SNDK Options History — January 2010

In January 2010, SNDK traded between $25.42 and $31.43. ATM implied volatility averaged 53.0%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded above realized volatility by 0.9% (HV 20d: 52.1%). Max pain ranged from $28.00 to $29.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 0.71.

Notable Days

2010-01-29: Highest Volume — 84,788 contracts
2010-01-29: Largest IV drop — 19.9% change
2010-01-22: Highest IV Rank — 25.7%
2010-01-22: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.51	$25.42	$31.43	$30.39	$25.42
Max Pain	$28.53	$28.00	$29.00	$28.00	$29.00
ATM IV	53.0%	39.5%	63.2%	51.4%	49.5%
Expected Move	16.5%	14.2%	18.1%	17.0%	14.2%
HV 20d	52.1%	38.2%	70.0%	38.2%	70.0%
HV 60d	51.7%	46.4%	54.1%	52.6%	53.4%
IV Rank	14.4%	0.0%	25.7%	12.1%	10.9%
IV Percentile	29.7%	0.0%	54.4%	24.2%	17.1%
Term Structure	-4.2%	-6.4%	2.2%	-4.7%	2.2%
VWIV	57.5%	47.6%	63.3%	57.3%	47.6%
Skew 25d	5.9%	2.3%	8.1%	8.1%	6.1%
Skew 10d	10.7%	4.6%	15.2%	15.2%	11.4%
Call IV 25d	55.0%	46.6%	60.1%	55.0%	46.6%
Put IV 25d	60.9%	52.7%	66.3%	63.1%	52.7%
Bid-Ask Spread %	3.90	2.93	5.46	3.47	5.46
Gamma HHI	0.17	0.09	0.55	0.23	0.09
Net GEX	2.1M	-4.4M	3.6M	2.9M	286.6K
Net DEX	-214.2M	-378.6M	28.3M	-349.0M	28.3M
Net VEX	-976.3K	-1.1M	-830.3K	-830.3K	-935.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.34	1.43	0.45	0.97
Total Volume	31,481.263	11,539	84,788	27,657	84,788
Total OI	313,185.579	190,549	417,859	363,844	258,475

Daily Data (19 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
2010-01-04	$30.39	$28.00	51.4%	17.0%	38.2%	12.1%	57.3%	8.1%	-4.7%	2.9M	-349.0M	-830.3K	0.45	3.47	N/A	N/A	19,120	8,537	194,707	169,137
2010-01-05	$30.59	$28.00	48.8%	16.8%	38.4%	9.2%	59.5%	7.6%	-5.2%	3.0M	-352.5M	-847.1K	1.43	3.30	N/A	N/A	12,718	18,230	200,235	172,891
2010-01-06	$31.43	$28.00	46.6%	17.5%	38.4%	6.8%	61.0%	7.3%	-5.9%	2.8M	-378.6M	-853.2K	0.62	4.19	N/A	N/A	24,250	15,118	197,585	178,956
2010-01-07	$30.37	$29.00	44.7%	17.2%	42.6%	4.8%	60.0%	6.2%	-5.3%	2.5M	-324.4M	-911.8K	0.65	3.35	N/A	N/A	16,327	10,679	202,986	177,500
2010-01-08	$31.13	$29.00	39.5%	16.4%	42.7%	0.0%	57.2%	7.0%	-3.8%	2.9M	-368.4M	-917.2K	0.54	2.93	N/A	N/A	14,046	7,524	208,078	179,849
2010-01-11	$30.49	$29.00	47.3%	16.4%	44.3%	8.4%	56.3%	6.6%	-4.2%	3.1M	-345.6M	-909.5K	0.48	3.89	N/A	N/A	17,065	8,167	211,899	180,177
2010-01-12	$29.03	$29.00	52.7%	16.5%	49.8%	14.3%	57.4%	4.8%	-4.4%	2.5M	-267.4M	-935.1K	0.92	4.20	N/A	N/A	25,368	23,420	218,537	181,775
2010-01-13	$30.14	$29.00	46.4%	15.8%	50.3%	7.5%	56.0%	5.5%	-3.6%	3.6M	-329.3M	-997.4K	0.34	4.62	N/A	N/A	17,007	5,773	222,660	190,389
2010-01-14	$29.57	$28.00	53.4%	15.3%	51.5%	15.1%	53.8%	4.6%	-3.5%	3.2M	-292.9M	-974.1K	0.57	3.24	N/A	N/A	18,651	10,572	223,861	188,422
2010-01-15	$27.98	$28.00	52.9%	15.2%	56.3%	14.6%	52.8%	3.9%	-2.8%	-4.4M	-194.5M	-949.9K	1.27	3.83	N/A	N/A	17,331	22,000	229,088	188,771
2010-01-19	$30.05	$28.00	52.8%	15.1%	60.8%	14.4%	53.1%	2.3%	-3.2%	1.9M	-120.9M	-962.4K	0.80	3.79	N/A	N/A	18,396	14,706	108,795	81,754
2010-01-20	$29.20	$29.00	55.3%	15.8%	62.2%	17.1%	55.4%	4.1%	-4.0%	1.8M	-100.7M	-1.0M	0.74	3.48	N/A	N/A	12,411	9,207	117,413	88,757
2010-01-21	$29.36	$29.00	56.7%	16.3%	59.1%	18.6%	56.5%	4.5%	-3.4%	2.0M	-109.4M	-1.1M	0.41	3.93	N/A	N/A	10,739	4,433	123,100	92,336
2010-01-22	$28.39	$29.00	63.2%	18.1%	59.8%	25.7%	62.1%	6.0%	-5.7%	1.8M	-87.1M	-1.1M	0.69	4.60	N/A	N/A	12,463	8,545	128,241	93,800
2010-01-25	$29.17	$29.00	60.2%	17.2%	59.6%	22.4%	60.8%	6.1%	-4.9%	2.2M	-110.7M	-1.1M	0.66	3.52	N/A	N/A	15,887	10,411	130,692	95,141
2010-01-26	$29.23	$28.00	63.2%	18.1%	54.9%	25.6%	63.3%	6.2%	-6.4%	2.5M	-121.2M	-1.1M	0.62	3.53	N/A	N/A	7,110	4,429	137,591	97,976
2010-01-27	$29.94	$28.00	59.5%	17.1%	55.3%	21.7%	60.3%	7.5%	-5.8%	2.9M	-144.7M	-1.1M	0.73	4.61	N/A	N/A	9,964	7,296	139,184	99,031
2010-01-28	$28.78	$28.00	61.9%	17.7%	55.5%	24.2%	61.6%	7.1%	-5.7%	2.2M	-101.5M	-1.1M	0.68	4.25	N/A	N/A	32,941	22,515	139,114	101,623
2010-01-29	$25.42	$29.00	49.5%	14.2%	70.0%	10.9%	47.6%	6.1%	2.2%	286.6K	28.3M	-935.3K	0.97	5.46	N/A	N/A	42,977	41,811	151,113	107,362