SNDK Options History — February 2008

In February 2008, SNDK traded between $23.55 and $27.55. ATM implied volatility averaged 50.6%, placing in the 38.3% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 2.9% (HV 20d: 53.5%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2008-02-01: Highest Volume — 36,077 contracts
2008-02-14: Largest IV spike — 27.1% change
2008-02-06: Highest IV Rank — 52.6%
2008-02-06: Largest Expected Move — 16.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$25.92	$23.55	$27.55	$27.55	$23.55
Max Pain	$25.25	$25.00	$27.50	$27.50	$25.00
ATM IV	50.6%	42.4%	60.4%	49.3%	48.3%
Expected Move	14.7%	12.5%	16.5%	14.1%	13.8%
HV 20d	53.5%	44.3%	61.6%	61.6%	50.5%
HV 60d	45.0%	43.7%	45.5%	45.2%	45.3%
IV Rank	38.3%	26.3%	52.6%	36.4%	34.8%
IV Percentile	78.2%	55.6%	91.3%	81.3%	74.6%
Term Structure	2.6%	-0.7%	5.8%	-0.1%	5.8%
VWIV	51.4%	44.3%	56.5%	50.4%	48.6%
Skew 25d	3.9%	-0.9%	6.6%	4.0%	-0.2%
Skew 10d	7.5%	-1.9%	12.5%	8.5%	-1.9%
Call IV 25d	50.5%	43.5%	55.2%	49.3%	49.4%
Put IV 25d	54.3%	46.6%	60.2%	53.3%	49.2%
Bid-Ask Spread %	8.75	4.76	13.08	5.72	7.36
Gamma HHI	0.16	0.12	0.23	0.23	0.14
Net GEX	1.9M	637.0K	3.4M	3.4M	637.0K
Net DEX	70.0M	26.4M	115.6M	38.0M	115.6M
Net VEX	-1.8M	-2.0M	-1.6M	-2.0M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.26	1.27	0.38	0.55
Total Volume	18,655.45	8,659	36,077	36,077	22,314
Total OI	484,201.8	427,197	530,000	483,083	465,334

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
2008-02-01	$27.55	$27.50	49.3%	14.1%	61.6%	36.4%	50.4%	4.0%	-0.1%	3.4M	38.0M	-2.0M	0.38	5.72	N/A	N/A	26,190	9,887	328,119	154,964
2008-02-04	$27.08	$27.50	53.2%	15.0%	58.7%	42.0%	52.9%	5.8%	0.4%	2.8M	56.1M	-2.0M	0.26	9.06	N/A	N/A	14,455	3,718	333,148	157,214
2008-02-05	$27.08	$25.00	59.6%	16.2%	58.6%	51.3%	56.4%	5.4%	-0.7%	3.3M	36.2M	-2.0M	0.38	7.49	N/A	N/A	15,203	5,826	340,579	158,436
2008-02-06	$26.11	$25.00	60.4%	16.5%	58.3%	52.6%	56.3%	5.0%	0.3%	2.4M	70.4M	-1.9M	0.49	12.14	N/A	N/A	23,652	11,508	347,059	156,147
2008-02-07	$26.56	$25.00	54.7%	15.8%	58.8%	44.2%	56.1%	6.6%	0.7%	2.6M	55.3M	-2.0M	0.28	11.98	N/A	N/A	13,025	3,608	356,024	161,605
2008-02-08	$26.61	$25.00	51.6%	15.9%	58.4%	39.7%	55.2%	5.7%	0.9%	2.8M	47.5M	-2.0M	0.39	13.08	N/A	N/A	10,736	4,212	359,679	161,108
2008-02-11	$26.47	$25.00	53.6%	15.8%	58.2%	42.7%	55.0%	5.5%	0.9%	2.3M	57.4M	-1.9M	0.47	7.17	N/A	N/A	5,879	2,780	360,197	161,713
2008-02-12	$25.93	$25.00	52.9%	16.3%	52.6%	41.6%	56.5%	4.5%	0.1%	1.7M	77.6M	-1.9M	0.32	8.30	N/A	N/A	12,788	4,046	360,137	161,417
2008-02-13	$27.11	$25.00	42.4%	14.9%	53.6%	26.3%	52.8%	5.3%	2.8%	2.5M	26.4M	-2.0M	0.74	9.68	N/A	N/A	5,461	4,018	362,838	162,282
2008-02-14	$26.06	$25.00	53.9%	15.4%	53.8%	43.0%	53.3%	4.2%	2.5%	1.8M	70.9M	-1.8M	1.27	8.04	N/A	N/A	5,333	6,782	363,930	162,052
2008-02-15	$25.37	$25.00	54.1%	15.5%	54.1%	43.4%	54.3%	3.5%	3.1%	1.3M	90.4M	-1.8M	0.91	6.75	N/A	N/A	14,732	13,388	364,175	165,825
2008-02-19	$25.18	$25.00	50.9%	14.6%	53.8%	38.7%	50.8%	4.0%	3.7%	1.1M	84.4M	-1.8M	0.71	9.78	N/A	N/A	9,592	6,839	286,248	140,949
2008-02-20	$25.49	$25.00	48.4%	13.9%	53.4%	35.1%	48.3%	5.4%	5.0%	1.1M	80.9M	-1.8M	0.67	9.00	N/A	N/A	9,550	6,358	288,677	144,308
2008-02-21	$25.84	$25.00	48.8%	14.0%	49.5%	35.6%	48.9%	2.5%	4.7%	1.2M	70.1M	-1.8M	0.92	10.20	N/A	N/A	12,464	11,416	291,213	148,009
2008-02-22	$25.65	$25.00	49.6%	14.2%	46.0%	36.8%	49.2%	2.4%	4.3%	1.1M	80.6M	-1.8M	0.36	8.85	N/A	N/A	9,384	3,379	295,652	154,107
2008-02-25	$26.31	$25.00	45.7%	13.1%	44.3%	31.1%	46.3%	3.1%	4.9%	1.9M	51.5M	-1.9M	0.26	5.14	N/A	N/A	8,368	2,152	301,112	151,374
2008-02-26	$24.90	$25.00	44.6%	12.8%	48.4%	29.5%	45.6%	2.4%	5.1%	1.2M	100.5M	-1.7M	0.81	12.95	N/A	N/A	15,693	12,781	304,148	152,404
2008-02-27	$25.22	$25.00	43.6%	12.5%	48.0%	28.1%	44.3%	3.1%	5.2%	1.4M	84.1M	-1.7M	0.46	7.50	N/A	N/A	7,980	3,678	307,773	153,610
2008-02-28	$24.32	$25.00	46.9%	13.4%	49.7%	32.9%	47.4%	-0.9%	3.1%	899.4K	105.3M	-1.6M	1.25	4.76	N/A	N/A	6,187	7,747	307,935	152,535
2008-02-29	$23.55	$25.00	48.3%	13.8%	50.5%	34.8%	48.6%	-0.2%	5.8%	637.0K	115.6M	-1.6M	0.55	7.36	N/A	N/A	14,419	7,895	310,992	154,342