SNDK Options History — May 2009

In May 2009, SNDK traded between $12.21 and $16.42. ATM implied volatility averaged 72.7%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 20.6%. IV traded below realized volatility by 13.7% (HV 20d: 86.4%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.55.

Notable Days

  • 2009-05-27: Highest Volume — 47,135 contracts
  • 2009-05-07: Largest IV spike — 42.5% change
  • 2009-05-11: Highest IV Rank — 37.5%
  • 2009-05-07: Largest Expected Move — 23.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.36$12.21$16.42$15.16$15.66
Max Pain$14.00$14.00$14.00$14.00$14.00
ATM IV72.7%64.3%95.6%66.2%64.3%
Expected Move20.6%18.4%23.6%19.0%18.4%
HV 20d86.4%73.9%92.4%90.4%88.2%
HV 60d96.3%94.3%97.7%95.7%96.1%
IV Rank21.3%14.9%37.5%17.6%14.9%
IV Percentile32.6%22.6%50.0%31.0%22.6%
Term Structure2.9%-4.4%13.1%6.1%2.4%
VWIV71.8%64.2%81.3%64.2%64.9%
Skew 25d7.2%1.9%10.3%9.2%1.9%
Skew 10d14.5%4.7%19.6%18.3%6.1%
Call IV 25d69.0%62.3%79.5%62.3%64.7%
Put IV 25d76.2%66.6%86.9%71.5%66.6%
Bid-Ask Spread %4.383.375.695.693.41
Gamma HHI0.120.090.480.110.10
Net GEX1.1M464.3K2.7M1.4M1.4M
Net DEX-47.1M-101.4M1.6M-68.1M-78.2M
Net VEX-659.6K-736.6K-568.1K-713.4K-736.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.550.161.460.510.25
Total Volume17,514.755,58047,1358,24912,225
Total OI299,729.75270,135329,055299,790317,812

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-05-01$15.16$14.0066.2%19.0%90.4%17.6%64.2%9.2%6.1%1.4M-68.1M-713.4K0.515.69N/AN/A5,4612,788175,229124,561
2009-05-04$16.42$14.0065.4%20.4%92.4%17.0%71.4%10.3%-0.1%1.6M-101.4M-733.7K0.265.27N/AN/A9,9902,554172,062125,221
2009-05-05$16.00$14.0065.9%20.7%92.2%17.1%72.6%8.4%0.2%1.6M-90.5M-723.5K0.334.15N/AN/A4,4751,474173,517125,581
2009-05-06$15.90$14.0064.6%20.8%87.7%16.2%72.0%9.1%0.1%1.6M-87.7M-720.5K0.244.08N/AN/A5,3691,287174,158125,798
2009-05-07$14.82$14.0092.0%23.6%92.3%35.2%81.1%8.7%-4.4%1.2M-60.0M-699.3K0.165.11N/AN/A21,2973,313174,586126,304
2009-05-08$14.07$14.0079.2%22.4%86.4%26.3%76.1%8.3%-0.7%1.1M-40.9M-664.9K0.705.44N/AN/A10,4157,265179,226126,371
2009-05-11$13.44$14.0095.6%23.2%87.8%37.5%79.1%8.1%-1.8%811.6K-23.8M-627.2K0.344.38N/AN/A19,3246,531181,225128,502
2009-05-12$12.61$14.0091.2%23.1%88.4%34.4%81.3%7.4%-1.0%603.5K-6.0M-585.1K0.674.31N/AN/A12,1768,182187,726130,492
2009-05-13$12.21$14.0080.6%23.6%88.9%27.0%81.0%6.9%0.1%464.3K1.6M-568.1K0.354.69N/AN/A14,2574,955191,936130,475
2009-05-14$13.13$14.0076.6%21.9%90.0%24.2%76.1%7.4%2.5%1.1M-19.2M-612.1K0.554.29N/AN/A10,2555,677193,304132,935
2009-05-15$13.90$14.0073.2%21.0%92.0%21.8%73.9%7.2%3.1%2.7M-42.4M-644.8K0.465.60N/AN/A13,1176,009195,317133,738
2009-05-18$14.73$14.0066.1%19.0%86.8%16.6%66.8%7.0%2.9%875.2K-50.3M-657.6K0.333.75N/AN/A9,1613,035156,664113,471
2009-05-19$14.45$14.0067.2%19.3%86.9%16.9%66.5%7.2%4.2%895.1K-45.7M-651.7K0.633.90N/AN/A6,0593,800159,739114,266
2009-05-20$13.71$14.0065.8%18.9%75.8%15.9%66.2%7.1%8.2%751.3K-30.6M-623.4K0.753.83N/AN/A16,91312,620161,366114,642
2009-05-21$13.45$14.0068.9%19.8%76.0%18.1%68.2%7.8%11.6%590.7K-22.2M-612.7K1.464.46N/AN/A7,70911,245160,570117,593
2009-05-22$13.27$14.0067.1%19.2%75.7%16.8%66.2%5.3%11.7%493.4K-19.0M-612.3K0.954.05N/AN/A2,8662,714163,012121,769
2009-05-26$13.58$14.0068.1%19.5%73.9%17.6%71.1%7.5%13.1%534.0K-22.9M-623.6K0.973.37N/AN/A3,0993,020162,002124,904
2009-05-27$15.52$14.0067.9%19.5%88.6%17.4%68.8%7.0%-0.4%1.1M-69.0M-682.6K0.564.04N/AN/A30,15816,977163,647126,270
2009-05-28$15.17$14.0067.5%19.4%87.6%17.2%68.0%2.1%0.5%1.2M-65.2M-699.4K0.613.75N/AN/A20,13812,385177,329131,275
2009-05-29$15.66$14.0064.3%18.4%88.2%14.9%64.9%1.9%2.4%1.4M-78.2M-736.6K0.253.41N/AN/A9,8152,410180,361137,451