SNDK Options History — November 2007 In November 2007, SNDK traded between $35.25 and $44.43. ATM implied volatility averaged 45.2%, placing in the 36.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 15.1% (HV 20d: 60.3%). Max pain ranged from $37.50 to $45.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.82.
Notable Days 2007-11-27 : Highest Volume — 58,096 contracts2007-11-05 : Largest IV spike — 18.5% change2007-11-12 : Highest IV Rank — 55.8%2007-11-12 : Largest Expected Move — 14.9%Monthly Statistics Metric Avg Min Max Open Close Price $38.59 $35.25 $44.43 $43.89 $37.44 Max Pain $41.07 $37.50 $45.00 $45.00 $37.50 ATM IV 45.2% 37.4% 56.1% 42.3% 37.4% Expected Move 12.9% 10.7% 14.9% 12.1% 10.7% HV 20d 60.3% 41.8% 76.7% 75.1% 43.2% HV 60d 54.9% 54.1% 55.6% 54.8% 54.5% IV Rank 36.6% 22.9% 55.8% 31.6% 22.9% IV Percentile 70.3% 44.8% 89.4% 62.4% 44.8% Term Structure 3.8% 1.3% 5.7% 1.3% 5.7% VWIV 44.7% 37.6% 50.9% 42.3% 37.6% Skew 25d 3.6% 1.6% 5.3% 1.6% 3.8% Skew 10d 5.9% -0.3% 10.4% -0.3% 7.0% Call IV 25d 43.6% 36.7% 50.3% 42.0% 36.9% Put IV 25d 47.2% 40.3% 54.5% 43.6% 40.7% Bid-Ask Spread % 9.44 6.69 13.88 9.74 8.94 Gamma HHI 0.13 0.09 0.24 0.12 0.10 Net GEX 311.0K -4.2M 5.6M 3.8M 1.8M Net DEX 189.5M -64.5M 317.0M -24.6M 146.8M Net VEX -3.4M -4.4M -2.8M -4.3M -3.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.28 3.02 0.41 0.57 Total Volume 31,737.714 6,325 58,096 38,641 14,604 Total OI 650,911.524 557,246 713,112 685,487 600,840
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 2007-11-01 $43.89 $45.00 42.3% 12.1% 75.1% 31.6% 42.3% 1.6% 1.3% 3.8M -24.6M -4.3M 0.41 9.74 N/A N/A 27,389 11,252 432,930 252,557 2007-11-02 $44.43 $45.00 37.9% 10.9% 75.4% 23.8% 39.1% 2.0% 5.5% 5.6M -64.5M -4.4M 0.69 9.34 N/A N/A 19,092 13,228 442,356 254,182 2007-11-05 $41.99 $42.50 44.9% 13.0% 76.7% 36.1% 45.1% 5.0% 3.1% 1.9M 118.5M -4.1M 0.33 10.99 N/A N/A 36,470 12,030 445,643 254,902 2007-11-06 $41.36 $42.50 44.3% 12.8% 76.3% 35.1% 45.0% 4.5% 2.5% 1.5M 149.8M -3.9M 3.02 11.74 N/A N/A 11,523 34,776 451,702 253,731 2007-11-07 $40.67 $42.50 48.6% 13.5% 76.0% 42.6% 46.6% 3.1% 2.4% 632.9K 166.5M -3.8M 1.08 13.88 N/A N/A 10,272 11,094 453,146 248,695 2007-11-08 $39.05 $42.50 50.9% 14.1% 74.7% 46.7% 49.4% 3.9% 4.0% -852.3K 250.2M -3.6M 0.84 12.22 N/A N/A 30,356 25,478 455,510 250,959 2007-11-09 $38.95 $42.50 50.2% 14.3% 74.5% 45.4% 49.9% 4.3% 4.0% -478.4K 239.8M -3.7M 0.79 6.69 N/A N/A 12,042 9,537 459,959 253,084 2007-11-12 $37.60 $42.50 56.1% 14.9% 74.2% 55.8% 50.9% 4.2% 1.4% -1.3M 317.0M -3.3M 0.66 7.41 N/A N/A 18,298 11,987 461,655 249,402 2007-11-13 $39.16 $42.50 46.5% 13.2% 76.3% 39.0% 45.3% 5.3% 4.4% -644.3K 244.0M -3.4M 1.00 8.63 N/A N/A 23,127 23,148 464,925 243,543 2007-11-14 $38.04 $42.50 45.0% 13.3% 74.0% 36.4% 46.1% 2.0% 3.5% -1.3M 272.5M -3.4M 0.43 10.32 N/A N/A 19,014 8,110 471,519 239,990 2007-11-15 $37.27 $40.00 46.8% 13.4% 72.7% 39.5% 46.7% 3.3% 3.6% -2.0M 298.2M -3.2M 0.83 10.08 N/A N/A 9,840 8,191 474,786 238,326 2007-11-16 $37.36 $40.00 45.0% 12.9% 46.9% 36.3% 44.8% 4.7% 4.7% -4.2M 285.0M -3.2M 0.67 9.15 N/A N/A 14,144 9,437 474,039 233,732 2007-11-19 $36.19 $40.00 47.6% 13.6% 45.4% 40.8% 46.7% 2.9% 3.5% -798.0K 257.0M -3.0M 1.03 8.71 N/A N/A 20,737 21,336 343,902 213,344 2007-11-20 $35.89 $40.00 45.6% 13.1% 45.3% 37.3% 44.8% 5.2% 3.8% -842.8K 265.2M -2.9M 1.38 7.02 N/A N/A 16,052 22,207 351,890 214,585 2007-11-21 $36.19 $40.00 46.5% 13.3% 44.4% 38.9% 45.8% 3.4% 4.7% -252.7K 206.5M -3.0M 1.08 7.78 N/A N/A 12,163 13,088 356,881 208,072 2007-11-23 $36.11 $40.00 46.9% 13.5% 42.6% 39.7% 46.1% 3.5% 3.5% -373.3K 215.8M -3.0M 0.42 9.73 N/A N/A 4,451 1,874 361,264 210,846 2007-11-26 $35.25 $40.00 47.3% 13.6% 41.8% 40.3% 47.6% 2.8% 4.8% -629.2K 243.7M -2.8M 0.28 10.64 N/A N/A 12,391 3,410 362,670 210,661 2007-11-27 $37.25 $40.00 41.5% 11.9% 43.2% 30.2% 42.3% 2.2% 5.1% 323.6K 176.6M -3.0M 0.48 7.29 N/A N/A 39,253 18,843 367,547 209,886 2007-11-28 $38.16 $37.50 39.0% 11.2% 43.8% 25.7% 38.8% 3.1% 4.4% 2.2M 110.6M -3.2M 0.55 8.85 N/A N/A 27,396 15,096 385,298 209,042 2007-11-29 $38.10 $37.50 38.5% 11.0% 43.1% 24.9% 38.2% 4.6% 4.3% 2.6M 105.7M -3.2M 0.59 9.13 N/A N/A 8,655 5,101 390,579 210,562 2007-11-30 $37.44 $37.50 37.4% 10.7% 43.2% 22.9% 37.6% 3.8% 5.7% 1.8M 146.8M -3.0M 0.57 8.94 N/A N/A 9,300 5,304 389,867 210,973
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