SNDK Options History — February 2010

In February 2010, SNDK traded between $25.65 and $29.15. ATM implied volatility averaged 44.0%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 21.6% (HV 20d: 65.6%). Max pain ranged from $25.00 to $28.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.68.

Notable Days

  • 2010-02-09: Highest Volume — 49,229 contracts
  • 2010-02-09: Largest IV drop — 16.6% change
  • 2010-02-08: Highest IV Rank — 11.8%
  • 2010-02-08: Largest Expected Move — 15.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$27.46$25.65$29.15$26.26$29.15
Max Pain$26.26$25.00$28.00$28.00$26.00
ATM IV44.0%39.5%50.4%49.7%39.5%
Expected Move12.8%11.3%15.0%14.3%11.3%
HV 20d65.6%60.1%71.4%71.4%60.1%
HV 60d53.6%53.2%54.5%53.4%53.3%
IV Rank4.9%0.0%11.8%11.1%0.0%
IV Percentile6.5%0.4%23.8%18.7%0.4%
Term Structure2.7%0.4%3.6%2.8%2.6%
VWIV45.0%39.6%51.5%49.5%39.6%
Skew 25d4.9%2.4%7.3%4.8%2.9%
Skew 10d10.2%5.7%16.3%10.1%5.7%
Call IV 25d43.2%38.3%49.1%48.4%38.3%
Put IV 25d48.1%41.2%56.2%53.2%41.2%
Bid-Ask Spread %4.503.545.615.114.77
Gamma HHI0.100.090.150.090.11
Net GEX2.5M768.5K4.8M768.5K4.8M
Net DEX-83.8M-230.0M15.0M1.5M-178.6M
Net VEX-1.1M-1.2M-1.0M-1.0M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.311.110.570.43
Total Volume19,272.2639,60249,22924,64710,207
Total OI289,619234,549339,481275,496258,761

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-02-01$26.26$28.0049.7%14.3%71.4%11.1%49.5%4.8%2.8%768.5K1.5M-1.0M0.575.11N/AN/A15,6918,956157,935117,561
2010-02-02$26.92$28.0044.1%12.6%69.6%5.0%44.6%3.8%3.6%1.3M-26.1M-1.1M0.613.54N/AN/A10,1426,204158,824114,383
2010-02-03$26.92$28.0044.0%12.6%69.5%4.8%44.5%3.8%3.6%1.6M-29.6M-1.1M1.045.61N/AN/A6,1556,427162,146114,538
2010-02-04$25.65$28.0049.6%14.2%69.8%11.0%49.9%5.2%3.4%820.8K15.0M-1.0M1.114.87N/AN/A9,41910,483162,481116,584
2010-02-05$26.09$27.0048.0%14.9%69.8%9.2%50.7%7.3%0.4%1.0M793.3K-1.0M0.814.88N/AN/A7,3695,968163,897119,714
2010-02-08$26.37$27.0050.4%15.0%69.2%11.8%51.5%6.8%0.4%1.1M-6.9M-1.0M0.834.23N/AN/A5,6244,674164,362120,756
2010-02-09$26.76$26.0042.0%13.2%69.5%2.7%47.3%7.2%2.8%1.1M-11.3M-1.0M0.453.88N/AN/A33,88615,343163,455121,161
2010-02-10$26.09$26.0042.6%13.5%68.0%3.4%47.7%7.1%3.1%2.2M-4.9M-1.1M0.543.99N/AN/A15,9258,528185,888128,423
2010-02-11$26.79$25.0045.4%13.0%67.2%6.4%46.2%6.7%3.0%3.2M-51.1M-1.1M0.734.54N/AN/A9,4326,902194,163130,736
2010-02-12$26.98$25.0044.9%12.9%67.2%5.9%45.7%6.5%3.4%3.3M-59.1M-1.2M0.744.79N/AN/A6,4714,806196,684133,982
2010-02-16$27.34$25.0044.6%12.8%64.7%5.6%44.4%6.3%3.3%3.6M-74.4M-1.1M0.704.92N/AN/A5,6453,957196,558135,317
2010-02-17$28.82$25.0043.7%12.5%62.2%4.6%44.5%5.6%2.9%3.8M-187.4M-1.1M0.434.80N/AN/A32,33614,046195,950134,110
2010-02-18$28.96$25.0042.1%12.1%61.4%2.8%42.1%4.4%2.8%2.8M-202.4M-1.1M0.854.51N/AN/A8,2376,992200,740136,524
2010-02-19$29.13$26.0040.6%11.7%61.4%1.2%40.9%3.8%3.5%1.4M-230.0M-1.1M1.084.41N/AN/A10,35011,181202,812136,669
2010-02-22$29.02$26.0040.4%11.6%60.2%1.0%40.6%3.3%3.1%3.6M-152.6M-1.1M0.503.87N/AN/A8,6904,387137,52197,028
2010-02-23$27.77$26.0042.1%12.1%61.4%2.8%42.2%2.4%1.7%3.4M-108.5M-1.1M0.314.90N/AN/A19,8186,219141,20297,946
2010-02-24$28.23$26.0041.1%11.8%61.7%1.7%41.3%2.8%2.7%4.1M-136.4M-1.1M0.623.79N/AN/A6,6354,135150,401100,323
2010-02-25$28.52$26.0041.1%11.8%61.2%1.7%42.0%3.2%1.9%4.3M-150.2M-1.1M0.464.03N/AN/A10,2424,691151,792101,434
2010-02-26$29.15$26.0039.5%11.3%60.1%0.0%39.6%2.9%2.6%4.8M-178.6M-1.1M0.434.77N/AN/A7,1503,057154,953103,808