SNDK Options History — September 2007

In September 2007, SNDK traded between $49.99 and $58.10. ATM implied volatility averaged 45.0%, placing in the 49.9% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 0.8% (HV 20d: 45.8%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.58.

Notable Days

  • 2007-09-13: Highest Volume — 53,834 contracts
  • 2007-09-13: Largest IV spike — 24.3% change
  • 2007-09-18: Highest IV Rank — 67.6%
  • 2007-09-18: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.36$49.99$58.10$58.10$55.10
Max Pain$50.79$50.00$55.00$55.00$50.00
ATM IV45.0%36.9%52.3%36.9%49.5%
Expected Move13.4%10.6%15.0%10.6%14.2%
HV 20d45.8%42.4%48.0%42.4%44.4%
HV 60d40.4%37.4%41.5%37.4%41.4%
IV Rank49.9%30.2%67.6%30.2%60.8%
IV Percentile78.7%57.7%90.4%57.7%88.2%
Term Structure-0.2%-5.2%7.1%4.2%-4.4%
VWIV46.6%37.2%51.8%37.2%49.7%
Skew 25d2.4%-1.2%4.3%4.3%2.7%
Skew 10d4.4%-0.4%8.0%7.9%6.2%
Call IV 25d45.7%34.6%50.9%34.6%48.8%
Put IV 25d48.1%38.8%52.7%38.8%51.5%
Bid-Ask Spread %10.486.5414.4810.4811.99
Gamma HHI0.170.130.230.160.22
Net GEX5.2M76.0K10.3M10.3M8.5M
Net DEX-448.0M-825.7M-134.3M-825.7M-620.9M
Net VEX-4.8M-5.0M-4.5M-4.8M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.341.110.690.48
Total Volume31,189.68413,90053,83427,78214,607
Total OI625,500.895570,986676,759598,446606,606

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2007-09-04$58.10$55.0036.9%10.6%42.4%30.2%37.2%4.3%4.2%10.3M-825.7M-4.8M0.6910.48N/AN/A16,45411,328332,896265,550
2007-09-05$55.85$55.0040.3%11.6%45.0%38.6%39.8%2.8%3.0%6.3M-620.6M-4.9M1.119.92N/AN/A24,29226,852333,616268,554
2007-09-06$55.73$55.0039.8%11.4%43.7%37.3%39.7%2.7%7.1%5.8M-611.2M-5.0M0.5514.20N/AN/A21,61811,839338,651274,007
2007-09-07$52.93$50.0041.3%13.7%46.6%40.9%47.7%1.7%-0.6%2.3M-368.0M-4.9M0.4311.65N/AN/A36,27815,558342,239270,120
2007-09-10$53.76$50.0040.1%13.5%46.8%38.0%47.1%3.4%-0.2%4.6M-452.0M-4.9M0.5714.48N/AN/A17,3949,993351,183271,392
2007-09-11$54.25$50.0037.9%13.5%46.9%32.8%47.1%3.6%-1.1%5.3M-491.2M-4.8M0.388.67N/AN/A15,0805,715351,049273,969
2007-09-12$51.75$50.0039.9%14.3%48.0%37.5%49.2%1.8%-2.4%1.4M-283.5M-4.8M0.4111.03N/AN/A20,4628,289353,892272,860
2007-09-13$49.99$50.0049.6%14.2%46.3%61.0%49.9%-1.2%-1.5%76.0K-134.3M-4.7M0.5210.35N/AN/A35,44018,394360,087273,299
2007-09-14$51.29$50.0049.1%14.1%46.9%59.7%48.2%1.6%-0.4%2.5M-270.4M-4.9M0.618.60N/AN/A20,50012,521376,626280,107
2007-09-17$50.30$50.0050.1%14.4%45.0%62.3%50.5%2.5%-2.2%691.9K-157.9M-4.7M0.758.67N/AN/A9,0116,718378,860282,231
2007-09-18$52.29$50.0052.3%15.0%46.8%67.6%51.8%1.3%-5.2%4.7M-385.1M-4.8M0.4212.26N/AN/A24,36310,235381,052281,460
2007-09-19$53.02$50.0048.4%13.9%47.1%58.1%48.4%4.0%-3.0%7.0M-470.0M-4.8M0.559.93N/AN/A25,86014,279386,931283,396
2007-09-20$53.34$50.0047.0%13.5%47.0%54.8%47.0%3.5%-0.3%5.9M-488.0M-4.7M0.696.54N/AN/A13,3449,171384,453288,399
2007-09-21$53.56$50.0043.5%12.5%45.8%46.1%43.8%2.0%1.8%6.8M-514.1M-4.7M0.777.33N/AN/A8,5876,599385,341291,418
2007-09-24$51.90$50.0047.3%13.6%46.8%55.5%47.1%2.0%1.5%5.2M-349.7M-4.5M0.477.06N/AN/A26,01212,281327,084243,902
2007-09-25$52.27$50.0046.5%13.3%44.6%53.6%45.6%2.9%1.9%5.8M-377.9M-4.6M0.5912.06N/AN/A8,7375,163334,343250,248
2007-09-26$53.57$50.0044.9%12.9%45.4%49.6%45.1%0.8%3.5%7.3M-487.4M-4.6M0.3411.31N/AN/A17,8516,094336,938252,417
2007-09-27$54.78$50.0050.9%14.6%44.9%64.1%51.1%2.4%-5.0%8.7M-604.8M-4.8M0.7712.53N/AN/A25,80019,885343,980255,361
2007-09-28$55.10$50.0049.5%14.2%44.4%60.8%49.7%2.7%-4.4%8.5M-620.9M-4.7M0.4811.99N/AN/A9,8754,732344,969261,637