SNDK Options History — January 2009

In January 2009, SNDK traded between $10.74 and $12.94. ATM implied volatility averaged 101.5%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 30.1%. IV traded above realized volatility by 8.6% (HV 20d: 92.9%). Max pain ranged from $11.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.93.

Notable Days

  • 2009-01-07: Highest Volume — 59,545 contracts
  • 2009-01-12: Largest IV spike — 21.9% change
  • 2009-01-22: Highest IV Rank — 48.3%
  • 2009-01-22: Largest Expected Move — 31.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.82$10.74$12.94$11.08$11.43
Max Pain$11.97$11.00$12.50$12.50$12.00
ATM IV101.5%83.6%110.7%98.6%110.0%
Expected Move30.1%26.0%31.7%28.3%31.5%
HV 20d92.9%86.5%101.3%101.3%100.0%
HV 60d133.6%118.2%145.7%143.9%118.9%
IV Rank42.0%29.6%48.3%40.0%47.9%
IV Percentile71.4%64.3%75.8%72.2%74.6%
Term Structure-9.4%-11.6%-0.3%-0.3%-11.4%
VWIV107.4%96.9%118.5%100.2%108.8%
Skew 25d20.7%1.5%32.0%1.5%27.9%
Skew 10d40.0%0.4%64.8%0.4%56.3%
Call IV 25d93.7%78.1%100.2%100.2%93.1%
Put IV 25d114.4%101.7%120.9%101.7%120.9%
Bid-Ask Spread %4.603.355.443.354.78
Gamma HHI0.120.070.230.090.08
Net GEX649.7K229.9K1.1M684.4K336.9K
Net DEX-17.0M-40.4M15.6M793.0K-14.2M
Net VEX-634.3K-698.3K-542.1K-542.1K-616.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.273.730.270.73
Total Volume16,470.53,25759,54525,88020,662
Total OI444,108.15256,601609,247542,196290,052

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-01-02$11.08$12.5098.6%28.3%101.3%40.0%100.2%1.5%-0.3%684.4K793.0K-542.1K0.273.35N/AN/A20,4485,432403,086139,110
2009-01-05$12.13$11.00101.6%30.4%94.5%42.0%105.6%13.1%-8.5%864.2K-23.7M-597.3K0.374.83N/AN/A23,9788,831408,743141,985
2009-01-06$12.94$12.0097.3%28.7%86.5%39.0%100.2%11.9%-8.0%1.1M-40.4M-656.4K0.404.26N/AN/A20,9038,458412,452146,818
2009-01-07$12.51$12.0096.6%30.7%88.2%38.6%109.3%17.6%-11.3%1.0M-34.6M-647.6K3.734.34N/AN/A12,58746,958420,572150,222
2009-01-08$12.41$12.0094.7%31.4%88.4%37.2%118.5%18.3%-11.5%1.0M-27.1M-698.3K0.634.07N/AN/A10,2986,438424,105163,212
2009-01-09$12.30$12.0083.6%29.9%88.4%29.6%103.5%17.1%-10.6%995.2K-23.3M-684.4K0.384.59N/AN/A9,9663,764424,766167,015
2009-01-12$11.69$12.00102.0%30.4%90.7%42.3%104.2%16.6%-11.6%905.1K-4.3M-649.4K0.344.42N/AN/A6,9122,317428,399169,391
2009-01-13$11.54$12.0099.6%29.5%91.0%40.6%110.8%20.3%-10.2%889.0K61.1K-628.6K0.335.44N/AN/A9,5313,109430,957169,879
2009-01-14$10.82$12.00101.2%31.6%87.0%41.7%111.5%20.4%-10.1%675.8K15.6M-596.2K0.335.24N/AN/A9,8583,285430,294171,316
2009-01-15$11.31$12.00110.1%31.6%87.8%47.9%110.3%20.5%-11.1%769.3K3.7M-616.0K0.545.23N/AN/A11,3046,114433,004171,874
2009-01-16$12.03$12.00107.8%30.9%87.6%46.3%106.9%22.2%-10.6%920.1K-13.7M-655.0K0.404.37N/AN/A9,3903,761435,891173,356
2009-01-20$10.74$12.00109.8%31.5%95.3%47.7%109.0%18.8%-9.5%229.9K-6.3M-589.2K1.014.99N/AN/A3,3183,352151,020105,581
2009-01-21$11.66$12.00104.6%30.0%98.5%44.1%105.8%20.9%-10.0%313.8K-17.8M-625.1K0.555.32N/AN/A6,0123,307153,335106,866
2009-01-22$11.47$12.00110.7%31.7%98.2%48.3%110.3%21.5%-11.6%322.7K-17.8M-622.4K0.674.02N/AN/A2,8981,956155,378107,569
2009-01-23$11.75$12.00103.6%29.7%94.2%43.4%108.9%26.7%-7.3%361.3K-22.8M-632.0K1.484.14N/AN/A5,8188,637157,476108,234
2009-01-26$11.77$12.00103.3%29.6%94.0%43.2%104.7%27.7%-8.9%378.9K-23.4M-649.2K1.924.98N/AN/A3,5326,773161,411114,807
2009-01-27$11.96$12.00101.0%28.9%93.9%41.6%109.7%28.2%-9.6%366.1K-24.8M-654.2K3.524.69N/AN/A7212,536163,154119,660
2009-01-28$12.69$12.0090.8%26.0%94.8%34.6%96.9%30.1%-5.9%460.5K-36.2M-671.3K0.274.00N/AN/A7,3792,009162,841120,450
2009-01-29$12.19$12.00102.8%29.5%96.9%42.8%112.1%32.0%-10.2%436.2K-28.8M-654.9K0.795.02N/AN/A3,8243,034166,930120,952
2009-01-30$11.43$12.00110.0%31.5%100.0%47.9%108.8%27.9%-11.4%336.9K-14.2M-616.7K0.734.78N/AN/A11,9408,722168,007122,045