SNDK Options History — November 2009

In November 2009, SNDK traded between $19.66 and $21.95. ATM implied volatility averaged 50.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded below realized volatility by 10.0% (HV 20d: 60.6%). Max pain ranged from $21.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2009-11-02: Highest Volume — 26,059 contracts
  • 2009-11-12: Largest IV spike — 12.4% change
  • 2009-11-02: Highest IV Rank — 13.4%
  • 2009-11-02: Largest Expected Move — 16.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.79$19.66$21.95$20.86$19.72
Max Pain$21.95$21.00$23.00$22.00$21.00
ATM IV50.6%45.1%57.9%57.9%46.4%
Expected Move14.7%12.9%16.6%16.6%13.3%
HV 20d60.6%37.6%71.5%68.6%37.6%
HV 60d53.6%52.8%54.4%53.5%53.9%
IV Rank7.6%3.2%13.4%13.4%4.3%
IV Percentile10.2%1.2%25.8%25.8%2.0%
Term Structure4.1%0.1%6.8%0.1%5.8%
VWIV51.7%44.9%58.6%58.6%46.9%
Skew 25d4.7%2.4%6.9%2.5%2.4%
Skew 10d9.7%4.3%13.9%4.7%5.7%
Call IV 25d50.1%44.0%59.0%59.0%46.6%
Put IV 25d54.8%47.1%61.5%61.5%49.1%
Bid-Ask Spread %4.492.746.185.123.94
Gamma HHI0.100.090.120.110.11
Net GEX2.1M929.3K3.5M2.0M929.3K
Net DEX-55.5M-109.7M7.6M-61.3M-27.9M
Net VEX-788.4K-883.4K-664.3K-874.7K-664.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.161.751.020.30
Total Volume13,711.15,24026,05926,0596,840
Total OI348,778.7287,102385,696350,367302,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2009-11-02$20.86$22.0057.9%16.6%68.6%13.4%58.6%2.5%0.1%2.0M-61.3M-874.7K1.025.12N/AN/A12,90013,159210,651139,716
2009-11-03$20.31$22.0056.7%16.3%68.7%12.5%57.0%3.4%1.8%1.6M-35.3M-837.4K0.404.11N/AN/A17,5257,013210,075141,701
2009-11-04$20.49$22.0055.4%15.9%68.8%11.5%55.5%2.8%1.1%1.8M-43.9M-838.9K0.495.51N/AN/A7,8213,869211,713142,783
2009-11-05$20.97$22.0054.3%15.6%69.3%10.6%54.6%3.1%1.3%2.2M-63.4M-858.5K0.544.04N/AN/A8,9124,851214,557144,091
2009-11-06$20.82$23.0051.0%15.7%69.3%8.0%54.9%6.4%3.5%2.2M-54.0M-870.7K0.984.76N/AN/A4,6664,553217,291144,468
2009-11-09$21.82$23.0050.7%15.3%71.0%7.7%54.3%6.9%3.1%3.1M-101.5M-883.4K0.445.92N/AN/A12,8315,696217,215144,511
2009-11-10$21.32$22.0049.6%15.6%71.5%6.8%55.3%6.8%3.3%2.5M-71.8M-853.6K1.016.18N/AN/A2,9562,977219,362145,890
2009-11-11$21.31$22.0047.7%15.4%68.0%5.3%53.2%6.8%3.7%2.6M-70.6M-840.4K0.305.57N/AN/A8,5532,527219,972145,732
2009-11-12$21.41$22.0053.6%15.4%67.6%10.0%53.6%6.1%3.7%3.1M-87.7M-841.0K0.574.69N/AN/A6,2073,565224,719145,775
2009-11-13$21.95$22.0051.3%14.7%65.9%8.2%52.0%6.0%4.3%3.5M-109.7M-857.2K0.695.10N/AN/A7,0034,864225,383145,954
2009-11-16$21.59$22.0053.0%15.2%65.8%9.5%54.0%6.3%4.7%3.3M-88.9M-825.0K0.865.11N/AN/A5,5014,739224,157146,170
2009-11-17$21.59$22.0049.9%14.3%65.8%7.1%49.7%5.8%5.7%3.1M-85.8M-791.6K0.164.28N/AN/A5,652919224,696148,538
2009-11-18$21.16$22.0049.6%14.2%56.6%6.8%49.4%4.9%4.9%2.9M-60.1M-766.5K1.144.14N/AN/A8,6559,853226,295148,674
2009-11-19$20.12$22.0051.1%14.7%58.3%8.1%51.4%4.4%4.3%1.5M4.4M-709.6K1.483.91N/AN/A9,04713,345226,251152,843
2009-11-20$20.24$22.0048.9%14.0%57.6%6.3%48.5%4.1%5.1%1.2M7.6M-701.3K1.753.80N/AN/A6,41211,210226,786158,910
2009-11-23$20.34$22.0046.7%13.4%48.0%4.6%45.5%4.8%6.5%1.0M-48.0M-688.2K0.572.74N/AN/A10,1405,746168,857118,245
2009-11-24$19.82$22.0045.6%13.1%45.0%3.6%45.8%3.3%6.1%998.9K-34.8M-670.6K1.064.02N/AN/A7,7688,236172,401119,095
2009-11-25$20.31$21.0045.1%12.9%43.5%3.2%44.9%3.1%6.8%1.2M-47.6M-709.8K0.613.14N/AN/A7,7654,706175,388123,113
2009-11-27$19.66$21.0047.4%13.6%44.2%5.1%48.3%3.9%6.2%952.9K-29.3M-684.8K1.103.76N/AN/A2,4902,750177,552123,753
2009-11-30$19.72$21.0046.4%13.3%37.6%4.3%46.9%2.4%5.8%929.3K-27.9M-664.3K0.303.94N/AN/A5,2751,565177,936124,355