SNDK Options History — December 2007

In December 2007, SNDK traded between $33.17 and $39.36. ATM implied volatility averaged 40.0%, placing in the 27.5% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 2.2% (HV 20d: 37.9%). Max pain ranged from $37.50 to $42.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.56.

Notable Days

2007-12-21: Highest Volume — 43,569 contracts
2007-12-17: Largest IV spike — 9.8% change
2007-12-17: Highest IV Rank — 35.5%
2007-12-17: Largest Expected Move — 12.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.48	$33.17	$39.36	$37.91	$33.17
Max Pain	$39.88	$37.50	$42.50	$37.50	$40.00
ATM IV	40.0%	36.2%	44.5%	40.6%	43.0%
Expected Move	11.6%	11.0%	12.8%	11.6%	12.3%
HV 20d	37.9%	31.1%	43.5%	43.2%	31.3%
HV 60d	53.0%	52.3%	54.1%	53.8%	52.3%
IV Rank	27.5%	20.9%	35.5%	28.6%	32.7%
IV Percentile	53.1%	38.6%	69.3%	55.0%	63.2%
Term Structure	6.2%	1.9%	10.1%	2.9%	9.7%
VWIV	40.8%	38.5%	44.9%	40.7%	44.9%
Skew 25d	2.2%	-1.6%	4.0%	2.7%	-1.6%
Skew 10d	3.2%	-7.4%	7.9%	4.7%	-7.4%
Call IV 25d	40.7%	38.6%	45.7%	39.8%	45.7%
Put IV 25d	42.9%	40.3%	46.0%	42.5%	44.0%
Bid-Ask Spread %	5.56	3.91	8.27	8.10	6.02
Gamma HHI	0.16	0.09	0.28	0.09	0.13
Net GEX	3.4M	807.3K	7.9M	2.3M	807.3K
Net DEX	138.2M	-34.2M	236.8M	112.8M	236.8M
Net VEX	-2.8M	-3.3M	-2.1M	-3.1M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.19	1.46	0.37	1.46
Total Volume	24,609.6	13,071	43,569	15,161	29,219
Total OI	624,148.45	573,964	663,886	602,153	587,359

Daily Data (20 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
2007-12-03	$37.91	$37.50	40.6%	11.6%	43.2%	28.6%	40.7%	2.7%	2.9%	2.3M	112.8M	-3.1M	0.37	8.10	N/A	N/A	11,041	4,120	391,497	210,656
2007-12-04	$36.97	$37.50	38.9%	11.2%	39.9%	25.6%	39.8%	3.9%	3.7%	1.3M	183.8M	-2.8M	0.57	6.31	N/A	N/A	19,300	10,977	395,273	209,175
2007-12-05	$37.95	$37.50	39.0%	11.2%	41.3%	25.8%	39.0%	1.1%	1.9%	3.5M	81.9M	-3.1M	0.43	7.66	N/A	N/A	19,595	8,334	402,484	205,471
2007-12-06	$39.36	$37.50	38.2%	11.0%	43.5%	24.4%	38.5%	1.3%	3.0%	6.3M	-34.2M	-3.3M	0.21	8.27	N/A	N/A	32,975	7,074	411,475	208,367
2007-12-07	$38.65	$42.50	38.3%	11.7%	41.5%	24.4%	40.4%	3.9%	6.4%	6.5M	23.4M	-3.2M	0.38	4.90	N/A	N/A	13,391	5,068	420,370	209,810
2007-12-10	$39.08	$42.50	36.2%	11.5%	41.7%	20.9%	40.5%	2.9%	5.7%	7.9M	-11.2M	-3.2M	0.22	7.38	N/A	N/A	18,202	4,045	424,097	209,082
2007-12-11	$38.13	$42.50	37.8%	11.2%	40.6%	23.7%	39.2%	1.9%	7.3%	6.4M	61.5M	-3.0M	0.36	7.20	N/A	N/A	18,108	6,441	424,575	210,274
2007-12-12	$38.40	$40.00	36.8%	11.3%	37.9%	21.9%	39.8%	1.5%	7.1%	7.6M	37.3M	-3.1M	0.77	5.59	N/A	N/A	12,895	9,988	431,084	210,996
2007-12-13	$37.44	$40.00	40.4%	11.6%	37.6%	28.2%	40.7%	2.1%	6.7%	5.6M	113.7M	-2.9M	0.44	4.79	N/A	N/A	14,195	6,208	432,706	212,701
2007-12-14	$36.34	$40.00	40.6%	11.6%	38.3%	28.5%	41.0%	1.3%	6.4%	3.6M	188.4M	-2.7M	0.34	5.05	N/A	N/A	24,483	8,303	437,737	214,650
2007-12-17	$35.84	$40.00	44.5%	12.8%	38.6%	35.5%	44.0%	2.4%	4.1%	2.5M	202.4M	-2.7M	0.19	4.14	N/A	N/A	24,595	4,620	446,427	216,410
2007-12-18	$35.35	$40.00	43.0%	12.3%	37.2%	32.8%	43.5%	2.1%	4.7%	1.7M	211.9M	-2.6M	0.39	4.17	N/A	N/A	16,306	6,406	453,035	210,276
2007-12-19	$35.30	$40.00	41.4%	11.9%	37.1%	29.9%	42.0%	1.6%	5.0%	1.4M	208.2M	-2.5M	0.31	3.99	N/A	N/A	12,321	3,847	452,943	206,122
2007-12-20	$36.09	$40.00	41.9%	12.0%	37.9%	30.8%	41.6%	3.1%	4.2%	3.5M	148.7M	-2.6M	0.45	5.01	N/A	N/A	14,766	6,621	458,074	203,949
2007-12-21	$35.67	$40.00	39.0%	11.2%	38.1%	25.7%	38.9%	3.3%	7.1%	1.1M	178.6M	-2.5M	0.70	4.83	N/A	N/A	25,649	17,920	461,306	202,580
2007-12-24	$35.36	$40.00	38.8%	11.1%	37.3%	25.4%	39.0%	4.0%	10.1%	1.9M	185.7M	-2.5M	0.81	5.31	N/A	N/A	7,239	5,832	386,884	187,506
2007-12-26	$35.10	$40.00	39.6%	11.4%	31.1%	26.8%	40.4%	3.5%	9.6%	1.9M	181.6M	-2.4M	1.21	3.91	N/A	N/A	10,075	12,157	388,318	185,646
2007-12-27	$33.85	$40.00	41.0%	11.8%	31.5%	29.2%	40.2%	1.3%	8.4%	1.2M	219.9M	-2.3M	0.91	4.09	N/A	N/A	13,493	12,282	391,910	186,724
2007-12-28	$33.54	$40.00	41.5%	11.9%	31.5%	30.2%	42.1%	1.0%	10.1%	992.1K	233.2M	-2.2M	0.62	4.50	N/A	N/A	8,726	5,375	397,199	187,821
2007-12-31	$33.17	$40.00	43.0%	12.3%	31.3%	32.7%	44.9%	-1.6%	9.7%	807.3K	236.8M	-2.1M	1.46	6.02	N/A	N/A	11,869	17,350	399,939	187,420