%	13.6M	-883.9M	-4.1M	0.52	7.68	N/A	N/A	46,981	24,655	369,833	270,027
2007-07-11	$51.65	$47.50	58.9%	12.1%	30.2%	83.4%	42.7%	1.3%	-3.4%	15.0M	-951.9M	-4.3M	0.78	7.31	N/A	N/A	17,169	13,393	385,540	278,446
2007-07-12	$54.43	$47.50	42.4%	12.1%	34.0%	43.5%	42.9%	1.1%	-4.1%	14.4M	-1.21B	-4.1M	0.48	6.20	N/A	N/A	49,197	23,418	384,857	283,686
2007-07-13	$54.76	$50.00	43.0%	12.3%	33.9%	45.1%	43.1%	0.8%	-4.6%	15.0M	-1.23B	-4.2M	0.63	6.95	N/A	N/A	38,224	23,922	394,872	289,696
2007-07-16	$54.18	$50.00	47.4%	13.6%	33.6%	55.6%	47.5%	0.5%	-6.1%	14.2M	-1.16B	-4.3M	0.65	5.66	N/A	N/A	26,428	17,133	403,428	296,773
2007-07-17	$56.70	$50.00	47.5%	13.6%	36.0%	55.9%	48.1%	-0.5%	-5.5%	15.1M	-1.41B	-4.2M	0.44	4.55	N/A	N/A	52,609	23,011	408,091	306,129
2007-07-18	$57.15	$50.00	48.2%	13.8%	36.0%	57.6%	48.1%	0.2%	-5.9%	16.7M	-1.47B	-4.4M	0.34	5.43	N/A	N/A	48,772	16,605	423,662	312,863
2007-07-19	$55.96	$50.00	46.5%	13.3%	35.5%	53.4%	46.5%	0.8%	-5.6%	17.9M	-1.39B	-4.4M	0.61	5.72	N/A	N/A	96,864	58,989	439,876	314,194
2007-07-20	$56.96	$50.00	34.4%	9.9%	33.3%	24.4%	35.0%	-1.5%	4.9%	12.9M	-1.52B	-4.3M	0.62	5.24	N/A	N/A	85,948	53,234	451,224	331,344
2007-07-23	$56.94	$50.00	36.4%	10.4%	32.5%	29.0%	36.6%	0.0%	0.1%	11.3M	-871.4M	-4.6M	0.38	4.90	N/A	N/A	29,078	11,135	321,759	224,181
2007-07-24	$57.12	$50.00	37.3%	10.7%	31.2%	31.2%	37.7%	-1.6%	-0.2%	12.1M	-902.4M	-4.8M	0.41	5.06	N/A	N/A	32,742	13,268	333,260	226,285
2007-07-25	$57.80	$50.00	36.9%	10.6%	31.2%	30.3%	37.4%	-0.2%	1.6%	13.2M	-941.6M	-4.9M	0.27	6.45	N/A	N/A	17,727	4,840	335,338	229,861
2007-07-26	$56.61	$52.50	39.6%	11.4%	32.5%	36.9%	40.1%	0.9%	0.4%	11.8M	-839.1M	-5.0M	0.71	7.89	N/A	N/A	31,447	22,409	337,463	231,466
2007-07-27	$54.83	$52.50	40.1%	11.5%	35.4%	38.1%	41.1%	-1.5%	2.1%	10.0M	-701.0M	-5.1M	0.68	7.18	N/A	N/A	24,438	16,561	341,181	233,951
2007-07-30	$56.56	$52.50	39.2%	11.2%	36.5%	35.9%	39.8%	1.5%	0.3%	13.0M	-848.7M	-5.1M	0.69	7.63	N/A	N/A	20,874	14,428	349,780	237,804
2007-07-31	$53.63	$52.50	42.3%	12.1%	41.9%	43.2%	42.8%	1.3%	1.0%	8.3M	-589.1M	-5.1M	1.29	7.96	N/A	N/A	38,828	49,928	346,792	236,667