SNDK Options History — December 2009

In December 2009, SNDK traded between $20.86 and $30.13. ATM implied volatility averaged 46.5%, placing in the 6.2% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 8.1% (HV 20d: 38.4%). Max pain ranged from $19.00 to $21.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2009-12-28: Highest Volume — 54,508 contracts
2009-12-10: Largest IV spike — 19.8% change
2009-12-28: Highest IV Rank — 14.5%
2009-12-28: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.96	$20.86	$30.13	$20.86	$28.99
Max Pain	$20.14	$19.00	$21.00	$21.00	$21.00
ATM IV	46.5%	40.4%	53.7%	46.8%	50.9%
Expected Move	13.7%	12.3%	15.4%	13.4%	14.6%
HV 20d	38.4%	31.1%	42.9%	42.4%	37.5%
HV 60d	52.7%	51.7%	54.8%	54.8%	51.9%
IV Rank	6.2%	0.0%	14.5%	4.6%	11.5%
IV Percentile	8.1%	0.0%	32.1%	3.2%	19.8%
Term Structure	5.7%	3.2%	8.6%	5.0%	8.6%
VWIV	48.8%	45.2%	55.2%	47.7%	51.8%
Skew 25d	5.4%	3.4%	8.7%	3.7%	6.2%
Skew 10d	11.9%	7.2%	19.3%	7.2%	13.1%
Call IV 25d	46.2%	41.4%	52.9%	45.6%	49.5%
Put IV 25d	51.6%	47.5%	58.0%	49.3%	55.7%
Bid-Ask Spread %	3.53	2.41	4.97	4.10	3.42
Gamma HHI	0.18	0.11	0.32	0.11	0.20
Net GEX	2.7M	1.5M	4.0M	1.5M	2.3M
Net DEX	-190.9M	-330.5M	-65.8M	-65.8M	-283.8M
Net VEX	-760.3K	-920.8K	-690.5K	-709.6K	-883.6K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.20	1.78	0.54	0.72
Total Volume	21,535.227	6,853	54,508	12,631	17,772
Total OI	321,934.045	289,390	361,115	304,166	360,183

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
2009-12-01	$20.86	$21.00	46.8%	13.4%	42.4%	4.6%	47.7%	3.7%	5.0%	1.5M	-65.8M	-709.6K	0.54	4.10	N/A	N/A	8,218	4,413	179,160	125,006
2009-12-02	$21.59	$21.00	45.2%	13.0%	42.8%	3.4%	46.4%	3.4%	6.5%	1.9M	-93.0M	-730.6K	0.36	4.34	N/A	N/A	14,046	5,035	180,203	126,073
2009-12-03	$21.43	$21.00	45.6%	13.1%	42.9%	3.7%	45.4%	4.0%	6.2%	1.8M	-85.7M	-727.6K	0.27	4.97	N/A	N/A	7,346	1,963	181,922	127,275
2009-12-04	$21.94	$19.00	41.3%	14.2%	42.9%	0.3%	50.2%	4.9%	4.1%	2.1M	-104.6M	-729.7K	0.68	3.43	N/A	N/A	7,864	5,328	181,460	127,374
2009-12-07	$22.11	$19.00	42.5%	14.1%	42.8%	1.5%	49.9%	4.4%	4.3%	2.6M	-113.6M	-711.5K	0.63	3.06	N/A	N/A	4,217	2,636	183,187	126,611
2009-12-08	$22.42	$19.00	44.5%	14.4%	39.8%	3.6%	50.9%	5.0%	3.8%	2.7M	-123.9M	-715.3K	1.19	3.95	N/A	N/A	7,598	9,029	182,826	127,241
2009-12-09	$22.74	$19.00	40.4%	14.3%	39.0%	0.0%	49.7%	5.3%	3.2%	2.7M	-131.1M	-742.0K	1.78	3.73	N/A	N/A	4,130	7,342	182,754	133,439
2009-12-10	$22.73	$20.00	48.4%	13.9%	39.0%	8.5%	48.1%	5.5%	4.4%	2.7M	-128.4M	-745.8K	0.51	3.56	N/A	N/A	7,124	3,637	183,527	137,104
2009-12-11	$22.92	$20.00	46.9%	13.4%	39.0%	6.9%	46.8%	5.0%	5.1%	2.8M	-137.7M	-724.3K	0.49	3.57	N/A	N/A	4,691	2,311	183,153	135,597
2009-12-14	$23.56	$20.00	45.5%	13.0%	39.2%	5.4%	46.2%	4.7%	6.1%	3.0M	-167.2M	-702.9K	0.20	3.57	N/A	N/A	10,048	1,998	182,714	135,280
2009-12-15	$23.82	$20.00	46.0%	13.2%	38.6%	6.0%	47.5%	5.1%	5.4%	3.4M	-179.7M	-700.4K	0.45	2.95	N/A	N/A	8,949	4,011	185,504	135,397
2009-12-16	$24.39	$20.00	45.1%	12.9%	39.1%	5.0%	45.7%	4.8%	6.0%	3.7M	-203.2M	-690.5K	0.27	3.77	N/A	N/A	10,761	2,912	185,785	136,108
2009-12-17	$24.62	$20.00	45.8%	13.1%	37.8%	5.7%	48.0%	5.3%	5.7%	4.0M	-211.7M	-709.4K	0.91	3.59	N/A	N/A	14,590	13,290	186,708	137,057
2009-12-18	$25.08	$20.00	44.7%	12.8%	31.1%	4.8%	45.8%	5.9%	6.4%	3.9M	-225.8M	-711.7K	0.27	3.74	N/A	N/A	20,912	5,656	185,209	141,863
2009-12-21	$26.63	$20.00	42.9%	12.3%	35.6%	2.8%	45.2%	6.5%	7.2%	2.8M	-227.6M	-697.3K	0.51	3.09	N/A	N/A	25,028	12,673	163,961	125,429
2009-12-22	$27.44	$20.00	47.5%	13.6%	35.8%	7.8%	48.5%	8.0%	6.1%	2.9M	-250.3M	-775.3K	0.71	2.41	N/A	N/A	20,141	14,211	171,430	133,425
2009-12-23	$28.27	$20.00	45.3%	13.0%	32.7%	5.3%	46.5%	8.7%	7.6%	3.0M	-273.7M	-802.7K	0.90	2.87	N/A	N/A	19,555	17,637	176,032	141,538
2009-12-24	$30.13	$20.00	50.3%	14.4%	36.6%	10.8%	52.4%	5.7%	4.8%	2.7M	-330.5M	-834.2K	0.72	3.15	N/A	N/A	22,955	16,519	179,668	150,131
2009-12-28	$29.62	$21.00	53.7%	15.4%	33.9%	14.5%	55.2%	5.1%	5.6%	2.7M	-312.5M	-870.2K	0.72	3.47	N/A	N/A	31,737	22,771	186,365	157,011
2009-12-29	$28.53	$21.00	51.1%	14.6%	39.3%	11.7%	53.0%	5.7%	6.3%	1.9M	-254.6M	-920.8K	0.82	3.29	N/A	N/A	19,403	15,988	192,031	168,693
2009-12-30	$29.30	$21.00	51.6%	14.8%	36.9%	12.3%	53.5%	5.7%	6.3%	2.4M	-295.6M	-891.1K	0.94	3.63	N/A	N/A	8,918	8,412	192,522	168,593
2009-12-31	$28.99	$21.00	50.9%	14.6%	37.5%	11.5%	51.8%	6.2%	8.6%	2.3M	-283.8M	-883.6K	0.72	3.42	N/A	N/A	10,359	7,413	192,447	167,736