SNDK Options History — August 2007 In August 2007, SNDK traded between $51.62 and $57.42. ATM implied volatility averaged 42.0%, placing in the 42.6% IV rank vs the trailing year. The 30-day expected move averaged 12.1%. IV traded above realized volatility by 2.0% (HV 20d: 40.0%). Max pain ranged from $52.50 to $55.00. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.88.
Notable Days 2007-08-16 : Highest Volume — 83,322 contracts2007-08-17 : Largest IV drop — 19.6% change2007-08-16 : Highest IV Rank — 70.7%2007-08-16 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $54.14 $51.62 $57.42 $53.19 $56.06 Max Pain $53.70 $52.50 $55.00 $52.50 $55.00 ATM IV 42.0% 34.6% 53.6% 43.1% 34.6% Expected Move 12.1% 9.9% 15.4% 12.4% 9.9% HV 20d 40.0% 35.5% 42.6% 41.5% 40.7% HV 60d 34.9% 32.4% 37.2% 32.9% 37.2% IV Rank 42.6% 24.9% 70.7% 45.4% 24.9% IV Percentile 72.9% 51.5% 90.4% 78.6% 51.5% Term Structure 6.2% 0.5% 9.5% 0.9% 7.1% VWIV 42.3% 34.7% 53.8% 44.2% 34.7% Skew 25d 2.8% -1.1% 6.6% 2.6% 3.9% Skew 10d 5.1% -2.6% 11.1% 2.6% 4.8% Call IV 25d 41.0% 32.2% 50.9% 42.4% 32.2% Put IV 25d 43.8% 36.1% 57.4% 45.0% 36.1% Bid-Ask Spread % 11.66 7.30 15.57 7.91 7.71 Gamma HHI 0.18 0.12 0.26 0.17 0.15 Net GEX 6.1M -1.3M 13.8M 4.8M 7.3M Net DEX -573.2M -925.3M -328.5M -529.6M -657.6M Net VEX -5.1M -5.3M -4.9M -5.3M -5.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.88 0.25 1.80 1.51 1.25 Total Volume 33,869.391 14,689 83,322 76,834 41,343 Total OI 605,194.261 533,178 669,274 608,699 594,595
Daily Data (23 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 2007-08-01 $53.19 $52.50 43.1% 12.4% 41.5% 45.4% 44.2% 2.6% 0.9% 4.8M -529.6M -5.3M 1.51 7.91 N/A N/A 30,587 46,247 353,351 255,348 2007-08-02 $52.77 $52.50 44.0% 12.6% 41.7% 47.4% 44.5% -0.3% 0.5% 5.2M -501.8M -5.3M 0.50 9.18 N/A N/A 12,770 6,361 358,894 259,085 2007-08-03 $53.43 $52.50 42.5% 12.2% 41.3% 43.9% 42.8% -1.1% 0.9% 6.6M -582.0M -5.3M 0.54 11.97 N/A N/A 21,567 11,573 360,803 259,274 2007-08-06 $53.78 $55.00 43.1% 12.4% 39.0% 45.4% 43.2% 2.0% 6.7% 6.3M -589.9M -5.2M 0.72 11.40 N/A N/A 8,548 6,141 362,415 262,757 2007-08-07 $53.56 $55.00 41.2% 12.2% 39.0% 40.6% 42.4% 1.0% 4.5% 5.9M -577.7M -5.1M 0.79 15.03 N/A N/A 14,457 11,443 361,191 264,410 2007-08-08 $55.28 $55.00 37.5% 11.3% 40.4% 31.7% 39.7% 1.5% 5.8% 9.5M -739.8M -5.0M 0.89 12.35 N/A N/A 25,274 22,601 360,688 264,729 2007-08-09 $56.46 $55.00 40.7% 12.3% 36.7% 39.5% 43.0% 1.7% 4.7% 11.1M -847.2M -5.1M 0.65 12.52 N/A N/A 17,193 11,196 361,121 269,717 2007-08-10 $57.13 $55.00 46.0% 12.8% 36.8% 52.2% 44.6% 1.1% 3.4% 12.3M -913.6M -5.1M 0.48 13.09 N/A N/A 25,113 12,174 361,641 273,510 2007-08-13 $57.42 $55.00 43.2% 12.8% 36.5% 45.6% 45.2% 2.5% 5.5% 13.8M -925.3M -5.1M 0.75 13.36 N/A N/A 10,589 7,971 366,210 276,298 2007-08-14 $55.34 $55.00 45.6% 12.8% 35.5% 51.2% 44.7% 1.6% 6.2% 7.2M -721.7M -5.1M 0.84 13.96 N/A N/A 16,513 13,802 364,965 279,327 2007-08-15 $52.64 $55.00 51.0% 14.0% 39.3% 64.5% 48.6% 3.7% 6.0% 1.2M -444.5M -5.1M 1.33 13.37 N/A N/A 20,561 27,351 366,762 279,594 2007-08-16 $51.62 $55.00 53.6% 15.4% 39.2% 70.7% 53.8% 6.6% 7.4% -1.3M -332.4M -5.1M 0.91 14.00 N/A N/A 43,735 39,587 368,520 287,563 2007-08-17 $53.67 $55.00 43.1% 12.3% 41.4% 45.2% 43.8% 3.8% 9.1% 3.8M -554.4M -5.2M 0.60 14.22 N/A N/A 31,990 19,351 376,980 292,294 2007-08-20 $54.68 $52.50 43.4% 12.5% 42.1% 46.1% 42.8% 3.5% 9.1% 5.3M -542.4M -5.1M 0.25 11.12 N/A N/A 25,636 6,362 299,704 233,474 2007-08-21 $54.19 $52.50 41.8% 12.0% 42.2% 42.2% 43.3% 5.0% 8.2% 6.6M -536.0M -5.2M 1.80 12.75 N/A N/A 9,839 17,754 315,401 233,540 2007-08-22 $54.70 $52.50 37.9% 10.9% 42.0% 32.8% 37.7% 4.0% 9.5% 6.7M -558.8M -5.1M 1.18 9.38 N/A N/A 14,950 17,585 313,892 241,838 2007-08-23 $53.12 $52.50 39.8% 11.4% 42.6% 37.3% 39.8% 4.0% 7.4% 5.2M -437.8M -5.1M 1.26 8.87 N/A N/A 8,359 10,521 319,947 247,220 2007-08-24 $54.00 $52.50 36.2% 10.4% 41.8% 28.7% 37.9% 4.3% 8.7% 5.6M -492.8M -5.0M 0.97 10.78 N/A N/A 9,008 8,764 317,185 248,572 2007-08-27 $51.86 $52.50 40.5% 11.6% 42.2% 39.1% 40.5% 2.8% 8.3% 2.7M -328.5M -4.9M 0.26 7.30 N/A N/A 15,319 3,964 318,265 251,906 2007-08-28 $52.03 $52.50 42.2% 12.1% 38.1% 43.2% 41.9% 3.4% 7.7% 3.6M -361.2M -5.0M 0.99 13.16 N/A N/A 12,034 11,891 320,664 250,372 2007-08-29 $53.54 $52.50 38.1% 10.9% 39.5% 33.3% 37.3% 4.7% 6.8% 4.6M -461.1M -5.0M 0.90 15.57 N/A N/A 11,308 10,148 323,092 255,330 2007-08-30 $54.66 $52.50 36.8% 10.5% 40.0% 30.0% 37.0% 2.9% 8.0% 5.7M -546.8M -5.0M 0.89 9.30 N/A N/A 15,614 13,902 326,175 260,849 2007-08-31 $56.06 $55.00 34.6% 9.9% 40.7% 24.9% 34.7% 3.9% 7.1% 7.3M -657.6M -5.0M 1.25 7.71 N/A N/A 18,358 22,985 328,766 265,829
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