SNDK Options History — July 2008 In July 2008, SNDK traded between $13.35 and $18.72. ATM implied volatility averaged 68.2%, placing in the 57.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 8.3% (HV 20d: 76.5%). Max pain ranged from $15.00 to $25.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.37.
Notable Days 2008-07-22 : Highest Volume — 105,865 contracts2008-07-22 : Largest IV drop — 18.4% change2008-07-21 : Highest IV Rank — 83.3%2008-07-21 : Largest Expected Move — 23.8%Monthly Statistics Metric Avg Min Max Open Close Price $16.16 $13.35 $18.72 $17.62 $14.10 Max Pain $18.52 $15.00 $25.00 $25.00 $15.00 ATM IV 68.2% 56.2% 83.2% 62.0% 58.6% Expected Move 19.8% 16.1% 23.8% 17.8% 16.8% HV 20d 76.5% 47.5% 115.5% 47.5% 112.1% HV 60d 62.6% 51.7% 78.4% 55.6% 77.4% IV Rank 57.8% 37.0% 83.3% 49.8% 41.1% IV Percentile 88.5% 72.6% 98.4% 88.5% 75.0% Term Structure -3.8% -15.6% 8.2% 6.7% -3.0% VWIV 70.4% 59.1% 82.4% 65.9% 60.3% Skew 25d 1.8% -3.7% 8.1% 3.2% -3.2% Skew 10d 3.3% -7.2% 16.0% 4.4% -7.2% Call IV 25d 70.6% 60.3% 80.6% 64.7% 63.0% Put IV 25d 72.4% 57.8% 88.7% 68.0% 59.8% Bid-Ask Spread % 3.73 1.82 6.02 2.73 2.52 Gamma HHI 0.11 0.10 0.16 0.10 0.16 Net GEX 883.5K -252.4K 2.1M -252.4K 1.0M Net DEX 106.0M 8.1M 172.5M 172.5M 61.8M Net VEX -1.2M -1.5M -831.5K -1.1M -989.3K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.16 0.62 0.18 0.30 Total Volume 38,260.818 11,324 105,865 105,090 13,223 Total OI 613,992.409 524,392 666,914 546,951 610,770
Daily Data (22 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 2008-07-01 $17.62 $25.00 62.0% 17.8% 47.5% 49.8% 65.9% 3.2% 6.7% -252.4K 172.5M -1.1M 0.18 2.73 N/A N/A 89,331 15,759 350,212 196,739 2008-07-02 $18.72 $25.00 65.4% 18.7% 56.4% 55.2% 66.2% -0.6% 7.3% 685.5K 122.9M -1.4M 0.21 2.51 N/A N/A 82,870 17,006 376,107 200,645 2008-07-03 $18.43 $25.00 61.6% 17.7% 54.7% 46.5% 61.9% 3.4% 8.2% 1.2M 116.8M -1.5M 0.34 3.15 N/A N/A 14,757 4,990 421,131 207,540 2008-07-07 $17.58 $20.00 67.5% 20.7% 55.1% 56.4% 72.6% 3.4% -5.0% 968.2K 137.4M -1.4M 0.42 4.67 N/A N/A 19,532 8,249 426,743 209,279 2008-07-08 $17.83 $20.00 64.8% 20.5% 56.2% 51.8% 72.0% 2.1% -4.6% 1.2M 125.5M -1.4M 0.57 5.38 N/A N/A 14,379 8,176 432,547 207,070 2008-07-09 $17.30 $20.00 66.5% 21.0% 55.9% 54.7% 76.1% 2.1% -5.1% 933.6K 133.0M -1.4M 0.27 6.02 N/A N/A 18,032 4,778 436,069 205,835 2008-07-10 $16.97 $20.00 73.9% 21.2% 55.3% 67.4% 75.2% 1.9% -4.6% 969.2K 135.1M -1.3M 0.44 5.94 N/A N/A 14,615 6,394 441,914 206,819 2008-07-11 $16.56 $20.00 74.7% 21.4% 55.1% 68.7% 76.6% 2.7% -5.1% 873.4K 135.8M -1.3M 0.28 4.08 N/A N/A 22,935 6,436 445,762 207,046 2008-07-14 $16.55 $20.00 77.4% 22.2% 54.2% 73.3% 81.6% 1.9% -6.9% 1.0M 130.7M -1.3M 0.18 3.83 N/A N/A 10,300 1,901 452,958 207,117 2008-07-15 $16.58 $17.50 79.0% 22.7% 54.0% 76.2% 80.6% 4.0% -9.9% 963.0K 136.5M -1.3M 0.52 5.07 N/A N/A 19,139 9,969 455,966 205,824 2008-07-16 $17.36 $17.50 76.8% 22.0% 58.7% 72.4% 77.5% 2.4% -8.5% 1.4M 107.4M -1.4M 0.46 4.70 N/A N/A 7,781 3,543 460,154 201,136 2008-07-17 $18.12 $17.50 81.9% 23.5% 61.9% 81.0% 81.4% 6.5% -13.1% 1.8M 82.9M -1.5M 0.26 5.01 N/A N/A 21,917 5,673 460,832 201,121 2008-07-18 $17.57 $17.50 81.1% 23.3% 61.1% 79.8% 81.7% 6.2% -13.6% 902.5K 95.1M -1.4M 0.31 3.97 N/A N/A 36,125 11,305 465,255 201,659 2008-07-21 $17.93 $17.50 83.2% 23.8% 52.6% 83.3% 82.4% 8.1% -15.6% 2.1M 8.1M -1.5M 0.35 4.67 N/A N/A 72,429 25,683 367,784 156,608 2008-07-22 $13.62 $17.50 67.9% 19.5% 108.4% 57.0% 67.4% 3.6% -0.8% 158.4K 116.8M -831.5K 0.62 2.59 N/A N/A 65,347 40,518 391,585 167,007 2008-07-23 $14.57 $17.50 58.3% 16.7% 112.6% 40.6% 59.8% 2.4% -0.3% 552.3K 85.0M -982.9K 0.51 2.69 N/A N/A 22,914 11,798 402,027 169,501 2008-07-24 $13.52 $15.00 62.4% 17.9% 113.9% 47.6% 63.5% -1.1% -0.2% 432.2K 93.4M -883.8K 0.50 1.82 N/A N/A 14,519 7,253 410,249 171,977 2008-07-25 $13.66 $15.00 59.3% 17.0% 113.9% 42.2% 61.7% -3.7% -1.2% 524.5K 88.0M -894.1K 0.58 2.04 N/A N/A 17,701 10,316 413,773 167,163 2008-07-28 $13.35 $15.00 62.8% 18.0% 113.8% 48.2% 63.9% -1.9% -3.8% 465.7K 90.9M -869.6K 0.26 2.47 N/A N/A 17,343 4,539 419,862 172,700 2008-07-29 $13.89 $15.00 59.0% 16.9% 115.5% 41.7% 61.0% -2.3% -4.1% 698.5K 79.4M -934.8K 0.16 2.86 N/A N/A 20,898 3,391 424,953 171,993 2008-07-30 $13.72 $15.00 56.2% 16.1% 114.3% 37.0% 59.1% -2.4% -1.3% 800.5K 76.4M -921.4K 0.44 3.28 N/A N/A 12,473 5,501 436,452 169,949 2008-07-31 $14.10 $15.00 58.6% 16.8% 112.1% 41.1% 60.3% -3.2% -3.0% 1.0M 61.8M -989.3K 0.30 2.52 N/A N/A 10,161 3,062 441,040 169,730
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