SNDK Options History — October 2007 In October 2007, SNDK traded between $40.12 and $55.08. ATM implied volatility averaged 56.9%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 4.9% (HV 20d: 51.9%). Max pain ranged from $45.00 to $52.50. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.62.
Notable Days 2007-10-19 : Highest Volume — 196,744 contracts2007-10-11 : Largest IV drop — 29.4% change2007-10-05 : Highest IV Rank — 100.0%2007-10-15 : Largest Expected Move — 18.7%Monthly Statistics Metric Avg Min Max Open Close Price $47.82 $40.12 $55.08 $55.08 $44.40 Max Pain $49.35 $45.00 $52.50 $50.00 $45.00 ATM IV 56.9% 39.5% 81.3% 52.4% 39.5% Expected Move 15.2% 11.3% 18.7% 15.0% 11.3% HV 20d 51.9% 34.6% 75.2% 43.4% 75.2% HV 60d 46.1% 39.2% 55.2% 41.2% 55.2% IV Rank 62.5% 26.6% 100.0% 67.8% 26.6% IV Percentile 87.0% 53.1% 100.0% 90.9% 53.1% Term Structure -5.2% -12.2% 3.6% -6.5% 3.6% VWIV 53.8% 41.0% 66.3% 52.5% 41.0% Skew 25d 0.3% -3.2% 4.7% 2.8% 0.1% Skew 10d 0.5% -5.9% 8.2% 5.8% 0.7% Call IV 25d 53.7% 41.1% 67.2% 51.2% 41.1% Put IV 25d 54.1% 41.2% 64.2% 54.0% 41.2% Bid-Ask Spread % 8.25 5.02 10.83 5.19 9.72 Gamma HHI 0.17 0.11 0.61 0.23 0.12 Net GEX 3.6M -22.9M 13.0M 8.3M 4.7M Net DEX -142.5M -604.6M 499.5M -604.6M -59.2M Net VEX -4.4M -4.9M -3.7M -4.7M -4.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.27 1.74 0.57 0.44 Total Volume 62,148.478 14,690 196,744 14,690 31,650 Total OI 676,459.435 585,914 850,709 610,130 680,144
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 2007-10-01 $55.08 $50.00 52.4% 15.0% 43.4% 67.8% 52.5% 2.8% -6.5% 8.3M -604.6M -4.7M 0.57 5.19 N/A N/A 9,383 5,307 345,962 264,168 2007-10-02 $55.04 $50.00 54.3% 15.6% 41.2% 72.4% 54.6% 4.7% -7.6% 8.1M -603.8M -4.7M 0.61 5.02 N/A N/A 9,534 5,857 346,428 265,736 2007-10-03 $53.36 $50.00 59.2% 17.0% 40.3% 84.3% 58.6% 2.9% -10.3% 6.3M -461.6M -4.7M 0.78 7.36 N/A N/A 15,064 11,807 350,604 268,299 2007-10-04 $53.19 $50.00 61.9% 17.8% 40.3% 90.8% 61.2% 3.9% -12.2% 6.4M -448.1M -4.7M 1.74 5.76 N/A N/A 9,352 16,281 355,768 270,564 2007-10-05 $52.10 $52.50 67.6% 14.7% 36.6% 100.0% 51.0% 3.4% -4.5% 5.5M -366.9M -4.7M 0.52 9.58 N/A N/A 26,008 13,393 357,539 268,716 2007-10-08 $52.97 $52.50 75.4% 15.5% 36.7% 100.0% 54.2% 3.4% -6.3% 7.2M -456.8M -4.7M 0.42 8.82 N/A N/A 20,333 8,481 369,854 274,372 2007-10-09 $51.24 $52.50 79.1% 16.0% 38.2% 100.0% 55.3% 1.8% -5.6% 5.7M -320.9M -4.6M 0.29 8.25 N/A N/A 39,195 11,396 376,506 274,317 2007-10-10 $51.68 $52.50 81.3% 16.6% 34.6% 100.0% 57.8% 0.7% -7.5% 6.2M -349.9M -4.6M 0.89 6.65 N/A N/A 18,766 16,614 378,300 277,103 2007-10-11 $48.70 $52.50 57.4% 16.5% 38.7% 58.1% 58.0% -0.9% -6.5% 2.2M -73.8M -4.4M 0.72 8.28 N/A N/A 51,188 36,785 381,088 285,606 2007-10-12 $47.40 $52.50 61.5% 17.6% 38.4% 65.2% 63.3% -3.2% -9.6% 1.1M 31.7M -4.4M 0.28 9.67 N/A N/A 104,775 29,165 398,068 297,414 2007-10-15 $48.32 $52.50 65.3% 18.7% 38.8% 72.0% 66.3% -3.0% -12.2% 5.6M -113.3M -4.7M 0.37 7.60 N/A N/A 39,008 14,262 444,491 305,072 2007-10-16 $47.00 $50.00 64.5% 18.5% 36.6% 70.5% 65.8% -2.9% -11.1% 5.6M -29.7M -4.6M 0.27 7.61 N/A N/A 68,452 18,438 462,623 305,911 2007-10-17 $49.07 $50.00 62.4% 17.9% 40.0% 66.8% 63.2% -0.4% -12.0% 11.1M -265.2M -4.8M 0.65 6.99 N/A N/A 40,684 26,254 488,704 313,400 2007-10-18 $50.31 $50.00 61.8% 17.7% 41.1% 65.8% 61.1% 1.1% -11.5% 13.0M -402.1M -4.9M 0.44 10.05 N/A N/A 112,849 49,772 493,100 323,135 2007-10-19 $42.71 $50.00 50.7% 14.5% 70.2% 46.3% 52.1% -2.5% -2.3% -22.9M 499.5M -3.7M 1.03 8.77 N/A N/A 96,932 99,812 511,460 339,249 2007-10-22 $44.11 $47.50 44.8% 12.8% 71.4% 35.9% 46.0% -1.4% -1.2% 886.5K 82.7M -4.0M 0.63 10.83 N/A N/A 51,425 32,594 360,620 225,294 2007-10-23 $43.46 $47.50 42.1% 12.1% 71.2% 31.2% 43.3% 0.5% 0.9% 811.7K 100.4M -3.9M 0.58 10.44 N/A N/A 38,438 22,334 382,837 226,620 2007-10-24 $41.82 $47.50 44.8% 12.9% 70.8% 36.0% 46.4% -2.0% 0.2% 318.8K 160.5M -3.8M 0.94 9.19 N/A N/A 32,349 30,452 393,554 232,277 2007-10-25 $40.12 $45.00 47.3% 13.6% 70.2% 40.3% 49.1% -1.7% -0.7% -504.9K 235.2M -3.7M 0.62 8.09 N/A N/A 40,246 25,025 403,406 241,978 2007-10-26 $41.02 $45.00 45.7% 13.1% 71.1% 37.6% 46.8% -1.0% 1.2% 840.7K 152.3M -4.0M 0.39 9.37 N/A N/A 21,425 8,290 420,254 246,277 2007-10-29 $43.01 $45.00 44.8% 12.8% 74.4% 35.8% 45.4% 0.5% 1.5% 2.5M 39.3M -4.2M 0.36 7.49 N/A N/A 28,223 10,030 422,710 247,847 2007-10-30 $43.76 $45.00 44.3% 12.7% 75.0% 35.0% 45.2% 0.6% 0.7% 3.7M -22.3M -4.4M 0.68 9.09 N/A N/A 18,893 12,894 429,031 252,161 2007-10-31 $44.40 $45.00 39.5% 11.3% 75.2% 26.6% 41.0% 0.1% 3.6% 4.7M -59.2M -4.4M 0.44 9.72 N/A N/A 21,910 9,740 429,789 250,355
« Sep 2007 | All History | Nov 2007 » Home SNDK History October 2007