SNDK Options History — December 2008

In December 2008, SNDK traded between $7.20 and $9.92. ATM implied volatility averaged 124.0%, placing in the 58.2% IV rank vs the trailing year. The 30-day expected move averaged 35.5%. IV traded below realized volatility by 23.6% (HV 20d: 147.5%). Max pain ranged from $8.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.34.

Notable Days

2008-12-03: Highest Volume — 75,136 contracts
2008-12-03: Largest IV spike — 23.6% change
2008-12-03: Highest IV Rank — 87.7%
2008-12-03: Largest Expected Move — 47.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.11	$7.20	$9.92	$7.20	$9.60
Max Pain	$13.18	$8.00	$15.00	$8.00	$12.50
ATM IV	124.0%	88.8%	167.0%	136.5%	88.8%
Expected Move	35.5%	25.5%	47.9%	39.1%	25.5%
HV 20d	147.5%	117.5%	170.5%	138.5%	118.0%
HV 60d	147.1%	139.9%	159.4%	148.8%	140.4%
IV Rank	58.2%	33.2%	87.7%	67.2%	33.2%
IV Percentile	84.3%	70.2%	99.2%	92.5%	70.2%
Term Structure	-3.8%	-18.2%	14.4%	1.0%	7.3%
VWIV	124.8%	90.3%	172.4%	135.9%	90.3%
Skew 25d	4.8%	-17.7%	21.3%	19.0%	3.2%
Skew 10d	8.5%	-33.9%	41.1%	41.1%	5.3%
Call IV 25d	123.9%	90.4%	186.7%	130.2%	90.4%
Put IV 25d	128.7%	93.6%	169.0%	149.2%	93.6%
Bid-Ask Spread %	6.99	2.50	12.39	7.69	2.50
Gamma HHI	0.11	0.06	0.31	0.09	0.11
Net GEX	646.2K	205.5K	1.2M	247.6K	463.8K
Net DEX	17.2M	-4.3M	36.5M	34.5M	28.0M
Net VEX	-541.9K	-651.6K	-432.4K	-432.4K	-462.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.14	0.86	0.86	0.26
Total Volume	13,487.955	2,585	75,136	8,345	6,350
Total OI	570,981.909	536,252	605,530	547,239	540,572

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
2008-12-01	$7.20	$8.00	136.5%	39.1%	138.5%	67.2%	135.9%	19.0%	1.0%	247.6K	34.5M	-432.4K	0.86	7.69	N/A	N/A	4,480	3,865	395,748	151,491
2008-12-02	$7.21	$8.00	135.1%	38.7%	137.5%	66.3%	135.1%	21.3%	1.1%	205.5K	36.5M	-434.2K	0.59	5.46	N/A	N/A	1,627	958	394,665	153,788
2008-12-03	$9.02	$8.00	167.0%	47.9%	158.5%	87.7%	172.4%	-17.7%	-16.1%	465.9K	10.2M	-603.2K	0.18	9.61	N/A	N/A	63,757	11,379	394,903	153,925
2008-12-04	$8.08	$8.00	144.8%	41.5%	162.5%	72.8%	146.5%	-0.4%	-3.4%	468.7K	19.6M	-551.9K	0.14	6.46	N/A	N/A	23,741	3,363	420,120	158,980
2008-12-05	$9.23	$15.00	142.8%	40.4%	170.2%	71.4%	138.9%	7.6%	-13.5%	638.1K	6.4M	-615.9K	0.20	9.21	N/A	N/A	11,168	2,232	423,314	159,896
2008-12-08	$9.51	$15.00	139.8%	39.3%	170.5%	69.4%	137.4%	4.5%	-16.9%	716.2K	2.8M	-633.3K	0.39	10.75	N/A	N/A	8,727	3,419	426,243	160,786
2008-12-09	$9.54	$15.00	136.6%	38.4%	166.9%	67.3%	134.0%	6.1%	-14.2%	737.8K	3.5M	-624.5K	0.28	10.38	N/A	N/A	15,866	4,451	426,340	161,056
2008-12-10	$9.87	$15.00	120.5%	36.7%	166.7%	56.4%	127.4%	6.2%	-10.7%	899.8K	-4.3M	-651.6K	0.39	12.30	N/A	N/A	5,341	2,059	430,773	161,624
2008-12-11	$9.74	$15.00	132.5%	38.0%	159.1%	64.4%	135.1%	4.8%	-11.6%	908.4K	-3.6M	-636.1K	0.18	12.39	N/A	N/A	15,328	2,796	432,292	162,111
2008-12-12	$9.92	$15.00	128.1%	36.7%	159.1%	60.9%	128.8%	7.3%	-8.6%	1.0M	-3.8M	-629.4K	0.21	7.73	N/A	N/A	4,825	996	440,322	162,483
2008-12-15	$9.02	$15.00	132.5%	38.0%	159.6%	64.0%	137.3%	-1.6%	-9.6%	842.4K	12.2M	-567.2K	0.35	7.22	N/A	N/A	6,564	2,307	439,775	162,187
2008-12-16	$9.18	$15.00	120.8%	34.6%	159.6%	55.9%	121.7%	0.1%	-3.2%	903.7K	16.1M	-553.3K	0.29	6.64	N/A	N/A	8,044	2,333	440,004	162,397
2008-12-17	$9.79	$15.00	134.6%	38.6%	160.2%	65.4%	135.6%	10.5%	-18.2%	1.1M	5.1M	-579.7K	0.28	6.48	N/A	N/A	16,374	4,546	437,782	161,732
2008-12-18	$9.25	$15.00	120.6%	34.6%	155.1%	55.8%	121.5%	1.2%	-7.0%	1.1M	17.5M	-542.2K	0.60	7.71	N/A	N/A	3,573	2,158	442,472	162,695
2008-12-19	$9.60	$15.00	123.2%	35.3%	138.3%	57.6%	125.9%	7.8%	-10.1%	1.2M	12.5M	-551.7K	0.25	6.48	N/A	N/A	15,312	3,881	443,205	162,325
2008-12-22	$9.38	$15.00	121.0%	34.7%	139.1%	56.1%	118.5%	3.9%	-3.5%	428.2K	25.0M	-519.3K	0.21	4.63	N/A	N/A	5,908	1,212	394,633	141,619
2008-12-23	$8.79	$14.00	109.3%	31.3%	128.9%	48.1%	109.9%	3.8%	7.6%	392.1K	31.2M	-480.6K	0.44	4.34	N/A	N/A	4,915	2,163	396,993	142,336
2008-12-24	$9.11	$14.00	105.7%	30.3%	129.1%	45.3%	106.7%	6.6%	8.3%	370.3K	34.5M	-477.0K	0.23	3.75	N/A	N/A	4,938	1,153	398,579	142,938
2008-12-26	$9.18	$12.50	97.0%	27.8%	125.7%	38.9%	95.4%	6.9%	14.4%	394.9K	31.2M	-468.4K	0.26	4.02	N/A	N/A	2,377	609	401,616	139,765
2008-12-29	$9.06	$12.50	97.4%	27.9%	124.7%	39.2%	98.4%	2.7%	11.6%	388.4K	32.0M	-449.8K	0.64	4.13	N/A	N/A	3,337	2,133	400,775	137,797
2008-12-30	$9.17	$12.50	92.7%	26.6%	117.5%	35.9%	93.8%	0.9%	11.0%	404.8K	31.7M	-458.2K	0.36	3.98	N/A	N/A	4,548	1,622	400,897	137,648
2008-12-31	$9.60	$12.50	88.8%	25.5%	118.0%	33.2%	90.3%	3.2%	7.3%	463.8K	28.0M	-462.8K	0.26	2.50	N/A	N/A	5,036	1,314	401,757	138,815