SNDK Options History — October 2009 In October 2009, SNDK traded between $20.09 and $24.01. ATM implied volatility averaged 54.8%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 16.4%. IV traded above realized volatility by 0.3% (HV 20d: 54.5%). Max pain ranged from $17.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.55.
Notable Days 2009-10-21 : Highest Volume — 110,379 contracts2009-10-21 : Largest IV drop — 30.2% change2009-10-30 : Highest IV Rank — 15.4%2009-10-16 : Largest Expected Move — 18.5%Monthly Statistics Metric Avg Min Max Open Close Price $21.67 $20.09 $24.01 $20.40 $20.48 Max Pain $20.82 $17.00 $22.00 $17.00 $22.00 ATM IV 54.8% 41.0% 64.5% 57.8% 60.3% Expected Move 16.4% 11.7% 18.5% 16.6% 17.3% HV 20d 54.5% 46.2% 69.9% 50.0% 69.9% HV 60d 48.3% 42.0% 53.5% 51.9% 53.5% IV Rank 8.0% 0.0% 15.4% 8.1% 15.4% IV Percentile 16.9% 0.0% 31.3% 20.6% 28.6% Term Structure -1.6% -6.6% 4.9% 4.0% -1.0% VWIV 57.5% 42.2% 64.6% 58.8% 60.7% Skew 25d 3.5% 1.4% 6.0% 1.7% 2.5% Skew 10d 6.5% 1.4% 12.2% 2.3% 3.1% Call IV 25d 56.3% 40.9% 64.3% 58.2% 60.3% Put IV 25d 59.9% 43.4% 67.0% 59.9% 62.8% Bid-Ask Spread % 3.68 2.65 5.15 3.34 4.49 Gamma HHI 0.18 0.10 0.35 0.17 0.11 Net GEX 3.0M 1.8M 4.5M 2.1M 1.8M Net DEX -141.1M -209.8M -52.8M -119.7M -52.8M Net VEX -757.7K -944.6K -645.2K -657.6K -869.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.55 0.25 1.04 0.91 0.73 Total Volume 30,787.591 7,204 110,379 17,988 25,519 Total OI 322,578.273 259,208 352,884 306,333 346,481
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 2009-10-01 $20.40 $17.00 57.8% 16.6% 50.0% 8.1% 58.8% 1.7% 4.0% 2.1M -119.7M -657.6K 0.91 3.34 N/A N/A 9,401 8,587 182,409 123,924 2009-10-02 $20.09 $17.00 56.4% 16.2% 50.7% 7.1% 57.3% 2.6% 4.5% 2.0M -108.9M -664.5K 0.45 3.30 N/A N/A 12,279 5,561 185,145 127,157 2009-10-05 $20.94 $21.00 58.0% 17.6% 51.6% 8.2% 61.5% 5.6% -3.9% 2.5M -139.5M -674.1K 0.56 3.18 N/A N/A 6,573 3,648 188,938 127,660 2009-10-06 $21.42 $21.00 60.3% 18.3% 50.4% 9.9% 62.9% 5.9% -5.0% 2.7M -157.5M -675.1K 0.37 2.65 N/A N/A 11,353 4,251 188,704 127,989 2009-10-07 $21.29 $21.00 57.4% 18.0% 46.8% 8.5% 62.5% 6.0% -4.4% 2.7M -153.6M -674.8K 0.93 3.20 N/A N/A 3,741 3,463 190,768 129,718 2009-10-08 $21.24 $21.00 51.4% 17.3% 46.7% 3.8% 60.2% 5.5% -3.5% 2.8M -147.6M -666.4K 1.04 3.56 N/A N/A 4,439 4,634 191,147 131,290 2009-10-09 $21.44 $21.00 49.2% 17.9% 46.8% 2.1% 62.3% 5.0% -4.7% 2.9M -152.3M -657.5K 0.43 3.27 N/A N/A 9,914 4,215 191,138 131,035 2009-10-12 $21.02 $21.00 58.5% 18.2% 46.3% 9.4% 63.7% 4.1% -5.8% 2.6M -141.6M -645.2K 0.38 3.56 N/A N/A 16,134 6,144 193,877 131,752 2009-10-13 $21.18 $21.00 58.9% 18.3% 46.2% 9.7% 63.5% 3.3% -6.3% 2.9M -145.8M -650.8K 0.80 3.15 N/A N/A 12,600 10,107 199,353 133,504 2009-10-14 $22.48 $21.00 53.4% 18.0% 49.9% 5.4% 62.8% 3.1% -5.5% 4.4M -209.8M -720.5K 0.29 3.50 N/A N/A 28,646 8,185 204,629 140,105 2009-10-15 $22.00 $21.00 64.5% 18.5% 50.1% 14.1% 64.6% 3.7% -6.6% 4.5M -187.5M -729.8K 0.37 3.62 N/A N/A 13,948 5,133 209,522 141,813 2009-10-16 $20.98 $21.00 64.5% 18.5% 48.9% 14.1% 64.5% 1.7% -5.9% 2.6M -134.5M -703.7K 0.27 2.88 N/A N/A 20,726 5,549 210,284 142,600 2009-10-19 $21.46 $21.00 62.4% 17.9% 49.8% 12.4% 62.1% 2.1% -2.6% 2.1M -106.8M -728.6K 0.25 2.98 N/A N/A 22,005 5,417 161,094 98,114 2009-10-20 $21.48 $21.00 58.7% 16.8% 49.8% 10.1% 58.4% 2.2% -2.8% 2.4M -111.4M -741.4K 0.53 3.00 N/A N/A 49,444 26,063 169,377 101,631 2009-10-21 $23.53 $21.00 41.0% 11.7% 59.8% 0.0% 42.5% 2.5% 4.2% 4.0M -195.4M -817.9K 0.43 4.76 N/A N/A 77,414 32,965 187,786 115,038 2009-10-22 $22.85 $21.00 42.1% 12.1% 59.4% 0.9% 42.8% 4.1% 4.4% 4.2M -169.1M -882.6K 0.42 4.51 N/A N/A 22,569 9,502 201,274 122,807 2009-10-23 $22.12 $21.00 42.0% 12.0% 59.8% 0.8% 42.2% 4.7% 4.9% 3.5M -125.1M -839.8K 0.59 4.37 N/A N/A 11,092 6,558 193,903 122,348 2009-10-26 $24.01 $21.00 50.1% 14.4% 64.1% 7.2% 50.7% 1.4% 0.6% 3.8M -203.5M -884.3K 0.38 5.15 N/A N/A 62,606 23,489 192,484 122,539 2009-10-27 $22.69 $22.00 50.5% 14.5% 66.9% 7.6% 51.4% 2.4% 1.0% 3.4M -141.9M -937.8K 0.57 3.55 N/A N/A 18,212 10,382 206,705 134,569 2009-10-28 $21.62 $22.00 52.8% 15.1% 69.2% 9.3% 53.3% 4.3% 0.5% 2.7M -91.5M -902.6K 0.88 4.34 N/A N/A 15,461 13,673 209,584 136,566 2009-10-29 $21.92 $22.00 55.8% 16.0% 65.4% 11.8% 56.1% 2.8% -1.7% 2.9M -109.1M -944.6K 0.45 4.53 N/A N/A 17,783 7,942 212,862 137,099 2009-10-30 $20.48 $22.00 60.3% 17.3% 69.9% 15.4% 60.7% 2.5% -1.0% 1.8M -52.8M -869.4K 0.73 4.49 N/A N/A 14,749 10,770 210,174 136,307
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