SNDK Options History — February 2009 In February 2009, SNDK traded between $8.66 and $11.28. ATM implied volatility averaged 89.4%, placing in the 33.6% IV rank vs the trailing year. The 30-day expected move averaged 25.7%. IV traded below realized volatility by 34.4% (HV 20d: 123.7%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 18 of 19 days. Put/call ratio averaged 0.71.
Notable Days 2009-02-03 : Highest Volume — 92,056 contracts2009-02-03 : Largest IV drop — 27.9% change2009-02-02 : Highest IV Rank — 53.7%2009-02-02 : Largest Expected Move — 34.0%Monthly Statistics Metric Avg Min Max Open Close Price $10.00 $8.66 $11.28 $11.28 $8.91 Max Pain $10.26 $10.00 $12.00 $12.00 $10.00 ATM IV 89.4% 80.5% 118.5% 118.5% 98.2% Expected Move 25.7% 22.9% 34.0% 34.0% 28.1% HV 20d 123.7% 86.6% 132.6% 86.6% 123.7% HV 60d 123.8% 113.5% 131.5% 117.9% 113.5% IV Rank 33.6% 27.4% 53.7% 53.7% 39.7% IV Percentile 62.4% 57.9% 79.0% 79.0% 65.5% Term Structure 2.7% -14.1% 7.6% -14.1% 0.7% VWIV 89.9% 80.6% 120.6% 120.6% 97.5% Skew 25d 15.6% 9.2% 34.3% 34.3% 10.4% Skew 10d 32.1% 15.7% 67.1% 67.1% 23.7% Call IV 25d 82.6% 72.3% 97.5% 97.2% 95.1% Put IV 25d 98.3% 88.3% 131.5% 131.5% 105.6% Bid-Ask Spread % 4.60 3.42 6.38 4.80 6.38 Gamma HHI 0.12 0.07 0.21 0.07 0.10 Net GEX 443.7K -84.8K 776.7K 258.3K 298.1K Net DEX -3.1M -31.0M 39.2M -8.6M 8.3M Net VEX -560.3K -648.5K -446.1K -614.8K -490.8K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.15 1.59 0.62 0.78 Total Volume 18,241.947 3,647 92,056 36,386 11,729 Total OI 342,290 292,548 373,286 295,146 310,154
Daily Data (19 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 2009-02-02 $11.28 $12.00 118.5% 34.0% 86.6% 53.7% 120.6% 34.3% -14.1% 258.3K -8.6M -614.8K 0.62 4.80 N/A N/A 22,482 13,904 166,953 128,193 2009-02-03 $8.66 $12.00 85.5% 24.5% 122.2% 30.9% 86.9% 19.1% 6.0% -84.8K 39.2M -446.1K 0.80 3.42 N/A N/A 51,105 40,951 183,446 135,335 2009-02-04 $9.29 $11.00 83.0% 23.8% 122.7% 29.2% 83.0% 13.1% 6.6% 16.8K 24.4M -518.8K 0.82 4.19 N/A N/A 15,375 12,594 196,872 150,428 2009-02-05 $10.01 $10.00 81.1% 23.3% 126.6% 27.9% 89.5% 9.7% 0.4% 297.9K 5.5M -562.9K 0.75 5.30 N/A N/A 10,986 8,280 201,513 151,844 2009-02-06 $11.05 $10.00 80.5% 22.9% 132.5% 27.4% 82.3% 16.0% 0.6% 525.5K -23.2M -640.6K 0.80 4.89 N/A N/A 11,515 9,174 206,588 152,729 2009-02-09 $11.12 $10.00 83.9% 23.7% 132.6% 29.8% 80.6% 16.4% 0.3% 634.0K -31.0M -648.5K 0.41 3.61 N/A N/A 10,621 4,376 211,030 153,568 2009-02-10 $10.82 $10.00 81.2% 24.4% 131.8% 27.9% 88.9% 16.8% 3.4% 660.5K -26.3M -629.2K 0.46 4.28 N/A N/A 13,158 6,080 212,842 155,159 2009-02-11 $10.45 $10.00 85.9% 25.6% 132.2% 31.2% 86.1% 16.8% 2.3% 629.0K -16.2M -611.2K 0.31 3.69 N/A N/A 9,445 2,958 214,939 155,802 2009-02-12 $10.80 $10.00 84.5% 24.2% 130.9% 30.2% 89.3% 16.4% 4.8% 776.7K -28.9M -636.3K 1.59 5.03 N/A N/A 2,688 4,278 217,402 155,736 2009-02-13 $10.72 $10.00 82.5% 23.7% 129.8% 28.8% 82.4% 16.2% 6.4% 722.8K -24.5M -627.2K 1.43 4.62 N/A N/A 1,498 2,149 214,625 157,116 2009-02-17 $10.08 $10.00 90.4% 25.9% 129.1% 34.3% 89.3% 16.4% 4.1% 701.0K -5.2M -567.5K 0.43 3.81 N/A N/A 11,816 5,109 214,679 157,634 2009-02-18 $10.05 $10.00 89.6% 25.7% 123.1% 33.7% 86.9% 15.7% 5.5% 752.1K -5.4M -571.8K 0.28 4.03 N/A N/A 5,945 1,644 216,878 156,408 2009-02-19 $9.52 $10.00 87.6% 25.1% 120.0% 32.4% 88.8% 14.6% 6.2% 622.4K 8.7M -532.8K 1.17 5.30 N/A N/A 2,666 3,126 216,585 156,275 2009-02-20 $9.36 $10.00 94.8% 27.2% 120.0% 37.4% 91.8% 13.9% 1.6% 442.0K 14.8M -517.2K 0.43 5.49 N/A N/A 7,677 3,294 214,827 156,315 2009-02-23 $8.88 $10.00 95.4% 27.3% 120.2% 37.7% 92.8% 15.2% 4.2% 212.9K 9.6M -478.4K 0.36 4.06 N/A N/A 3,266 1,188 170,096 122,452 2009-02-24 $9.41 $10.00 91.9% 26.3% 122.8% 35.3% 88.6% 13.2% 4.1% 287.5K 4.3M -502.9K 0.41 4.70 N/A N/A 2,667 1,103 171,492 122,770 2009-02-25 $9.76 $10.00 84.4% 24.2% 123.6% 30.1% 84.4% 13.9% 7.6% 346.6K -773.8K -519.5K 1.44 5.18 N/A N/A 2,739 3,953 172,529 123,029 2009-02-26 $9.75 $10.00 98.9% 28.4% 120.9% 40.2% 98.4% 9.2% 1.5% 330.2K -3.2M -528.6K 0.15 4.68 N/A N/A 21,764 3,294 173,516 125,751 2009-02-27 $8.91 $10.00 98.2% 28.1% 123.7% 39.7% 97.5% 10.4% 0.7% 298.1K 8.3M -490.8K 0.78 6.38 N/A N/A 6,602 5,127 182,690 127,464
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