SNDK Options History — November 2008

In November 2008, SNDK traded between $5.32 and $10.14. ATM implied volatility averaged 125.6%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 35.9%. IV traded below realized volatility by 24.3% (HV 20d: 149.9%). Max pain ranged from $8.00 to $11.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 0.57.

Notable Days

  • 2008-11-03: Highest Volume — 26,269 contracts
  • 2008-11-12: Largest IV spike — 18.3% change
  • 2008-11-20: Highest IV Rank — 84.4%
  • 2008-11-20: Largest Expected Move — 46.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$7.92$5.32$10.14$9.23$8.00
Max Pain$9.68$8.00$11.00$10.00$8.00
ATM IV125.6%107.9%162.1%125.8%107.9%
Expected Move35.9%30.9%46.5%36.1%30.9%
HV 20d149.9%109.6%166.5%159.0%138.0%
HV 60d148.5%143.4%158.7%144.4%158.7%
IV Rank59.9%48.0%84.4%60.1%48.0%
IV Percentile90.1%81.7%98.8%91.7%81.7%
Term Structure-1.1%-13.2%9.4%-0.8%8.9%
VWIV126.4%114.2%158.5%129.8%118.5%
Skew 25d11.7%-10.5%37.2%-2.2%18.3%
Skew 10d20.3%-19.9%73.9%-4.1%39.7%
Call IV 25d123.4%101.1%157.1%131.6%103.7%
Put IV 25d135.1%121.9%169.5%129.5%122.0%
Bid-Ask Spread %6.895.399.417.665.39
Gamma HHI0.070.060.080.060.07
Net GEX363.5K60.6K767.4K567.8K255.9K
Net DEX44.5M21.7M62.5M36.0M37.1M
Net VEX-515.8K-746.5K-314.6K-643.3K-464.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.091.720.511.36
Total Volume12,690.4743,54526,26926,2694,859
Total OI634,173.474525,527676,679627,149542,371

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2008-11-03$9.23$10.00125.8%36.1%159.0%60.1%129.8%-2.2%-0.8%567.8K36.0M-643.3K0.517.66N/AN/A17,3698,900465,865161,284
2008-11-04$9.96$10.00111.9%32.1%163.6%50.8%119.8%-0.6%6.6%749.7K26.8M-724.2K0.265.91N/AN/A15,0363,897472,843167,915
2008-11-05$10.14$10.00125.5%36.0%164.2%59.9%129.5%-10.5%-7.8%767.4K21.7M-746.5K0.307.39N/AN/A19,9105,891480,267168,351
2008-11-06$9.84$11.00120.3%34.5%164.0%56.4%121.7%-6.2%-3.1%733.0K28.4M-718.9K0.596.42N/AN/A9,8435,833485,160170,831
2008-11-07$9.98$10.00120.6%34.0%163.9%56.6%118.9%11.3%-9.0%766.0K27.4M-733.5K1.727.37N/AN/A1,9953,425485,366173,776
2008-11-10$9.08$10.00122.7%35.8%161.4%58.0%120.4%9.9%-13.2%570.5K41.1M-625.8K0.797.53N/AN/A5,0173,960484,658172,508
2008-11-11$8.76$10.00120.2%35.4%161.3%56.3%122.0%12.1%-10.7%474.3K48.0M-588.2K0.465.98N/AN/A2,4271,118484,814174,495
2008-11-12$7.70$10.00142.3%37.1%164.7%71.1%127.3%11.5%-9.7%286.1K55.5M-501.5K0.218.09N/AN/A8,0431,662484,646174,516
2008-11-13$7.82$10.00117.1%33.6%165.4%54.2%116.4%11.0%-1.3%264.6K62.5M-459.9K0.257.67N/AN/A13,1173,231489,338174,387
2008-11-14$7.15$10.00121.4%34.8%166.3%57.1%121.0%16.5%-0.4%242.7K58.3M-443.3K0.966.69N/AN/A7,1556,864493,024175,055
2008-11-17$7.20$10.00123.0%35.2%166.5%58.2%119.8%15.0%1.1%237.9K59.7M-448.6K0.166.74N/AN/A10,1921,660496,221180,458
2008-11-18$7.07$10.00124.3%35.6%165.3%59.0%123.3%16.6%6.9%224.7K60.3M-420.5K0.426.15N/AN/A4,3271,797495,909178,354
2008-11-19$6.30$10.00140.8%40.4%109.6%70.1%137.4%12.3%-1.3%162.0K55.8M-376.6K0.585.67N/AN/A6,8614,014497,952176,464
2008-11-20$5.32$10.00162.1%46.5%118.4%84.4%158.5%12.4%3.3%60.6K52.4M-314.6K0.369.41N/AN/A7,3182,632497,801175,430
2008-11-21$5.63$9.00148.6%42.6%113.8%75.3%154.4%13.9%4.7%107.4K52.8M-346.6K1.017.13N/AN/A5,3925,428499,904174,654
2008-11-24$6.78$9.00126.1%36.1%133.7%60.3%131.2%23.9%-3.6%131.9K42.0M-399.9K0.306.45N/AN/A11,9593,566378,970146,557
2008-11-25$6.89$8.00110.2%31.6%132.0%49.6%114.2%37.2%9.4%142.9K39.9M-406.0K0.446.84N/AN/A9,1574,040385,815147,672
2008-11-26$7.56$9.00115.7%33.2%136.7%53.3%117.1%19.1%0.1%162.1K40.3M-438.4K0.096.50N/AN/A12,1881,036385,201150,464
2008-11-28$8.00$8.00107.9%30.9%138.0%48.0%118.5%18.3%8.9%255.9K37.1M-464.5K1.365.39N/AN/A2,0572,802392,134150,237