SNDK Options History — March 2009 In March 2009, SNDK traded between $7.65 and $13.37. ATM implied volatility averaged 117.8%, placing in the 53.3% IV rank vs the trailing year. The 30-day expected move averaged 34.0%. IV traded above realized volatility by 12.1% (HV 20d: 105.7%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.43.
Notable Days 2009-03-13 : Highest Volume — 118,579 contracts2009-03-13 : Largest IV spike — 21.0% change2009-03-20 : Highest IV Rank — 63.0%2009-03-20 : Largest Expected Move — 37.8%Monthly Statistics Metric Avg Min Max Open Close Price $10.27 $7.65 $13.37 $8.01 $12.65 Max Pain $9.73 $9.00 $10.00 $10.00 $10.00 ATM IV 117.8% 97.4% 131.9% 105.9% 129.4% Expected Move 34.0% 29.9% 37.8% 30.4% 37.1% HV 20d 105.7% 66.1% 127.0% 126.7% 108.9% HV 60d 108.3% 99.8% 115.7% 115.7% 110.0% IV Rank 53.3% 39.1% 63.0% 45.0% 61.3% IV Percentile 78.3% 61.9% 86.9% 71.4% 85.3% Term Structure -11.3% -21.6% 3.6% 1.4% -18.1% VWIV 119.4% 104.1% 132.7% 106.4% 129.7% Skew 25d 5.5% -1.3% 12.6% 6.0% 4.1% Skew 10d 11.4% -1.2% 26.1% 16.9% 6.3% Call IV 25d 117.4% 100.9% 134.3% 106.1% 128.5% Put IV 25d 122.8% 108.7% 135.8% 112.1% 132.6% Bid-Ask Spread % 5.36 2.44 10.23 3.57 4.89 Gamma HHI 0.11 0.09 0.22 0.09 0.11 Net GEX 827.6K 160.1K 1.4M 160.1K 1.3M Net DEX -35.5M -101.0M 20.6M 20.6M -87.4M Net VEX -598.3K -771.9K -418.4K -432.9K -770.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.43 0.14 1.12 0.50 0.56 Total Volume 21,452 2,391 118,579 17,039 11,814 Total OI 367,296.409 317,919 409,712 317,919 401,053
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 2009-03-02 $8.01 $10.00 105.9% 30.4% 126.7% 45.0% 106.4% 6.0% 1.4% 160.1K 20.6M -432.9K 0.50 3.57 N/A N/A 11,322 5,717 187,708 130,211 2009-03-03 $8.05 $9.00 104.2% 29.9% 127.0% 43.8% 104.1% 4.9% 3.6% 220.3K 17.9M -442.3K 0.32 6.31 N/A N/A 8,144 2,615 194,161 131,087 2009-03-04 $8.12 $9.00 107.7% 30.9% 87.1% 46.3% 107.7% 4.7% 1.8% 271.8K 15.1M -449.1K 0.38 2.44 N/A N/A 6,744 2,545 200,246 131,004 2009-03-05 $8.16 $9.00 106.4% 30.5% 82.8% 45.4% 108.2% 3.5% 3.2% 315.4K 13.1M -452.2K 1.12 5.36 N/A N/A 1,128 1,263 204,206 132,424 2009-03-06 $7.79 $10.00 105.9% 30.9% 78.1% 45.0% 112.7% 10.6% -8.8% 248.0K 19.0M -423.6K 0.35 4.91 N/A N/A 14,859 5,163 204,562 133,147 2009-03-09 $7.65 $10.00 115.7% 33.2% 66.1% 51.8% 114.3% 9.6% -13.9% 258.4K 18.8M -418.4K 0.18 3.91 N/A N/A 9,666 1,737 209,359 135,889 2009-03-10 $9.12 $10.00 106.2% 32.3% 95.4% 45.2% 113.4% 9.4% -13.2% 560.6K -7.1M -517.7K 0.47 3.83 N/A N/A 12,678 6,005 214,136 136,311 2009-03-11 $9.58 $9.00 97.4% 31.3% 97.4% 39.1% 110.2% 11.6% -11.9% 694.8K -19.3M -547.4K 0.55 3.60 N/A N/A 10,196 5,651 217,094 137,652 2009-03-12 $9.95 $9.00 107.8% 30.9% 97.9% 46.3% 106.5% 12.6% -11.1% 789.5K -27.8M -563.3K 0.29 4.86 N/A N/A 7,862 2,274 218,029 138,086 2009-03-13 $11.05 $9.00 130.4% 37.4% 104.5% 62.0% 131.7% 10.3% -21.6% 844.8K -62.3M -636.9K 0.14 10.23 N/A N/A 103,801 14,778 219,758 139,224 2009-03-16 $9.83 $10.00 121.1% 34.7% 112.6% 55.5% 120.8% 7.0% -15.6% 1.0M -29.9M -592.3K 0.58 5.50 N/A N/A 17,738 10,261 249,118 146,621 2009-03-17 $10.26 $10.00 121.3% 34.8% 111.7% 55.7% 121.9% 7.5% -13.9% 1.3M -40.7M -622.4K 0.76 6.92 N/A N/A 5,448 4,153 254,973 151,768 2009-03-18 $10.93 $10.00 124.5% 35.7% 113.8% 57.9% 125.2% 5.8% -17.4% 1.4M -62.8M -664.6K 0.16 8.02 N/A N/A 20,958 3,296 253,523 153,606 2009-03-19 $10.61 $10.00 128.4% 36.8% 112.5% 60.6% 128.5% 4.9% -19.9% 1.3M -52.9M -641.1K 0.33 5.70 N/A N/A 9,621 3,134 252,321 154,060 2009-03-20 $10.15 $10.00 131.9% 37.8% 113.6% 63.0% 132.7% -1.3% -19.4% 1.3M -41.4M -619.0K 0.26 6.99 N/A N/A 8,458 2,236 254,157 155,555 2009-03-23 $11.25 $10.00 126.0% 36.1% 116.7% 59.0% 126.4% 1.6% -11.8% 789.7K -45.0M -654.3K 0.40 4.77 N/A N/A 9,173 3,657 212,205 141,210 2009-03-24 $11.72 $10.00 126.0% 36.1% 115.9% 58.9% 127.9% 0.5% -11.1% 889.7K -61.6M -689.5K 0.35 6.88 N/A N/A 20,000 7,013 214,946 143,625 2009-03-25 $12.36 $10.00 123.5% 35.4% 116.6% 57.2% 124.4% -0.4% -11.2% 1.0M -79.1M -742.2K 0.27 4.89 N/A N/A 31,337 8,501 224,934 146,355 2009-03-26 $13.37 $10.00 121.6% 34.9% 118.8% 55.9% 122.0% 2.2% -12.9% 1.2M -101.0M -771.9K 0.57 4.30 N/A N/A 15,013 8,527 225,503 151,605 2009-03-27 $13.08 $10.00 123.1% 35.3% 113.1% 56.9% 123.7% 3.0% -14.0% 1.2M -96.7M -768.5K 0.35 5.12 N/A N/A 20,374 7,227 231,623 153,159 2009-03-30 $12.14 $10.00 127.4% 36.5% 108.9% 59.9% 128.4% 1.9% -13.7% 1.1M -69.7M -742.0K 0.59 5.03 N/A N/A 6,210 3,647 236,700 157,607 2009-03-31 $12.65 $10.00 129.4% 37.1% 108.9% 61.3% 129.7% 4.1% -18.1% 1.3M -87.4M -770.4K 0.56 4.89 N/A N/A 7,572 4,242 242,917 158,136
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