SNDK Options History — September 2009

In September 2009, SNDK traded between $16.70 and $22.93. ATM implied volatility averaged 52.8%, placing in the 4.5% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded above realized volatility by 12.8% (HV 20d: 40.0%). 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 20 of 21 days. Put/call ratio averaged 0.62.

Notable Days

  • 2009-09-18: Highest Volume — 41,649 contracts
  • 2009-09-08: Largest IV spike — 8.6% change
  • 2009-09-21: Highest IV Rank — 8.1%
  • 2009-09-21: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.42$16.70$22.93$16.83$21.70
Max Pain$16.52$16.00$17.00$17.00$17.00
ATM IV52.8%47.9%57.8%52.3%52.1%
Expected Move15.3%14.3%16.6%15.0%14.9%
HV 20d40.0%35.1%48.1%35.2%42.8%
HV 60d51.6%49.5%53.9%53.8%50.2%
IV Rank4.5%1.0%8.1%4.2%4.1%
IV Percentile10.2%1.6%17.5%7.5%10.7%
Term Structure3.9%-0.0%7.7%4.9%5.7%
VWIV54.0%50.7%57.8%52.8%52.4%
Skew 25d3.0%-0.1%6.7%2.2%1.0%
Skew 10d6.4%0.6%12.9%4.9%1.9%
Call IV 25d52.9%50.2%57.5%52.5%52.1%
Put IV 25d55.9%52.7%59.5%54.7%53.1%
Bid-Ask Spread %3.272.414.424.422.79
Gamma HHI0.180.130.230.140.20
Net GEX2.4M1.2M2.8M1.3M2.8M
Net DEX-155.4M-258.3M-45.5M-51.5M-165.6M
Net VEX-650.0K-704.5K-610.8K-610.8K-669.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.311.270.410.75
Total Volume19,3377,58441,64924,1039,200
Total OI306,104.619278,687330,000297,610305,071

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-09-01$16.83$17.0052.3%15.0%35.2%4.2%52.8%2.2%4.9%1.3M-51.5M-610.8K0.414.42N/AN/A17,1326,971177,347120,263
2009-09-02$16.70$17.0050.9%14.6%35.1%3.2%52.9%3.6%6.7%1.2M-45.5M-620.0K1.124.09N/AN/A4,0284,521179,245122,794
2009-09-03$16.99$17.0049.8%14.3%35.6%2.4%50.7%2.5%7.3%1.4M-53.4M-633.6K1.033.41N/AN/A4,8024,928179,696125,222
2009-09-04$17.46$16.0047.9%15.9%36.9%1.0%54.9%5.0%2.7%1.7M-68.0M-636.7K0.933.45N/AN/A3,9393,645179,553125,643
2009-09-08$18.21$16.0052.0%16.0%37.0%4.0%55.3%5.3%3.0%2.3M-98.5M-638.9K0.473.97N/AN/A8,9044,206180,513126,004
2009-09-09$19.32$16.0051.7%15.7%40.6%3.8%54.2%5.8%1.9%2.8M-145.0M-653.5K0.442.58N/AN/A20,8269,106182,516126,019
2009-09-10$19.61$16.0052.8%15.1%39.9%4.6%55.8%6.7%2.4%2.7M-147.3M-642.7K0.673.41N/AN/A6,4294,313181,517129,375
2009-09-11$19.75$16.0052.2%15.0%39.8%4.1%52.4%6.4%3.1%2.7M-151.0M-633.1K1.273.47N/AN/A8,14210,324179,560130,745
2009-09-14$20.38$16.0053.9%15.5%39.4%5.4%54.2%4.1%1.3%2.5M-174.0M-619.1K0.373.36N/AN/A26,7629,851180,583131,736
2009-09-15$20.63$16.0054.3%15.6%37.0%5.6%54.9%3.8%1.5%2.8M-190.5M-624.2K0.333.29N/AN/A26,3198,564186,700131,460
2009-09-16$21.20$16.0054.5%15.6%37.4%5.8%55.1%2.5%-0.0%2.8M-210.4M-636.2K0.373.19N/AN/A27,57110,137190,930134,126
2009-09-17$21.66$16.0054.7%15.7%37.5%5.9%54.8%2.3%1.4%2.3M-227.7M-647.6K0.702.62N/AN/A13,7289,573193,482136,196
2009-09-18$22.84$16.0056.6%16.2%39.9%7.3%57.1%1.2%0.3%2.5M-258.3M-667.8K0.312.53N/AN/A31,9139,736191,136138,864
2009-09-21$22.93$17.0057.8%16.6%40.0%8.1%57.8%2.4%3.1%2.5M-201.9M-653.5K0.362.41N/AN/A23,8358,571167,357111,330
2009-09-22$22.88$17.0055.8%16.0%40.5%6.7%55.9%3.3%3.9%2.8M-203.9M-704.5K0.572.82N/AN/A6,2283,543176,991114,920
2009-09-23$22.58$17.0052.3%15.0%40.5%4.2%52.9%2.7%5.0%2.8M-195.8M-680.1K0.974.19N/AN/A6,0015,805177,543116,002
2009-09-24$21.83$17.0051.1%14.6%43.2%3.3%51.7%1.6%7.7%2.7M-171.7M-677.0K0.462.78N/AN/A13,6306,314179,153117,855
2009-09-25$21.25$17.0051.6%14.8%45.2%3.7%52.4%1.4%7.6%2.5M-150.8M-683.4K0.693.25N/AN/A5,0193,463180,248119,586
2009-09-28$22.34$17.0051.9%14.9%47.4%3.9%52.6%-0.1%6.4%2.8M-185.9M-665.9K0.453.49N/AN/A5,2372,349179,752120,470
2009-09-29$21.76$17.0052.3%15.0%48.1%4.2%53.0%0.3%5.3%2.7M-167.4M-651.5K0.433.21N/AN/A7,3693,143179,840120,854
2009-09-30$21.70$17.0052.1%14.9%42.8%4.1%52.4%1.0%5.7%2.8M-165.6M-669.9K0.752.79N/AN/A5,2653,935182,904122,167