SNDK Options History — June 2009 In June 2009, SNDK traded between $13.55 and $16.44. ATM implied volatility averaged 64.7%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 18.7%. IV traded below realized volatility by 5.6% (HV 20d: 70.3%). Max pain ranged from $14.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.75.
Notable Days 2009-06-18 : Highest Volume — 28,290 contracts2009-06-19 : Largest IV drop — 7.8% change2009-06-01 : Highest IV Rank — 16.9%2009-06-18 : Largest Expected Move — 19.8%Monthly Statistics Metric Avg Min Max Open Close Price $15.06 $13.55 $16.44 $16.05 $14.70 Max Pain $14.00 $14.00 $14.00 $14.00 $14.00 ATM IV 64.7% 57.3% 69.0% 67.2% 57.3% Expected Move 18.7% 16.4% 19.8% 19.3% 16.4% HV 20d 70.3% 51.7% 87.6% 87.6% 51.7% HV 60d 84.4% 77.0% 96.1% 96.1% 77.0% IV Rank 11.1% 4.8% 16.9% 16.9% 4.8% IV Percentile 20.8% 4.8% 29.4% 26.6% 4.8% Term Structure 4.7% -0.5% 10.9% 1.3% 7.7% VWIV 66.2% 58.8% 70.0% 67.9% 58.8% Skew 25d 1.0% -2.2% 4.7% 1.5% -1.0% Skew 10d 2.2% -3.2% 9.4% 4.8% -3.0% Call IV 25d 66.4% 60.0% 70.2% 67.6% 60.0% Put IV 25d 67.4% 59.1% 71.9% 69.0% 59.1% Bid-Ask Spread % 3.74 2.58 5.05 4.99 4.06 Gamma HHI 0.10 0.08 0.11 0.10 0.11 Net GEX 1.2M 498.2K 1.9M 1.5M 1.0M Net DEX -57.1M -106.3M -15.6M -90.2M -38.9M Net VEX -669.4K -740.8K -579.7K -731.1K -597.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.75 0.32 1.58 0.57 1.16 Total Volume 13,788.636 5,233 28,290 17,746 8,387 Total OI 332,887.409 293,819 366,572 317,067 315,078
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 2009-06-01 $16.05 $14.00 67.2% 19.3% 87.6% 16.9% 67.9% 1.5% 1.3% 1.5M -90.2M -731.1K 0.57 4.99 N/A N/A 11,320 6,426 180,987 136,080 2009-06-02 $15.43 $14.00 68.3% 19.6% 83.8% 15.9% 69.7% -0.7% 2.9% 1.3M -71.6M -722.3K 0.35 3.05 N/A N/A 12,136 4,278 182,380 137,879 2009-06-03 $15.15 $14.00 63.9% 18.3% 83.6% 12.7% 65.0% -0.9% 4.3% 1.3M -64.6M -705.7K 0.52 3.38 N/A N/A 15,167 7,831 188,235 138,507 2009-06-04 $15.81 $14.00 66.2% 19.0% 85.1% 14.3% 66.7% -2.2% 2.2% 1.6M -86.7M -740.8K 0.89 3.54 N/A N/A 7,485 6,637 194,134 142,650 2009-06-05 $15.67 $14.00 62.3% 19.2% 81.1% 11.5% 67.4% -1.1% 2.7% 1.6M -81.7M -730.8K 0.85 4.45 N/A N/A 6,775 5,761 196,333 144,448 2009-06-08 $15.58 $14.00 66.2% 19.6% 78.6% 13.0% 68.8% -1.6% 1.3% 1.5M -77.5M -713.6K 0.89 3.67 N/A N/A 4,273 3,814 195,899 144,708 2009-06-09 $16.44 $14.00 66.3% 19.6% 78.0% 11.5% 68.9% 1.8% -0.5% 1.9M -106.3M -724.9K 0.62 2.74 N/A N/A 12,513 7,815 195,581 146,458 2009-06-10 $16.16 $14.00 63.3% 19.5% 73.8% 9.3% 68.4% 2.1% 2.6% 1.8M -95.2M -715.9K 0.58 2.58 N/A N/A 14,136 8,221 197,064 147,853 2009-06-11 $15.70 $14.00 67.7% 19.4% 73.5% 12.5% 68.4% 4.0% 3.0% 1.7M -80.6M -715.6K 1.17 3.26 N/A N/A 6,269 7,313 203,052 149,806 2009-06-12 $15.55 $14.00 66.1% 18.9% 70.3% 11.3% 67.0% 3.6% 3.3% 1.6M -73.3M -701.2K 0.57 3.74 N/A N/A 5,535 3,178 203,705 151,615 2009-06-15 $15.07 $14.00 68.9% 19.8% 69.2% 13.4% 69.2% 4.7% 1.8% 1.3M -56.3M -676.7K 0.68 3.80 N/A N/A 3,110 2,123 204,203 151,563 2009-06-16 $14.81 $14.00 68.9% 19.8% 66.5% 13.4% 69.4% 3.9% 1.8% 1.1M -46.3M -655.1K 0.60 3.90 N/A N/A 4,508 2,704 204,189 151,721 2009-06-17 $15.05 $14.00 67.6% 19.4% 66.4% 12.4% 68.4% 4.1% 2.5% 1.2M -54.2M -662.3K 1.58 3.99 N/A N/A 5,550 8,782 204,591 152,052 2009-06-18 $14.13 $14.00 69.0% 19.8% 67.6% 13.5% 70.0% 1.9% 3.5% 498.2K -17.4M -621.5K 1.26 3.68 N/A N/A 12,504 15,786 207,047 154,246 2009-06-19 $14.55 $14.00 63.6% 18.2% 67.8% 9.5% 64.2% 1.4% 5.9% 710.4K -32.3M -631.3K 1.03 5.05 N/A N/A 6,635 6,809 208,732 157,840 2009-06-22 $13.55 $14.00 64.1% 18.4% 72.7% 9.8% 65.8% 1.8% 10.5% 527.2K -15.6M -579.7K 0.67 3.72 N/A N/A 9,665 6,463 166,943 126,876 2009-06-23 $13.69 $14.00 64.0% 18.4% 72.3% 9.8% 65.6% 2.9% 10.2% 531.7K -16.2M -592.5K 0.38 3.49 N/A N/A 9,607 3,676 171,269 130,594 2009-06-24 $14.10 $14.00 62.9% 18.0% 54.1% 8.9% 64.4% -0.5% 10.5% 734.9K -28.6M -625.0K 0.40 4.17 N/A N/A 8,020 3,223 174,638 131,408 2009-06-25 $14.46 $14.00 60.6% 17.4% 54.6% 7.3% 61.6% 0.4% 10.9% 847.2K -33.7M -625.5K 0.44 3.68 N/A N/A 10,206 4,514 174,809 133,156 2009-06-26 $14.87 $14.00 59.7% 17.1% 54.3% 6.6% 61.3% -2.0% 8.2% 1.1M -46.3M -641.4K 0.32 3.67 N/A N/A 5,403 1,752 178,361 133,174 2009-06-29 $14.80 $14.00 59.5% 17.1% 53.4% 6.4% 60.5% -1.1% 6.7% 1.1M -43.1M -616.1K 0.93 3.69 N/A N/A 3,651 3,389 179,442 134,217 2009-06-30 $14.70 $14.00 57.3% 16.4% 51.7% 4.8% 58.8% -1.0% 7.7% 1.0M -38.9M -597.5K 1.16 4.06 N/A N/A 3,887 4,500 180,585 134,493
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