SNDK Options History — September 2008 In September 2008, SNDK traded between $13.46 and $22.52. ATM implied volatility averaged 94.1%, placing in the 81.1% IV rank vs the trailing year. The 30-day expected move averaged 26.8%. IV traded below realized volatility by 42.4% (HV 20d: 136.5%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.40.
Notable Days 2008-09-05 : Highest Volume — 197,949 contracts2008-09-05 : Largest IV spike — 38.4% change2008-09-17 : Highest IV Rank — 100.0%2008-09-29 : Largest Expected Move — 42.0%Monthly Statistics Metric Avg Min Max Open Close Price $18.19 $13.46 $22.52 $14.36 $19.55 Max Pain $17.14 $15.00 $17.50 $15.00 $17.50 ATM IV 94.1% 59.2% 146.5% 59.9% 123.1% Expected Move 26.8% 17.0% 42.0% 17.2% 35.3% HV 20d 136.5% 70.5% 174.2% 70.9% 174.2% HV 60d 109.7% 82.6% 125.5% 82.8% 125.3% IV Rank 81.1% 40.5% 100.0% 43.2% 78.8% IV Percentile 94.8% 74.6% 100.0% 76.6% 99.6% Term Structure -15.4% -44.8% 6.0% 5.4% -15.7% VWIV 93.7% 60.1% 145.9% 60.8% 126.2% Skew 25d 6.5% -0.9% 16.4% 1.4% 7.1% Skew 10d 13.9% -2.8% 37.3% 3.1% 20.7% Call IV 25d 90.7% 61.0% 135.7% 61.0% 123.1% Put IV 25d 97.2% 61.5% 145.8% 62.5% 130.2% Bid-Ask Spread % 15.63 1.92 53.15 1.92 19.53 Gamma HHI 0.15 0.12 0.28 0.13 0.12 Net GEX 3.2M 578.3K 8.4M 877.4K 3.3M Net DEX -134.5M -488.0M 78.8M 58.0M -164.5M Net VEX -1.5M -1.9M -896.2K -1.0M -1.7M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.23 0.81 0.38 0.41 Total Volume 39,145.81 8,790 197,949 12,230 11,569 Total OI 674,478.095 602,989 762,938 602,989 665,429
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 2008-09-02 $14.36 $15.00 59.9% 17.2% 70.9% 43.2% 60.8% 1.4% 5.4% 877.4K 58.0M -1.0M 0.38 1.92 N/A N/A 8,833 3,397 429,779 173,210 2008-09-03 $14.13 $15.00 59.2% 17.0% 70.5% 40.5% 60.1% -0.6% 6.0% 841.1K 62.9M -949.5K 0.30 2.30 N/A N/A 6,773 2,017 433,011 172,781 2008-09-04 $13.46 $15.00 61.2% 17.5% 71.2% 44.0% 62.7% -0.9% 5.2% 578.3K 78.8M -896.2K 0.66 2.36 N/A N/A 12,390 8,193 435,381 173,800 2008-09-05 $17.64 $17.50 84.7% 22.0% 119.8% 85.4% 78.5% 3.4% -15.9% 2.8M -76.8M -1.3M 0.53 4.82 N/A N/A 129,174 68,775 438,726 175,543 2008-09-08 $16.60 $17.50 80.1% 21.3% 121.6% 77.4% 76.2% -0.3% -14.3% 2.6M -32.9M -1.3M 0.78 2.88 N/A N/A 34,193 26,748 476,468 203,352 2008-09-09 $15.40 $17.50 75.2% 21.7% 123.9% 68.7% 78.1% 1.8% -9.0% 1.8M 21.7M -1.2M 0.46 4.65 N/A N/A 29,446 13,423 484,346 204,885 2008-09-10 $15.68 $17.50 72.3% 21.5% 124.1% 63.6% 76.9% 0.2% -9.4% 2.2M 2.9M -1.2M 0.81 4.25 N/A N/A 8,065 6,546 490,487 203,107 2008-09-11 $16.39 $17.50 78.8% 22.6% 123.4% 75.0% 79.3% 1.3% -9.0% 2.9M -37.5M -1.3M 0.27 4.74 N/A N/A 26,548 7,247 492,075 204,265 2008-09-12 $15.69 $17.50 79.0% 22.7% 119.5% 75.4% 80.2% 1.9% -8.8% 2.4M -5.3M -1.3M 0.31 4.93 N/A N/A 14,434 4,406 506,349 206,518 2008-09-15 $14.41 $17.50 87.8% 25.2% 122.7% 90.9% 89.0% 2.2% -12.9% 1.4M 50.5M -1.1M 0.33 5.06 N/A N/A 9,049 2,950 510,204 207,734 2008-09-16 $15.04 $17.50 91.6% 26.3% 118.4% 97.6% 92.7% 4.2% -13.3% 2.0M 21.1M -1.2M 0.25 6.81 N/A N/A 14,273 3,518 510,977 207,010 2008-09-17 $20.92 $17.50 104.3% 29.9% 166.0% 100.0% 100.8% 12.9% -36.3% 5.6M -352.0M -1.7M 0.29 23.05 N/A N/A 113,562 32,497 514,425 206,386 2008-09-18 $22.49 $17.50 112.5% 32.2% 166.5% 100.0% 110.9% 14.1% -44.8% 6.0M -488.0M -1.9M 0.33 52.19 N/A N/A 42,209 13,817 545,246 217,692 2008-09-19 $22.52 $17.50 106.5% 30.5% 166.3% 92.1% 105.0% 14.0% -35.5% 8.4M -444.8M -1.9M 0.32 44.38 N/A N/A 20,859 6,597 526,715 224,289 2008-09-22 $22.25 $17.50 102.8% 29.5% 166.7% 87.3% 102.5% 16.0% -6.6% 4.4M -298.6M -1.8M 0.51 53.15 N/A N/A 21,244 10,755 456,323 181,499 2008-09-23 $21.72 $17.50 115.3% 33.1% 167.1% 100.0% 110.8% 16.4% -18.4% 3.9M -265.1M -1.9M 0.32 7.47 N/A N/A 15,898 5,101 459,563 190,395 2008-09-24 $21.83 $17.50 106.8% 30.6% 166.2% 89.2% 106.8% 13.2% -14.3% 4.2M -275.4M -1.9M 0.32 9.46 N/A N/A 12,365 3,955 465,376 187,201 2008-09-25 $21.62 $17.50 111.4% 31.9% 166.5% 95.0% 109.1% 8.9% -23.2% 4.1M -259.8M -1.8M 0.24 9.50 N/A N/A 32,480 7,920 466,666 188,949 2008-09-26 $21.56 $17.50 117.4% 33.7% 166.7% 100.0% 114.2% 8.5% -27.2% 4.1M -261.1M -1.8M 0.23 16.39 N/A N/A 13,159 2,990 469,802 192,206 2008-09-29 $18.81 $17.50 146.5% 42.0% 174.1% 100.0% 145.9% 10.1% -26.0% 3.0M -159.5M -1.7M 0.37 48.35 N/A N/A 10,757 3,930 474,880 190,990 2008-09-30 $19.55 $17.50 123.1% 35.3% 174.2% 78.8% 126.2% 7.1% -15.7% 3.3M -164.5M -1.7M 0.41 19.53 N/A N/A 8,216 3,353 473,098 192,331
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