SNDK Options History — March 2008 In March 2008, SNDK traded between $20.55 and $23.05. ATM implied volatility averaged 53.8%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 8.0% (HV 20d: 45.7%). Max pain ranged from $25.00 to $27.50. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.78.
Notable Days 2008-03-06 : Highest Volume — 27,689 contracts2008-03-24 : Largest IV drop — 13.0% change2008-03-20 : Highest IV Rank — 53.6%2008-03-20 : Largest Expected Move — 17.5%Monthly Statistics Metric Avg Min Max Open Close Price $21.90 $20.55 $23.05 $23.05 $22.57 Max Pain $25.50 $25.00 $27.50 $25.00 $25.00 ATM IV 53.8% 48.4% 61.2% 50.8% 54.7% Expected Move 15.7% 13.9% 17.5% 14.6% 15.7% HV 20d 45.7% 38.0% 56.7% 40.1% 56.7% HV 60d 47.2% 43.6% 53.0% 45.3% 53.0% IV Rank 42.9% 35.0% 53.6% 38.6% 44.3% IV Percentile 82.4% 73.0% 91.3% 79.4% 84.5% Term Structure 2.5% -2.6% 6.7% 4.7% 4.8% VWIV 55.6% 49.6% 61.9% 50.7% 55.6% Skew 25d 1.8% -2.9% 5.1% 2.5% 4.6% Skew 10d 0.5% -16.5% 6.8% -0.7% 6.8% Call IV 25d 55.9% 50.1% 61.9% 50.4% 54.4% Put IV 25d 57.7% 51.7% 63.9% 52.9% 59.0% Bid-Ask Spread % 6.66 2.42 10.65 7.76 2.81 Gamma HHI 0.13 0.09 0.16 0.13 0.14 Net GEX 286.5K -271.1K 1.1M 427.8K 1.1M Net DEX 116.4M 61.0M 158.5M 126.8M 61.0M Net VEX -1.4M -1.6M -1.3M -1.5M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.78 0.24 1.38 0.72 1.29 Total Volume 18,520.85 8,040 27,689 23,743 19,916 Total OI 494,208.1 461,232 529,597 473,091 482,241
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 2008-03-03 $23.05 $25.00 50.8% 14.6% 40.1% 38.6% 50.7% 2.5% 4.7% 427.8K 126.8M -1.5M 0.72 7.76 N/A N/A 13,831 9,912 314,804 158,287 2008-03-04 $22.89 $25.00 50.8% 14.6% 40.0% 38.6% 51.5% 5.1% 6.1% 286.9K 123.7M -1.6M 1.38 8.24 N/A N/A 9,583 13,233 321,352 159,521 2008-03-05 $22.43 $25.00 48.4% 13.9% 40.1% 35.1% 49.6% 1.6% 6.7% 102.2K 132.1M -1.5M 0.52 7.06 N/A N/A 16,336 8,571 322,904 161,252 2008-03-06 $21.99 $25.00 50.8% 14.6% 39.0% 38.5% 56.3% -2.9% 4.7% -2.6K 141.5M -1.4M 0.37 6.63 N/A N/A 20,246 7,443 324,981 163,879 2008-03-07 $21.41 $27.50 48.4% 15.6% 38.3% 35.0% 55.2% 2.6% -0.5% -36.7K 157.5M -1.3M 1.15 8.40 N/A N/A 10,542 12,119 334,794 164,400 2008-03-10 $21.14 $27.50 54.3% 16.6% 38.0% 43.6% 57.5% 2.1% -0.8% -271.1K 158.5M -1.3M 1.01 8.12 N/A N/A 7,272 7,336 337,053 164,809 2008-03-11 $21.79 $27.50 48.8% 15.3% 40.8% 35.6% 54.6% 1.1% 0.1% -179.2K 144.5M -1.4M 0.94 6.51 N/A N/A 6,015 5,668 335,665 165,973 2008-03-12 $22.52 $27.50 49.6% 15.7% 43.3% 36.8% 56.3% -0.2% 0.2% 315.0K 115.3M -1.5M 0.24 5.31 N/A N/A 17,254 4,071 337,372 164,055 2008-03-13 $23.00 $25.00 55.8% 16.0% 40.2% 45.8% 56.1% -0.3% -0.4% 838.7K 87.2M -1.6M 1.19 9.97 N/A N/A 5,390 6,432 342,671 161,296 2008-03-14 $22.15 $25.00 57.6% 16.5% 40.1% 48.4% 58.9% -0.6% -0.0% 353.7K 107.7M -1.5M 0.88 6.85 N/A N/A 11,969 10,536 343,102 164,604 2008-03-17 $21.60 $25.00 60.7% 17.4% 40.0% 52.9% 61.9% 1.1% -2.6% 44.0K 125.9M -1.5M 0.42 6.64 N/A N/A 8,623 3,626 350,722 170,692 2008-03-18 $22.59 $25.00 55.8% 16.0% 44.1% 45.9% 56.7% 3.5% 0.6% 612.3K 106.1M -1.5M 0.63 5.51 N/A N/A 14,246 9,028 349,485 169,704 2008-03-19 $20.76 $25.00 60.1% 17.2% 51.7% 52.2% 60.5% 1.2% -0.1% -160.8K 137.2M -1.4M 1.16 10.65 N/A N/A 9,416 10,956 357,187 169,686 2008-03-20 $20.55 $25.00 61.2% 17.5% 50.9% 53.6% 60.7% 2.1% 0.8% -214.9K 134.3M -1.4M 1.06 8.86 N/A N/A 9,436 10,001 359,066 170,531 2008-03-24 $21.77 $25.00 53.2% 15.3% 56.6% 42.1% 54.6% 3.0% 5.2% 306.5K 97.7M -1.4M 0.43 4.96 N/A N/A 16,187 6,909 307,430 153,802 2008-03-25 $21.76 $25.00 51.5% 14.8% 55.2% 39.5% 52.6% 2.6% 6.2% 417.4K 93.4M -1.5M 0.40 5.56 N/A N/A 11,164 4,428 312,702 156,639 2008-03-26 $21.17 $25.00 56.5% 16.2% 53.1% 46.8% 54.2% 3.8% 3.4% 516.3K 98.0M -1.4M 0.35 5.27 N/A N/A 11,525 4,067 318,907 155,644 2008-03-27 $21.62 $25.00 53.3% 15.3% 53.6% 42.2% 54.6% 1.4% 5.4% 686.8K 84.5M -1.5M 0.39 5.61 N/A N/A 6,539 2,551 321,546 155,661 2008-03-28 $21.26 $25.00 53.0% 15.2% 52.6% 41.8% 54.0% 2.0% 5.9% 609.7K 95.4M -1.4M 1.00 2.42 N/A N/A 4,022 4,018 323,107 156,636 2008-03-31 $22.57 $25.00 54.7% 15.7% 56.7% 44.3% 55.6% 4.6% 4.8% 1.1M 61.0M -1.6M 1.29 2.81 N/A N/A 8,712 11,204 324,969 157,272
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