SNDK Options History — August 2008 In August 2008, SNDK traded between $14.36 and $17.82. ATM implied volatility averaged 57.0%, placing in the 38.4% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 39.6% (HV 20d: 96.7%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.44.
Notable Days 2008-08-07 : Highest Volume — 67,828 contracts2008-08-11 : Largest IV spike — 15.4% change2008-08-19 : Highest IV Rank — 48.0%2008-08-19 : Largest Expected Move — 18.0%Monthly Statistics Metric Avg Min Max Open Close Price $15.58 $14.36 $17.82 $14.36 $14.46 Max Pain $15.52 $15.00 $16.00 $15.00 $16.00 ATM IV 57.0% 50.9% 62.6% 57.9% 55.5% Expected Move 16.1% 14.7% 18.0% 16.6% 15.9% HV 20d 96.7% 68.5% 125.6% 112.6% 70.9% HV 60d 80.8% 77.7% 83.5% 77.7% 83.0% IV Rank 38.4% 27.9% 48.0% 39.9% 35.8% IV Percentile 69.8% 54.4% 83.3% 73.8% 63.5% Term Structure 6.3% -1.7% 8.8% -1.7% 7.7% VWIV 57.0% 51.6% 63.1% 59.3% 55.6% Skew 25d 1.9% -0.7% 4.6% -0.3% 3.0% Skew 10d 3.7% -2.7% 11.9% -0.0% 5.7% Call IV 25d 56.8% 49.7% 63.6% 61.5% 55.4% Put IV 25d 58.7% 54.1% 64.0% 61.2% 58.4% Bid-Ask Spread % 3.15 1.99 5.92 2.01 2.49 Gamma HHI 0.15 0.11 0.34 0.15 0.13 Net GEX 1.6M 876.2K 4.5M 1.1M 886.7K Net DEX 13.9M -84.0M 56.4M 56.2M 56.4M Net VEX -1.2M -1.4M -1.0M -1.0M -1.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.44 0.17 0.71 0.43 0.32 Total Volume 21,628.048 4,930 67,828 8,338 7,310 Total OI 608,236.81 555,613 655,609 613,552 601,989
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 2008-08-01 $14.36 $15.00 57.9% 16.6% 112.6% 39.9% 59.3% -0.3% -1.7% 1.1M 56.2M -1.0M 0.43 2.01 N/A N/A 5,834 2,504 442,700 170,852 2008-08-04 $14.43 $15.00 60.4% 16.2% 112.0% 44.1% 56.4% 4.2% 7.6% 1.3M 54.2M -1.0M 0.51 4.31 N/A N/A 5,851 2,983 445,290 171,376 2008-08-05 $14.79 $15.00 56.3% 15.4% 112.4% 37.2% 55.0% 4.2% 8.8% 1.5M 45.3M -1.1M 0.39 4.27 N/A N/A 8,039 3,141 445,160 171,653 2008-08-06 $15.24 $15.00 50.9% 14.7% 112.9% 27.9% 51.6% 4.4% 8.5% 1.7M 30.7M -1.1M 0.50 3.42 N/A N/A 11,636 5,873 448,077 171,144 2008-08-07 $16.17 $15.00 56.4% 15.2% 115.2% 37.2% 54.7% 3.9% 5.4% 2.1M -5.3M -1.2M 0.56 3.19 N/A N/A 43,367 24,461 451,066 173,203 2008-08-08 $16.67 $15.00 52.4% 15.0% 115.4% 30.4% 52.9% 4.6% 5.5% 2.3M -21.5M -1.3M 0.58 3.92 N/A N/A 12,785 7,455 454,365 178,300 2008-08-11 $17.13 $15.00 60.4% 15.3% 115.8% 44.2% 54.2% 3.4% 3.2% 2.4M -38.5M -1.3M 0.41 4.63 N/A N/A 24,819 10,230 451,226 175,441 2008-08-12 $17.29 $15.00 56.7% 15.4% 115.8% 37.9% 54.7% 4.3% 3.7% 2.4M -44.8M -1.3M 0.64 5.92 N/A N/A 9,173 5,831 451,252 178,705 2008-08-13 $16.27 $15.00 53.6% 15.6% 116.7% 32.5% 54.6% 3.6% 5.5% 1.8M 1.4M -1.2M 0.67 4.31 N/A N/A 15,750 10,628 451,574 179,389 2008-08-14 $17.82 $15.00 60.5% 17.3% 120.4% 44.3% 61.4% 0.1% 4.8% 2.7M -80.3M -1.4M 0.29 4.02 N/A N/A 49,738 14,618 453,447 180,518 2008-08-15 $17.64 $16.00 58.3% 16.7% 119.9% 40.6% 59.5% 0.3% 6.7% 4.5M -84.0M -1.4M 0.29 2.24 N/A N/A 25,820 7,617 470,663 184,946 2008-08-18 $15.84 $16.00 61.1% 17.5% 125.6% 45.4% 62.3% -0.3% 6.7% 1.4M 9.3M -1.2M 0.65 2.60 N/A N/A 25,986 16,944 395,184 160,429 2008-08-19 $15.19 $16.00 62.6% 18.0% 77.4% 48.0% 63.1% 0.4% 6.9% 1.2M 22.9M -1.2M 0.71 1.99 N/A N/A 10,766 7,616 406,749 166,205 2008-08-20 $14.84 $16.00 58.9% 16.9% 74.4% 41.5% 60.1% -0.4% 8.1% 1.0M 35.5M -1.2M 0.30 2.35 N/A N/A 17,492 5,173 410,882 166,877 2008-08-21 $14.73 $16.00 58.4% 16.8% 69.0% 40.8% 59.7% -0.7% 7.7% 986.3K 42.9M -1.1M 0.63 2.25 N/A N/A 5,111 3,239 416,460 170,776 2008-08-22 $15.02 $16.00 56.1% 16.1% 69.2% 36.7% 56.7% 0.2% 7.7% 1.1M 36.3M -1.1M 0.17 2.02 N/A N/A 7,377 1,222 417,828 171,218 2008-08-25 $14.82 $16.00 57.7% 16.5% 68.7% 39.5% 59.0% -0.3% 6.3% 1.1M 39.4M -1.1M 0.28 2.27 N/A N/A 9,695 2,720 421,623 171,126 2008-08-26 $14.40 $16.00 56.5% 16.2% 68.5% 37.4% 56.8% 0.2% 7.6% 876.2K 55.5M -1.0M 0.30 2.60 N/A N/A 8,319 2,475 424,500 171,674 2008-08-27 $14.83 $16.00 54.4% 15.6% 68.9% 33.9% 55.6% 1.8% 7.5% 1.1M 44.6M -1.1M 0.41 2.72 N/A N/A 6,853 2,808 426,114 172,020 2008-08-28 $15.17 $16.00 53.0% 15.2% 68.8% 31.4% 53.3% 2.5% 8.0% 1.2M 36.8M -1.1M 0.25 2.51 N/A N/A 3,934 996 427,706 173,266 2008-08-29 $14.46 $16.00 55.5% 15.9% 70.9% 35.8% 55.6% 3.0% 7.7% 886.7K 56.4M -1.0M 0.32 2.49 N/A N/A 5,556 1,754 428,466 173,523
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