SNDK Options History — May 2008 In May 2008, SNDK traded between $27.86 and $33.10. ATM implied volatility averaged 44.8%, placing in the 29.4% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 7.6% (HV 20d: 52.3%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.67.
Notable Days 2008-05-20 : Highest Volume — 47,291 contracts2008-05-15 : Largest IV drop — 12.1% change2008-05-21 : Highest IV Rank — 35.3%2008-05-21 : Largest Expected Move — 14.1%Monthly Statistics Metric Avg Min Max Open Close Price $29.50 $27.86 $33.10 $29.03 $28.31 Max Pain $28.45 $25.00 $30.00 $25.00 $30.00 ATM IV 44.8% 40.9% 49.3% 42.7% 43.1% Expected Move 12.9% 11.7% 14.1% 12.2% 12.4% HV 20d 52.3% 43.7% 60.0% 60.0% 43.7% HV 60d 57.9% 56.1% 60.2% 58.0% 57.9% IV Rank 29.4% 24.1% 35.3% 26.7% 26.3% IV Percentile 45.9% 32.5% 63.9% 39.3% 36.1% Term Structure 3.5% 1.1% 7.8% 1.1% 7.8% VWIV 45.6% 42.0% 49.7% 44.4% 43.5% Skew 25d 2.7% 0.9% 3.8% 2.5% 1.5% Skew 10d 7.1% 3.0% 9.3% 8.0% 3.0% Call IV 25d 44.8% 41.6% 49.9% 43.1% 43.6% Put IV 25d 47.4% 43.6% 51.1% 45.6% 45.1% Bid-Ask Spread % 4.39 2.67 5.89 4.68 3.17 Gamma HHI 0.19 0.09 0.61 0.16 0.15 Net GEX 3.9M 1.2M 16.1M 3.7M 2.2M Net DEX -124.1M -341.1M -14.0M -131.3M -38.1M Net VEX -2.3M -2.5M -1.3M -2.3M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.17 1.41 0.45 0.77 Total Volume 25,388.381 6,558 47,291 30,792 10,205 Total OI 457,912.429 301,933 490,259 448,972 476,244
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 2008-05-01 $29.03 $25.00 42.7% 12.2% 60.0% 26.7% 44.4% 2.5% 1.1% 3.7M -131.3M -2.3M 0.45 4.68 N/A N/A 21,194 9,598 258,001 190,971 2008-05-02 $29.19 $25.00 40.9% 11.7% 59.1% 24.1% 42.0% 0.9% 2.1% 3.8M -136.5M -2.3M 0.46 5.89 N/A N/A 10,411 4,737 260,853 191,847 2008-05-05 $29.78 $27.50 44.9% 13.0% 58.9% 30.0% 46.2% 3.8% 2.5% 4.3M -167.5M -2.3M 1.25 5.07 N/A N/A 12,912 16,107 262,286 191,394 2008-05-06 $29.74 $27.50 44.3% 12.7% 58.9% 29.0% 44.8% 3.8% 2.9% 4.3M -163.4M -2.3M 0.35 3.59 N/A N/A 12,263 4,316 264,006 194,934 2008-05-07 $29.28 $27.50 43.7% 12.9% 55.7% 28.2% 45.5% 3.5% 3.1% 3.9M -137.3M -2.3M 1.33 4.51 N/A N/A 11,475 15,227 264,851 196,610 2008-05-08 $29.20 $27.50 41.3% 12.6% 55.1% 24.6% 45.2% 3.1% 3.5% 4.2M -136.0M -2.3M 1.32 4.27 N/A N/A 4,171 5,488 266,881 194,462 2008-05-09 $29.18 $27.50 42.4% 12.8% 54.8% 26.2% 46.1% 3.1% 3.3% 4.1M -133.2M -2.3M 0.40 4.92 N/A N/A 7,145 2,892 267,242 197,439 2008-05-12 $29.27 $27.50 44.6% 12.5% 52.2% 29.5% 44.4% 2.4% 4.2% 4.2M -117.6M -1.3M 0.22 4.16 N/A N/A 5,384 1,174 159,611 142,322 2008-05-13 $30.59 $27.50 44.4% 12.7% 52.5% 29.3% 45.4% 3.4% 3.8% 5.6M -213.8M -2.3M 0.36 4.41 N/A N/A 30,639 11,074 270,542 196,720 2008-05-14 $31.42 $27.50 47.6% 12.3% 47.5% 33.8% 45.0% 3.1% 3.0% 5.6M -265.6M -2.4M 0.46 4.06 N/A N/A 25,261 11,600 276,180 200,092 2008-05-15 $33.10 $27.50 41.8% 12.0% 47.6% 25.4% 43.2% 2.8% 4.2% 5.6M -341.1M -2.5M 0.98 4.61 N/A N/A 21,523 21,132 276,503 203,089 2008-05-16 $32.44 $30.00 42.5% 12.2% 46.0% 26.4% 44.2% 3.5% 3.9% 16.1M -290.8M -2.5M 0.81 4.31 N/A N/A 25,990 21,121 277,463 212,796 2008-05-19 $30.02 $30.00 45.8% 13.1% 53.6% 31.3% 46.0% 2.2% 3.4% 1.3M -86.0M -2.4M 0.78 4.73 N/A N/A 22,840 17,928 243,669 193,611 2008-05-20 $29.01 $30.00 46.8% 13.4% 51.8% 32.7% 47.0% 2.7% 2.3% 1.2M -47.0M -2.4M 0.67 5.15 N/A N/A 28,307 18,984 251,785 196,836 2008-05-21 $28.98 $30.00 49.3% 14.1% 51.0% 35.3% 49.7% 0.9% 1.4% 1.6M -58.9M -2.4M 0.34 5.10 N/A N/A 16,414 5,615 258,871 199,524 2008-05-22 $28.75 $30.00 48.7% 14.0% 51.1% 34.4% 49.1% 2.5% 2.9% 2.1M -55.3M -2.4M 0.94 4.39 N/A N/A 4,272 4,021 268,486 200,843 2008-05-23 $28.26 $30.00 49.0% 14.0% 49.8% 34.9% 49.2% 2.1% 2.9% 1.7M -29.3M -2.4M 0.24 5.06 N/A N/A 22,497 5,470 268,629 201,568 2008-05-27 $28.03 $30.00 46.0% 13.2% 49.9% 30.4% 45.3% 3.7% 3.6% 2.2M -16.3M -2.3M 0.17 4.18 N/A N/A 24,395 4,250 276,582 202,164 2008-05-28 $28.10 $30.00 45.9% 13.2% 49.9% 30.3% 45.6% 2.6% 6.2% 2.4M -26.6M -2.3M 1.41 2.67 N/A N/A 9,376 13,189 280,972 202,820 2008-05-29 $27.86 $30.00 45.0% 12.9% 50.1% 29.0% 45.6% 1.8% 6.5% 2.0M -14.0M -2.2M 0.33 3.28 N/A N/A 9,438 3,121 276,172 200,290 2008-05-30 $28.31 $30.00 43.1% 12.4% 43.7% 26.3% 43.5% 1.5% 7.8% 2.2M -38.1M -2.3M 0.77 3.17 N/A N/A 5,781 4,424 275,632 200,612
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