SNDK Options History — March 2010

In March 2010, SNDK traded between $31.80 and $35.18. ATM implied volatility averaged 41.3%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 6.2% (HV 20d: 47.5%). Max pain ranged from $26.00 to $29.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.84.

Notable Days

2010-03-01: Highest Volume — 50,224 contracts
2010-03-11: Largest IV spike — 10.3% change
2010-03-11: Highest IV Rank — 5.9%
2010-03-09: Largest Expected Move — 13.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.72	$31.80	$35.18	$32.63	$34.63
Max Pain	$27.87	$26.00	$29.00	$26.00	$29.00
ATM IV	41.3%	36.5%	45.0%	41.8%	36.5%
Expected Move	12.0%	10.5%	13.0%	12.0%	10.5%
HV 20d	47.5%	28.7%	54.0%	53.3%	28.7%
HV 60d	56.1%	53.5%	57.0%	56.7%	53.5%
IV Rank	2.1%	0.0%	5.9%	2.5%	0.0%
IV Percentile	4.7%	0.0%	13.1%	3.6%	0.0%
Term Structure	5.2%	1.7%	9.4%	1.7%	9.4%
VWIV	42.5%	37.1%	45.9%	43.2%	37.1%
Skew 25d	2.6%	1.7%	3.3%	2.1%	1.8%
Skew 10d	5.6%	3.5%	7.5%	4.4%	3.5%
Call IV 25d	41.3%	36.7%	44.2%	41.5%	36.7%
Put IV 25d	43.9%	38.6%	47.3%	43.7%	38.6%
Bid-Ask Spread %	3.75	2.86	4.88	2.98	2.89
Gamma HHI	0.15	0.12	0.20	0.13	0.12
Net GEX	3.6M	912.5K	4.8M	4.7M	3.5M
Net DEX	-317.3M	-385.8M	-244.2M	-330.8M	-274.1M
Net VEX	-1.2M	-1.3M	-1.0M	-1.0M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.35	1.45	0.57	1.16
Total Volume	20,983.826	6,474	50,224	50,224	7,818
Total OI	296,138.739	247,350	335,271	258,417	291,789

Daily Data (23 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
2010-03-01	$32.63	$26.00	41.8%	12.0%	53.3%	2.5%	43.2%	2.1%	1.7%	4.7M	-330.8M	-1.0M	0.57	2.98	N/A	N/A	32,023	18,201	155,033	103,384
2010-03-02	$32.48	$26.00	42.9%	12.3%	53.1%	3.7%	43.1%	2.5%	2.9%	4.8M	-321.7M	-1.1M	0.73	3.89	N/A	N/A	20,944	15,281	160,975	109,849
2010-03-03	$31.80	$27.00	41.0%	11.8%	54.0%	1.6%	41.2%	2.1%	3.7%	4.7M	-280.4M	-1.2M	1.17	4.53	N/A	N/A	9,692	11,300	165,493	117,019
2010-03-04	$32.17	$27.00	40.1%	11.5%	53.9%	0.6%	40.4%	1.8%	4.5%	4.2M	-300.4M	-1.2M	1.45	4.42	N/A	N/A	9,263	13,412	167,001	121,694
2010-03-05	$33.32	$27.00	40.7%	12.8%	50.2%	1.3%	45.9%	2.8%	2.4%	3.6M	-353.7M	-1.1M	0.38	3.72	N/A	N/A	18,307	6,994	169,572	128,041
2010-03-08	$33.41	$27.00	40.9%	12.8%	50.3%	1.6%	45.2%	2.6%	2.6%	3.8M	-353.2M	-1.1M	1.09	3.46	N/A	N/A	7,741	8,410	169,353	128,663
2010-03-09	$33.49	$27.00	41.4%	13.0%	50.4%	2.0%	45.8%	3.1%	2.4%	3.4M	-351.4M	-1.1M	0.70	4.83	N/A	N/A	12,733	8,907	169,325	132,405
2010-03-10	$34.06	$27.00	40.8%	12.9%	50.4%	1.4%	45.6%	3.1%	2.7%	3.7M	-380.5M	-1.1M	0.82	3.75	N/A	N/A	15,055	12,307	171,714	133,380
2010-03-11	$34.21	$28.00	45.0%	12.9%	48.5%	5.9%	45.0%	3.1%	2.9%	3.9M	-385.8M	-1.1M	0.66	4.24	N/A	N/A	6,963	4,581	175,143	135,869
2010-03-12	$33.80	$27.00	44.2%	12.7%	49.1%	5.1%	45.4%	3.3%	4.0%	3.8M	-362.0M	-1.1M	0.35	3.35	N/A	N/A	20,505	7,223	175,991	137,376
2010-03-15	$33.51	$28.00	44.3%	12.7%	49.6%	5.2%	44.6%	3.3%	3.4%	4.2M	-358.6M	-1.2M	0.45	3.74	N/A	N/A	6,249	2,786	188,659	140,062
2010-03-16	$33.87	$28.00	42.8%	12.3%	49.6%	3.6%	43.1%	2.8%	4.7%	4.4M	-380.1M	-1.2M	1.07	4.88	N/A	N/A	8,789	9,421	187,284	141,160
2010-03-17	$33.29	$28.00	42.8%	12.3%	47.9%	3.5%	42.8%	3.2%	5.8%	3.0M	-331.8M	-1.2M	0.67	4.73	N/A	N/A	7,601	5,091	187,152	145,887
2010-03-18	$33.05	$28.00	41.6%	11.9%	48.2%	2.2%	41.7%	3.1%	6.2%	2.2M	-310.7M	-1.2M	0.54	4.14	N/A	N/A	9,940	5,384	185,265	145,772
2010-03-19	$32.25	$28.00	41.1%	11.8%	49.5%	1.7%	41.2%	2.3%	6.7%	912.5K	-245.8M	-1.2M	0.70	3.04	N/A	N/A	13,022	9,126	187,570	147,701
2010-03-22	$33.82	$29.00	40.3%	11.5%	51.5%	0.9%	41.2%	2.4%	7.6%	2.9M	-244.2M	-1.2M	1.09	3.19	N/A	N/A	12,888	14,026	135,901	111,449
2010-03-23	$34.83	$29.00	40.9%	11.7%	48.3%	1.6%	41.5%	3.0%	6.6%	3.1M	-280.5M	-1.2M	0.46	4.27	N/A	N/A	24,803	11,516	139,039	119,994
2010-03-24	$35.18	$29.00	41.0%	11.8%	48.2%	1.7%	41.9%	2.8%	6.8%	3.7M	-302.5M	-1.3M	1.00	2.86	N/A	N/A	11,294	11,247	151,100	125,775
2010-03-25	$34.95	$29.00	41.0%	11.8%	48.6%	1.7%	41.5%	2.3%	7.0%	3.2M	-289.9M	-1.3M	0.91	3.12	N/A	N/A	9,093	8,257	152,544	132,133
2010-03-26	$34.70	$29.00	39.4%	11.3%	48.8%	0.0%	40.0%	2.0%	7.9%	3.3M	-278.2M	-1.3M	1.41	3.19	N/A	N/A	6,092	8,582	153,150	133,859
2010-03-29	$35.13	$29.00	39.9%	11.4%	29.7%	0.6%	40.5%	1.7%	8.3%	3.4M	-294.1M	-1.3M	1.29	2.96	N/A	N/A	5,802	7,485	153,925	136,312
2010-03-30	$34.98	$29.00	38.7%	11.1%	29.7%	0.0%	39.2%	1.8%	9.0%	3.6M	-287.1M	-1.3M	0.76	4.02	N/A	N/A	3,679	2,795	154,953	135,476
2010-03-31	$34.63	$29.00	36.5%	10.5%	28.7%	0.0%	37.1%	1.8%	9.4%	3.5M	-274.1M	-1.3M	1.16	2.89	N/A	N/A	3,622	4,196	155,571	136,218