SNDK Options History — August 2009

In August 2009, SNDK traded between $16.44 and $18.28. ATM implied volatility averaged 50.6%, placing in the 2.5% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 1.5% (HV 20d: 49.1%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2009-08-28: Highest Volume — 25,058 contracts
  • 2009-08-13: Largest IV spike — 15.5% change
  • 2009-08-17: Highest IV Rank — 7.3%
  • 2009-08-17: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.36$16.44$18.28$18.28$17.70
Max Pain$16.81$16.00$17.00$16.00$17.00
ATM IV50.6%46.5%56.6%51.4%50.2%
Expected Move14.8%13.8%16.2%14.7%14.4%
HV 20d49.1%29.4%67.7%67.7%30.6%
HV 60d59.4%52.6%67.7%67.7%52.7%
IV Rank2.5%0.0%7.3%1.4%2.6%
IV Percentile2.9%0.0%9.5%1.2%4.8%
Term Structure3.5%2.3%5.9%2.3%5.9%
VWIV51.9%49.0%56.7%51.7%50.9%
Skew 25d1.4%-1.3%3.1%-1.3%2.1%
Skew 10d4.0%-0.8%6.6%-0.8%5.7%
Call IV 25d51.6%48.0%56.3%52.4%50.2%
Put IV 25d53.0%49.7%57.8%51.1%52.3%
Bid-Ask Spread %4.083.405.293.413.62
Gamma HHI0.140.110.160.160.16
Net GEX1.8M1.1M2.2M2.2M1.8M
Net DEX-80.2M-125.7M-45.2M-125.7M-78.7M
Net VEX-630.2K-705.4K-572.8K-695.4K-641.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.171.630.330.44
Total Volume12,593.0485,36325,0589,2017,499
Total OI321,928.905260,676355,984319,744295,058

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-08-03$18.28$16.0051.4%14.7%67.7%1.4%51.7%-1.3%2.3%2.2M-125.7M-695.4K0.333.41N/AN/A6,9202,281189,692130,052
2009-08-04$18.14$16.0050.9%14.6%64.9%1.1%51.5%-0.8%2.9%2.2M-120.7M-699.5K0.173.73N/AN/A12,1832,122191,489130,409
2009-08-05$17.94$16.0051.5%14.8%64.5%1.5%51.5%-0.4%2.7%2.2M-116.4M-694.7K1.633.64N/AN/A3,8376,253197,313130,781
2009-08-06$17.68$16.0049.7%14.2%63.8%0.2%49.9%-0.9%3.9%2.2M-104.8M-705.4K0.923.61N/AN/A2,8002,563198,237133,991
2009-08-07$17.84$17.0047.9%15.1%63.4%0.0%52.6%3.1%2.8%2.2M-110.9M-676.6K1.313.97N/AN/A3,6744,812198,089132,001
2009-08-10$17.15$17.0047.5%15.0%63.7%0.0%52.1%2.7%2.6%1.9M-79.4M-636.3K0.625.24N/AN/A7,8384,829198,769133,045
2009-08-11$16.75$17.0046.5%15.0%64.5%0.0%52.8%1.8%2.5%1.7M-60.9M-626.5K0.943.74N/AN/A7,3656,934201,256134,234
2009-08-12$17.24$17.0047.3%15.2%63.3%0.6%53.4%2.8%2.8%2.0M-83.9M-634.9K0.794.94N/AN/A7,3355,808203,475136,227
2009-08-13$17.23$17.0054.7%15.7%55.0%5.9%54.7%1.9%2.5%2.1M-86.1M-644.5K0.344.03N/AN/A15,1515,095206,023137,018
2009-08-14$16.88$17.0053.3%15.3%54.8%4.9%54.0%1.1%3.3%1.9M-68.8M-632.2K0.693.47N/AN/A5,2883,653209,527139,264
2009-08-17$16.44$17.0056.6%16.2%53.7%7.3%56.7%1.5%2.6%1.4M-45.2M-594.3K1.054.78N/AN/A4,2474,441211,703139,696
2009-08-18$16.59$17.0054.1%15.5%53.6%5.5%54.6%2.1%3.2%1.4M-51.6M-591.9K0.474.06N/AN/A6,5953,099211,531140,318
2009-08-19$16.71$17.0053.3%15.3%51.1%4.9%53.5%2.1%2.9%1.4M-57.9M-586.4K0.695.29N/AN/A6,6844,580211,642140,561
2009-08-20$16.75$17.0052.1%14.9%30.9%4.0%52.6%1.8%3.5%1.1M-56.5M-573.2K0.693.61N/AN/A7,2755,050211,720141,608
2009-08-21$16.88$17.0050.0%14.3%30.8%2.6%50.6%2.3%4.5%1.4M-56.2M-572.8K0.773.80N/AN/A7,5985,867213,897142,087
2009-08-24$17.12$17.0050.0%14.3%29.4%2.5%50.3%0.4%4.5%1.2M-58.1M-575.8K0.333.40N/AN/A16,4265,358154,399106,277
2009-08-25$17.80$17.0050.0%14.3%31.6%2.5%50.1%0.8%3.2%1.6M-80.5M-601.2K0.385.05N/AN/A11,6484,477161,549109,504
2009-08-26$17.68$17.0048.5%13.9%31.1%1.4%49.1%1.0%4.1%1.6M-75.9M-604.8K0.863.74N/AN/A4,7744,085163,605111,025
2009-08-27$17.73$17.0048.2%13.8%30.8%1.2%49.1%1.9%5.1%1.7M-76.5M-614.0K0.834.36N/AN/A7,0625,890165,539113,591
2009-08-28$18.03$17.0048.9%14.0%31.4%1.7%49.0%2.6%5.8%1.8M-90.1M-632.2K0.374.14N/AN/A18,2276,831168,160116,145
2009-08-31$17.70$17.0050.2%14.4%30.6%2.6%50.9%2.1%5.9%1.8M-78.7M-641.9K0.443.62N/AN/A5,2162,283175,779119,279