SNDK Options History — October 2008 In October 2008, SNDK traded between $7.53 and $20.65. ATM implied volatility averaged 143.0%, placing in the 75.0% IV rank vs the trailing year. The 30-day expected move averaged 41.2%. IV traded above realized volatility by 5.5% (HV 20d: 137.5%). Max pain ranged from $12.00 to $20.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.40.
Notable Days 2008-10-20 : Highest Volume — 70,831 contracts2008-10-22 : Largest IV spike — 30.7% change2008-10-03 : Highest IV Rank — 100.0%2008-10-17 : Largest Expected Move — 50.1%Monthly Statistics Metric Avg Min Max Open Close Price $14.16 $7.53 $20.65 $20.00 $8.89 Max Pain $17.20 $12.00 $20.00 $17.50 $12.00 ATM IV 143.0% 101.7% 185.3% 142.9% 134.0% Expected Move 41.2% 29.2% 50.1% 41.0% 38.4% HV 20d 137.5% 77.3% 173.8% 173.8% 157.0% HV 60d 130.1% 114.5% 144.3% 125.4% 144.3% IV Rank 75.0% 43.9% 100.0% 96.8% 65.6% IV Percentile 96.9% 90.5% 100.0% 99.6% 93.7% Term Structure -18.2% -52.3% 18.0% -36.6% 7.6% VWIV 141.0% 104.2% 164.2% 139.5% 137.3% Skew 25d 19.5% -4.8% 46.6% 12.9% -4.8% Skew 10d 40.1% -10.0% 100.9% 27.7% -8.2% Call IV 25d 131.7% 106.2% 153.6% 130.9% 141.9% Put IV 25d 151.1% 108.5% 185.1% 143.7% 137.1% Bid-Ask Spread % 22.31 7.74 43.51 35.09 7.74 Gamma HHI 0.10 0.06 0.15 0.12 0.06 Net GEX 1.8M 227.7K 4.5M 3.3M 514.0K Net DEX -44.0M -269.2M 55.0M -191.2M 37.6M Net VEX -1.2M -1.9M -499.7K -1.7M -626.9K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.40 0.04 1.45 0.12 0.21 Total Volume 30,584.435 5,352 70,831 68,621 20,723 Total OI 674,734.652 528,009 777,349 665,645 618,677
Daily Data (23 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 2008-10-01 $20.00 $17.50 142.9% 41.0% 173.8% 96.8% 139.5% 12.9% -36.6% 3.3M -191.2M -1.7M 0.12 35.09 N/A N/A 61,142 7,479 472,265 193,380 2008-10-02 $20.65 $17.50 144.2% 41.3% 172.1% 97.9% 137.7% 25.7% -29.4% 4.5M -269.2M -1.9M 0.36 10.99 N/A N/A 45,171 16,380 521,010 195,661 2008-10-03 $18.38 $17.50 147.3% 42.2% 151.3% 100.0% 142.7% 0.9% -33.7% 3.4M -133.0M -1.7M 0.21 14.09 N/A N/A 21,835 4,641 520,314 205,928 2008-10-06 $18.20 $20.00 185.3% 43.9% 149.6% 100.0% 152.1% 30.4% -47.3% 3.1M -147.2M -1.7M 0.13 37.41 N/A N/A 56,804 7,457 524,819 207,954 2008-10-07 $18.03 $20.00 160.1% 40.3% 146.8% 83.1% 135.7% 26.5% -33.1% 3.2M -137.0M -1.6M 0.72 30.06 N/A N/A 16,938 12,177 516,447 210,684 2008-10-08 $17.93 $20.00 148.6% 40.2% 146.8% 75.4% 135.3% 33.6% -29.4% 2.9M -121.3M -1.6M 0.53 30.80 N/A N/A 16,970 9,001 522,242 219,951 2008-10-09 $17.03 $20.00 141.4% 40.9% 147.5% 70.5% 138.6% 25.7% -34.1% 2.6M -92.1M -1.6M 0.42 40.15 N/A N/A 3,777 1,575 527,162 218,277 2008-10-10 $15.92 $20.00 162.3% 46.9% 148.7% 84.6% 164.2% 32.0% -32.3% 2.0M -45.0M -1.5M 0.59 43.51 N/A N/A 11,299 6,709 526,208 215,768 2008-10-13 $17.18 $20.00 132.9% 45.8% 147.3% 64.8% 152.1% 46.6% -31.3% 2.5M -80.6M -1.5M 0.09 25.58 N/A N/A 27,362 2,377 531,447 215,330 2008-10-14 $16.92 $19.00 130.1% 40.4% 147.0% 62.9% 140.9% 28.2% -25.7% 2.6M -81.2M -1.5M 0.38 26.05 N/A N/A 13,710 5,142 547,649 215,996 2008-10-15 $16.60 $19.00 116.3% 42.6% 83.4% 53.7% 143.2% 25.3% -17.2% 2.6M -63.0M -1.4M 0.52 34.52 N/A N/A 9,650 5,039 548,343 218,642 2008-10-16 $16.49 $19.00 142.1% 40.7% 77.3% 71.0% 139.2% 23.5% -18.3% 2.0M -18.8M -1.4M 1.45 30.33 N/A N/A 6,819 9,905 551,803 221,077 2008-10-17 $15.51 $19.00 174.8% 50.1% 78.7% 92.9% 159.1% 37.3% -52.3% 1.3M 6.8M -1.3M 0.20 26.58 N/A N/A 29,337 5,868 552,374 224,975 2008-10-20 $14.42 $17.00 135.6% 38.9% 81.0% 66.6% 131.3% 20.1% -2.5% 1.2M -15.5M -1.1M 0.24 9.93 N/A N/A 57,014 13,817 378,913 149,096 2008-10-21 $14.76 $16.00 101.7% 29.2% 82.5% 43.9% 104.2% 2.4% 1.1% 1.8M -22.3M -1.2M 0.19 16.80 N/A N/A 26,046 4,875 415,040 155,486 2008-10-22 $10.09 $15.00 133.0% 38.1% 151.8% 64.9% 133.8% 4.6% -5.8% 460.7K 54.5M -700.1K 0.63 33.14 N/A N/A 35,383 22,263 419,296 155,965 2008-10-23 $9.14 $15.00 122.4% 35.1% 152.8% 57.8% 120.5% -2.0% -2.6% 393.7K 51.7M -617.1K 0.53 12.97 N/A N/A 17,867 9,474 430,501 152,659 2008-10-24 $7.93 $15.00 154.5% 44.3% 155.9% 79.3% 157.4% 18.6% -13.0% 243.7K 55.0M -507.9K 1.02 12.50 N/A N/A 12,513 12,754 433,563 155,969 2008-10-27 $7.53 $15.00 161.3% 46.2% 152.5% 83.9% 158.4% 12.0% -8.0% 227.7K 49.6M -499.7K 0.04 8.37 N/A N/A 19,354 735 439,888 160,478 2008-10-28 $7.97 $15.00 148.7% 42.6% 154.0% 75.4% 150.1% 24.0% 1.8% 274.9K 52.0M -530.7K 0.36 8.84 N/A N/A 9,496 3,387 443,422 159,616 2008-10-29 $7.95 $14.00 140.9% 40.4% 152.8% 70.2% 140.2% 10.9% 4.9% 266.6K 48.7M -515.2K 0.16 8.64 N/A N/A 15,253 2,401 448,208 159,138 2008-10-30 $8.14 $13.00 129.9% 37.2% 152.3% 62.8% 129.5% 13.0% 18.0% 302.7K 49.2M -533.1K 0.18 9.01 N/A N/A 4,674 849 458,369 158,907 2008-10-31 $8.89 $12.00 134.0% 38.4% 157.0% 65.6% 137.3% -4.8% 7.6% 514.0K 37.6M -626.9K 0.21 7.74 N/A N/A 17,086 3,637 459,510 159,167
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