SNDK Options History — July 2009 In July 2009, SNDK traded between $13.33 and $18.99. ATM implied volatility averaged 60.7%, placing in the 7.4% IV rank vs the trailing year. The 30-day expected move averaged 18.2%. IV traded above realized volatility by 1.0% (HV 20d: 59.7%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.62.
Notable Days 2009-07-23 : Highest Volume — 87,499 contracts2009-07-23 : Largest IV drop — 21.6% change2009-07-20 : Highest IV Rank — 14.5%2009-07-08 : Largest Expected Move — 21.3%Monthly Statistics Metric Avg Min Max Open Close Price $16.37 $13.33 $18.99 $14.87 $17.82 Max Pain $14.95 $14.00 $17.00 $14.00 $16.00 ATM IV 60.7% 49.4% 70.4% 55.6% 49.4% Expected Move 18.2% 14.2% 21.3% 15.9% 14.2% HV 20d 59.7% 48.2% 70.7% 51.6% 67.7% HV 60d 71.6% 67.5% 76.8% 76.8% 69.2% IV Rank 7.4% 0.0% 14.5% 3.5% 0.0% IV Percentile 14.0% 0.0% 31.7% 2.4% 0.0% Term Structure -0.1% -5.6% 10.0% 7.7% 3.7% VWIV 63.6% 49.6% 72.9% 56.9% 49.6% Skew 25d 3.2% -1.6% 10.4% -1.6% -0.4% Skew 10d 6.7% -4.2% 17.8% -3.7% -0.1% Call IV 25d 62.4% 50.2% 71.4% 59.3% 50.2% Put IV 25d 65.7% 49.8% 79.4% 57.7% 49.8% Bid-Ask Spread % 3.58 2.34 4.67 4.27 4.21 Gamma HHI 0.17 0.11 0.76 0.11 0.15 Net GEX 2.0M 402.0K 10.9M 1.2M 2.0M Net DEX -83.3M -198.7M -1.7M -44.4M -107.9M Net VEX -641.6K -728.4K -524.0K -604.4K -706.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.27 1.20 0.91 0.31 Total Volume 26,619.545 6,069 87,499 6,069 9,747 Total OI 318,851.545 254,049 369,214 315,940 320,257
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 2009-07-01 $14.87 $14.00 55.6% 15.9% 51.6% 3.5% 56.9% -1.6% 7.7% 1.2M -44.4M -604.4K 0.91 4.27 N/A N/A 3,178 2,891 181,196 134,744 2009-07-02 $14.19 $14.00 55.9% 16.0% 51.3% 3.7% 57.7% -0.7% 10.0% 833.8K -25.7M -574.0K 1.20 3.52 N/A N/A 4,168 5,022 182,232 134,272 2009-07-06 $14.18 $14.00 62.7% 20.2% 51.3% 8.8% 69.3% 9.2% -2.8% 812.8K -24.7M -566.3K 0.27 3.43 N/A N/A 7,412 2,001 184,004 135,608 2009-07-07 $13.57 $14.00 66.8% 20.9% 53.2% 11.8% 72.9% 10.4% -3.1% 532.7K -10.0M -544.3K 0.40 3.86 N/A N/A 8,392 3,344 186,555 136,187 2009-07-08 $13.33 $14.00 66.5% 21.3% 48.2% 11.6% 72.2% 9.6% -3.4% 402.0K -1.7M -524.0K 0.69 3.67 N/A N/A 6,690 4,638 189,644 137,709 2009-07-09 $14.02 $14.00 60.9% 20.7% 52.7% 7.5% 71.9% 6.5% -3.0% 808.0K -22.7M -573.5K 0.55 4.16 N/A N/A 14,996 8,235 192,470 139,138 2009-07-10 $14.47 $14.00 61.3% 20.3% 53.8% 7.8% 70.3% 3.1% 0.4% 1.3M -40.4M -593.8K 0.52 3.38 N/A N/A 16,794 8,801 198,305 141,863 2009-07-13 $15.25 $14.00 66.5% 20.4% 57.3% 11.6% 70.8% 3.5% -1.3% 1.8M -70.6M -616.6K 0.62 2.94 N/A N/A 13,615 8,408 203,874 144,580 2009-07-14 $15.47 $14.00 63.8% 20.8% 56.4% 9.6% 72.7% 2.7% -2.4% 2.1M -81.0M -625.9K 0.51 4.01 N/A N/A 14,862 7,516 207,233 143,004 2009-07-15 $16.20 $14.00 65.6% 19.8% 58.1% 10.9% 69.1% 3.7% -2.6% 2.8M -114.4M -636.7K 0.55 4.33 N/A N/A 19,504 10,768 213,414 142,614 2009-07-16 $17.67 $15.00 69.9% 20.1% 65.0% 14.2% 70.5% 3.3% -3.9% 3.6M -175.6M -669.7K 0.35 3.47 N/A N/A 45,573 16,077 215,912 146,135 2009-07-17 $18.03 $15.00 68.2% 19.6% 59.4% 12.9% 68.5% 4.5% -3.1% 10.9M -198.7M -662.5K 0.43 3.20 N/A N/A 25,565 10,984 221,292 147,922 2009-07-20 $18.62 $15.00 70.4% 20.2% 59.5% 14.5% 71.2% 5.8% -5.6% 1.5M -114.5M -673.2K 0.70 2.81 N/A N/A 23,768 16,689 153,685 100,364 2009-07-21 $18.23 $15.00 69.0% 19.8% 52.4% 13.5% 68.9% 4.3% -4.1% 1.7M -108.5M -688.5K 0.62 2.34 N/A N/A 14,456 8,896 162,115 104,565 2009-07-22 $18.99 $16.00 65.4% 18.8% 53.2% 10.8% 66.0% 3.5% -3.2% 1.7M -125.1M -674.3K 0.61 3.56 N/A N/A 37,121 22,779 160,415 102,474 2009-07-23 $16.92 $17.00 51.2% 14.7% 70.5% 0.3% 52.1% 0.2% 3.8% 1.3M -62.7M -644.5K 0.54 4.52 N/A N/A 56,900 30,599 171,319 115,712 2009-07-24 $17.09 $16.00 53.6% 15.4% 70.2% 2.0% 54.3% 1.7% 2.6% 1.6M -76.7M -684.1K 0.77 2.76 N/A N/A 14,005 10,840 180,756 121,735 2009-07-27 $17.58 $16.00 54.5% 15.6% 70.2% 2.7% 55.0% 0.6% 1.8% 1.8M -97.4M -710.9K 0.40 3.98 N/A N/A 14,058 5,615 185,281 125,459 2009-07-28 $18.00 $16.00 53.0% 15.2% 70.3% 1.6% 53.5% 1.0% 2.3% 2.0M -116.9M -702.6K 0.75 2.95 N/A N/A 13,058 9,822 187,399 125,754 2009-07-29 $17.70 $16.00 53.4% 15.3% 70.7% 1.8% 54.0% -0.0% 2.1% 1.9M -103.3M -710.2K 1.11 2.67 N/A N/A 4,753 5,268 188,526 128,255 2009-07-30 $17.89 $16.00 52.1% 14.9% 70.7% 0.9% 52.5% 0.3% 2.5% 2.0M -110.5M -728.4K 0.88 4.67 N/A N/A 9,504 8,318 189,772 130,984 2009-07-31 $17.82 $16.00 49.4% 14.2% 67.7% 0.0% 49.6% -0.4% 3.7% 2.0M -107.9M -706.4K 0.31 4.21 N/A N/A 7,437 2,310 190,339 129,918
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