SNDK Options History — June 2008 In June 2008, SNDK traded between $18.70 and $28.85. ATM implied volatility averaged 53.8%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 4.3% (HV 20d: 49.4%). Max pain ranged from $25.00 to $30.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.54.
Notable Days 2008-06-20 : Highest Volume — 89,133 contracts2008-06-30 : Largest IV spike — 10.3% change2008-06-30 : Highest IV Rank — 51.9%2008-06-30 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $23.85 $18.70 $28.85 $27.34 $18.70 Max Pain $27.26 $25.00 $30.00 $30.00 $25.00 ATM IV 53.8% 46.3% 62.8% 47.6% 62.8% Expected Move 15.4% 13.3% 18.0% 13.6% 18.0% HV 20d 49.4% 39.6% 54.5% 45.2% 53.2% HV 60d 57.9% 54.4% 60.1% 58.2% 54.5% IV Rank 40.8% 30.9% 51.9% 32.8% 51.9% IV Percentile 73.2% 48.8% 89.3% 56.7% 89.3% Term Structure 4.3% 0.9% 8.4% 5.1% 5.3% VWIV 54.6% 45.4% 63.2% 48.3% 63.2% Skew 25d 1.7% -0.2% 2.9% 1.4% 0.3% Skew 10d 2.9% -7.7% 9.3% 3.4% 2.1% Call IV 25d 54.8% 45.3% 64.6% 48.4% 64.6% Put IV 25d 56.5% 48.2% 64.9% 49.8% 64.9% Bid-Ask Spread % 3.91 2.52 5.73 3.05 2.89 Gamma HHI 0.12 0.10 0.15 0.14 0.12 Net GEX 721.7K -182.1K 2.7M 1.5M -182.1K Net DEX 85.4M -71.4M 166.1M 5.4M 166.1M Net VEX -1.8M -2.3M -1.2M -2.1M -1.2M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.18 1.07 0.80 0.51 Total Volume 26,638.762 10,603 89,133 17,685 20,159 Total OI 513,994.048 477,210 546,692 477,210 545,085
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 2008-06-02 $27.34 $30.00 47.6% 13.6% 45.2% 32.8% 48.3% 1.4% 5.1% 1.5M 5.4M -2.1M 0.80 3.05 N/A N/A 9,833 7,852 275,731 201,479 2008-06-03 $28.85 $30.00 46.9% 13.5% 48.9% 31.9% 48.0% 2.3% 5.8% 2.7M -71.4M -2.3M 0.68 3.98 N/A N/A 11,049 7,475 276,984 200,551 2008-06-04 $28.25 $30.00 47.5% 13.6% 49.4% 32.7% 47.4% 2.5% 8.4% 2.4M -43.1M -2.3M 0.58 4.04 N/A N/A 22,772 13,232 278,282 200,365 2008-06-05 $28.71 $30.00 46.3% 13.3% 49.6% 30.9% 45.4% 2.9% 1.1% 2.7M -60.2M -2.3M 1.07 4.70 N/A N/A 12,882 13,760 282,649 205,262 2008-06-06 $27.60 $27.50 48.5% 14.3% 51.4% 34.2% 50.2% 2.2% 4.2% 1.9M -9.9M -2.2M 0.79 5.73 N/A N/A 12,400 9,847 288,165 210,404 2008-06-09 $26.52 $27.50 51.6% 14.6% 53.1% 38.8% 52.1% 2.8% 4.0% 843.7K 44.8M -2.1M 0.27 4.51 N/A N/A 30,236 8,250 287,539 209,664 2008-06-10 $25.50 $27.50 51.5% 14.7% 54.3% 38.6% 51.8% 2.1% 4.5% 472.0K 84.5M -2.0M 0.70 5.72 N/A N/A 9,877 6,928 295,421 210,443 2008-06-11 $24.48 $27.50 51.8% 15.1% 52.1% 39.0% 53.4% 2.2% 3.6% 54.9K 111.4M -1.8M 0.92 5.09 N/A N/A 18,078 16,652 297,947 209,329 2008-06-12 $23.68 $27.50 55.1% 15.8% 50.6% 44.0% 55.6% 1.6% 2.8% -137.7K 134.2M -1.8M 0.51 4.29 N/A N/A 14,477 7,355 302,976 209,904 2008-06-13 $24.02 $27.50 54.8% 15.7% 45.6% 42.4% 55.6% 1.3% 1.0% 32.3K 117.2M -1.8M 0.18 5.04 N/A N/A 23,643 4,282 304,595 208,869 2008-06-16 $24.13 $27.50 54.7% 15.7% 46.1% 42.3% 55.3% 1.7% 1.0% 714.1K 102.9M -1.8M 0.40 2.75 N/A N/A 7,631 3,025 317,320 209,251 2008-06-17 $23.71 $27.50 52.9% 15.2% 39.8% 39.6% 53.2% 1.5% 3.6% 418.8K 121.2M -1.7M 0.30 4.41 N/A N/A 13,081 3,954 317,968 208,411 2008-06-18 $22.98 $27.50 53.9% 15.5% 39.6% 41.1% 54.8% 1.2% 2.7% 190.0K 127.5M -1.7M 0.67 3.22 N/A N/A 6,365 4,238 325,361 205,796 2008-06-19 $23.44 $27.50 54.4% 15.6% 41.0% 41.6% 55.5% 2.9% 1.9% 301.1K 124.8M -1.7M 0.39 5.18 N/A N/A 28,709 11,185 326,605 205,905 2008-06-20 $21.16 $27.50 59.1% 17.0% 52.3% 48.0% 59.8% 1.8% 0.9% -73.3K 163.7M -1.5M 0.40 3.47 N/A N/A 63,514 25,619 340,465 206,227 2008-06-23 $20.78 $25.00 58.8% 16.8% 52.3% 47.4% 59.9% 0.3% 4.9% 199.9K 133.2M -1.5M 0.31 3.03 N/A N/A 29,284 8,982 312,868 195,115 2008-06-24 $20.85 $25.00 58.6% 16.8% 52.7% 47.2% 59.0% 0.8% 6.5% 578.3K 120.6M -1.5M 0.70 2.52 N/A N/A 12,179 8,548 329,605 194,849 2008-06-25 $20.99 $25.00 55.9% 16.0% 52.9% 42.8% 57.4% 1.4% 7.4% 569.7K 121.1M -1.5M 0.37 2.63 N/A N/A 9,560 3,582 333,181 196,964 2008-06-26 $19.93 $25.00 59.6% 17.1% 54.5% 47.5% 60.5% 1.7% 6.2% 221.4K 141.5M -1.4M 0.39 2.78 N/A N/A 15,376 5,996 334,496 198,674 2008-06-27 $19.23 $25.00 56.9% 16.3% 53.4% 42.8% 59.7% -0.2% 8.4% -80.8K 158.4M -1.3M 0.42 3.10 N/A N/A 12,361 5,186 334,496 198,674 2008-06-30 $18.70 $25.00 62.8% 18.0% 53.2% 51.9% 63.2% 0.3% 5.3% -182.1K 166.1M -1.2M 0.51 2.89 N/A N/A 13,332 6,827 344,909 200,176
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