SNDK Options History — April 2009 In April 2009, SNDK traded between $12.50 and $15.72. ATM implied volatility averaged 98.5%, placing in the 39.9% IV rank vs the trailing year. The 30-day expected move averaged 28.8%. IV traded above realized volatility by 1.7% (HV 20d: 96.8%). Max pain ranged from $10.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.56.
Notable Days 2009-04-22 : Highest Volume — 51,482 contracts2009-04-09 : Largest IV spike — 39.3% change2009-04-01 : Highest IV Rank — 61.1%2009-04-01 : Largest Expected Move — 37.0%Monthly Statistics Metric Avg Min Max Open Close Price $14.24 $12.50 $15.72 $12.50 $15.72 Max Pain $13.00 $10.00 $14.00 $10.00 $14.00 ATM IV 98.5% 61.6% 129.2% 129.2% 61.6% Expected Move 28.8% 17.6% 37.0% 37.0% 17.6% HV 20d 96.8% 87.9% 110.3% 109.5% 91.0% HV 60d 109.4% 96.1% 112.2% 108.5% 96.1% IV Rank 39.9% 14.3% 61.1% 61.1% 14.3% IV Percentile 55.5% 27.8% 84.9% 84.9% 27.8% Term Structure -11.9% -29.2% 7.9% -15.1% 7.9% VWIV 100.5% 61.3% 128.2% 128.2% 61.3% Skew 25d 11.7% 4.5% 16.9% 5.0% 11.3% Skew 10d 21.9% 7.6% 29.5% 9.3% 22.8% Call IV 25d 94.1% 58.5% 126.3% 126.3% 58.5% Put IV 25d 105.8% 69.8% 131.3% 131.3% 69.8% Bid-Ask Spread % 4.31 3.35 6.18 4.29 6.18 Gamma HHI 0.14 0.10 0.35 0.11 0.11 Net GEX 1.4M 556.3K 2.2M 1.3M 1.2M Net DEX -102.2M -175.6M -36.2M -83.3M -77.4M Net VEX -724.0K -815.1K -646.8K -761.6K -708.6K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.56 0.13 0.99 0.54 0.13 Total Volume 18,602.905 7,128 51,482 8,300 22,309 Total OI 360,140.952 252,806 429,998 405,994 288,550
Daily Data (21 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 2009-04-01 $12.50 $10.00 129.2% 37.0% 109.5% 61.1% 128.2% 5.0% -15.1% 1.3M -83.3M -761.6K 0.54 4.29 N/A N/A 5,404 2,896 245,412 160,582 2009-04-02 $13.30 $10.00 119.8% 34.4% 110.3% 54.7% 120.7% 4.5% -1.9% 1.5M -109.4M -793.0K 0.87 5.10 N/A N/A 13,954 12,072 247,912 162,025 2009-04-03 $14.09 $13.00 116.6% 33.4% 107.5% 52.4% 115.8% 16.9% -20.5% 1.6M -137.2M -815.1K 0.35 3.35 N/A N/A 12,464 4,395 251,068 162,750 2009-04-06 $13.69 $13.00 115.5% 33.9% 108.2% 51.7% 120.3% 16.6% -24.0% 1.8M -127.7M -761.5K 0.51 3.35 N/A N/A 7,819 4,005 255,931 159,421 2009-04-07 $12.76 $13.00 117.2% 33.8% 98.9% 52.8% 115.9% 14.7% -20.0% 1.7M -95.9M -727.9K 0.40 3.95 N/A N/A 5,642 2,259 259,127 161,604 2009-04-08 $13.01 $13.00 84.7% 34.2% 98.1% 30.4% 117.4% 14.9% -23.8% 2.0M -104.0M -711.9K 0.29 3.78 N/A N/A 27,472 7,889 260,163 162,323 2009-04-09 $14.48 $13.00 118.0% 33.8% 103.2% 53.4% 116.4% 15.5% -26.4% 2.0M -163.9M -767.3K 0.31 3.54 N/A N/A 23,252 7,119 263,367 164,330 2009-04-13 $14.42 $13.00 120.1% 34.4% 98.2% 54.9% 120.4% 16.0% -29.2% 2.0M -156.9M -736.9K 0.61 3.37 N/A N/A 7,317 4,457 258,724 166,147 2009-04-14 $13.62 $13.00 114.9% 32.9% 89.6% 51.2% 113.7% 13.7% -24.0% 2.1M -126.5M -705.9K 0.63 3.83 N/A N/A 6,157 3,893 259,979 167,817 2009-04-15 $13.55 $13.00 108.8% 31.2% 89.4% 47.0% 110.8% 13.2% -21.1% 2.2M -121.4M -685.4K 0.96 4.65 N/A N/A 4,695 4,507 260,697 169,301 2009-04-16 $14.43 $13.00 104.1% 29.8% 89.3% 43.8% 102.8% 15.9% -15.5% 2.0M -157.1M -693.2K 0.45 3.76 N/A N/A 9,468 4,305 254,886 166,233 2009-04-17 $14.82 $13.00 90.5% 26.0% 87.9% 34.4% 91.0% 14.1% -9.1% 1.6M -175.6M -687.4K 0.32 4.87 N/A N/A 23,645 7,557 256,415 167,925 2009-04-20 $13.40 $13.00 101.2% 29.0% 95.1% 41.7% 102.0% 12.8% -9.3% 556.3K -36.2M -646.8K 0.95 3.65 N/A N/A 7,748 7,399 146,369 106,437 2009-04-21 $13.71 $13.00 107.1% 30.7% 89.2% 45.8% 105.8% 12.2% -16.0% 589.4K -42.6M -666.5K 0.41 4.43 N/A N/A 30,025 12,380 149,856 110,615 2009-04-22 $15.54 $13.00 76.4% 21.9% 97.7% 24.6% 79.9% 7.9% -0.0% 1.2M -89.6M -738.8K 0.39 5.01 N/A N/A 37,061 14,421 167,951 117,071 2009-04-23 $15.44 $14.00 80.5% 23.1% 96.9% 27.5% 81.4% 7.8% -2.2% 972.8K -76.0M -723.7K 0.64 4.58 N/A N/A 7,415 4,748 160,673 120,176 2009-04-24 $15.62 $14.00 73.9% 21.2% 93.5% 22.9% 75.8% 8.7% 2.3% 995.9K -77.5M -737.9K 0.99 5.67 N/A N/A 4,904 4,850 161,192 122,204 2009-04-27 $14.72 $14.00 79.5% 22.8% 96.0% 26.7% 80.7% 5.4% -1.0% 852.5K -57.0M -708.3K 0.75 3.60 N/A N/A 5,186 3,876 163,104 124,509 2009-04-28 $14.82 $14.00 74.2% 21.3% 91.2% 23.1% 75.0% 8.3% 0.9% 947.2K -58.6M -710.3K 0.67 4.27 N/A N/A 5,119 3,449 164,834 124,986 2009-04-29 $15.48 $14.00 74.9% 21.5% 91.3% 23.6% 74.3% 9.4% -2.2% 1.1M -72.6M -715.7K 0.53 5.36 N/A N/A 4,674 2,454 164,799 125,495 2009-04-30 $15.72 $14.00 61.6% 17.6% 91.0% 14.3% 61.3% 11.3% 7.9% 1.2M -77.4M -708.6K 0.13 6.18 N/A N/A 19,772 2,537 163,179 125,371
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