SNDK Options History — April 2010 In April 2010, SNDK traded between $34.71 and $44.61. ATM implied volatility averaged 40.6%, placing in the 12.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 2.6% (HV 20d: 38.0%). Max pain ranged from $29.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.73.
Notable Days 2010-04-22 : Highest Volume — 96,102 contracts2010-04-15 : Largest IV spike — 60.8% change2010-04-19 : Highest IV Rank — 28.6%2010-04-19 : Largest Expected Move — 15.0%Monthly Statistics Metric Avg Min Max Open Close Price $38.46 $34.71 $44.61 $34.71 $39.84 Max Pain $36.57 $29.00 $39.00 $29.00 $39.00 ATM IV 40.6% 30.4% 52.4% 34.8% 46.6% Expected Move 13.1% 10.0% 15.0% 10.0% 13.3% HV 20d 38.0% 28.2% 59.6% 28.5% 59.6% HV 60d 50.6% 46.9% 54.1% 53.4% 48.5% IV Rank 12.9% 0.0% 28.6% 0.0% 24.8% IV Percentile 15.8% 0.0% 53.6% 0.0% 30.2% Term Structure -0.4% -4.3% 11.6% 11.6% 1.9% VWIV 46.2% 35.4% 52.7% 35.4% 46.8% Skew 25d 2.3% 0.2% 3.6% 1.4% 2.9% Skew 10d 4.5% -0.7% 7.2% 3.1% 5.2% Call IV 25d 45.2% 35.1% 52.3% 35.1% 45.6% Put IV 25d 47.5% 36.5% 53.7% 36.5% 48.5% Bid-Ask Spread % 3.39 2.25 5.38 2.85 4.67 Gamma HHI 0.13 0.08 0.22 0.13 0.08 Net GEX 3.4M 1.4M 4.6M 3.6M 2.0M Net DEX -327.4M -462.9M -152.1M -278.2M -240.4M Net VEX -1.4M -1.8M -1.2M -1.3M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.73 0.41 2.11 2.11 0.57 Total Volume 31,862.619 11,345 96,102 18,771 20,645 Total OI 298,154.714 219,915 336,185 294,022 320,149
Daily Data (21 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 2010-04-01 $34.71 $29.00 34.8% 10.0% 28.5% 0.0% 35.4% 1.4% 11.6% 3.6M -278.2M -1.3M 2.11 2.85 N/A N/A 6,045 12,726 156,268 137,754 2010-04-05 $35.99 $36.00 37.3% 13.4% 28.7% 3.0% 47.6% 3.5% -1.4% 3.7M -332.6M -1.3M 0.85 2.25 N/A N/A 10,595 9,054 156,403 140,868 2010-04-06 $35.84 $36.00 36.4% 13.4% 28.8% 2.0% 47.2% 3.4% -1.5% 3.7M -324.7M -1.3M 0.72 2.29 N/A N/A 6,740 4,860 157,189 141,093 2010-04-07 $35.74 $35.00 37.0% 13.5% 28.9% 2.6% 47.3% 3.3% -1.3% 3.7M -322.7M -1.3M 0.66 3.03 N/A N/A 10,037 6,597 159,035 142,060 2010-04-08 $35.63 $35.00 33.3% 13.5% 28.5% 0.0% 47.5% 3.4% -1.0% 3.7M -313.6M -1.3M 0.71 2.39 N/A N/A 9,732 6,886 159,035 142,060 2010-04-09 $36.03 $36.00 30.6% 13.3% 28.7% 0.0% 46.7% 3.4% -1.2% 4.2M -338.5M -1.3M 0.97 2.36 N/A N/A 7,342 7,090 163,436 147,784 2010-04-12 $36.25 $36.00 31.3% 13.6% 28.2% 0.8% 47.7% 3.6% -2.4% 4.1M -346.7M -1.3M 0.57 2.38 N/A N/A 12,821 7,354 165,317 152,322 2010-04-13 $35.96 $36.00 30.8% 13.6% 28.2% 0.2% 47.5% 3.4% -2.2% 4.5M -327.4M -1.3M 0.71 2.77 N/A N/A 7,383 5,259 166,156 153,907 2010-04-14 $37.68 $36.00 30.4% 13.5% 32.0% 0.0% 47.8% 3.4% -3.2% 4.6M -403.4M -1.2M 0.41 2.62 N/A N/A 38,639 15,999 165,338 155,370 2010-04-15 $38.63 $37.00 48.9% 14.0% 31.6% 23.6% 49.6% 3.6% -4.3% 3.8M -451.3M -1.3M 0.45 3.89 N/A N/A 21,806 9,729 171,480 162,236 2010-04-16 $37.74 $37.00 50.7% 14.5% 33.0% 26.5% 50.9% 2.1% -4.1% 3.7M -388.8M -1.3M 0.69 3.89 N/A N/A 22,414 15,480 171,185 165,000 2010-04-19 $36.69 $37.00 52.4% 15.0% 33.5% 28.6% 52.7% 1.4% -4.1% 1.4M -152.1M -1.4M 0.55 3.81 N/A N/A 17,584 9,731 109,329 110,586 2010-04-20 $37.38 $37.00 49.6% 14.2% 30.2% 25.0% 49.7% 0.5% -2.1% 1.7M -176.1M -1.4M 0.44 3.18 N/A N/A 11,182 4,895 116,048 115,380 2010-04-21 $37.59 $37.00 47.6% 13.7% 28.8% 22.5% 47.3% 1.1% -2.7% 1.9M -186.8M -1.4M 0.71 4.73 N/A N/A 51,441 36,419 117,873 116,739 2010-04-22 $42.22 $37.00 40.5% 11.6% 49.3% 15.4% 41.4% 2.0% 1.1% 4.4M -394.0M -1.4M 0.87 3.80 N/A N/A 51,445 44,657 143,897 135,397 2010-04-23 $44.61 $38.00 41.1% 11.8% 51.5% 16.4% 41.6% 0.2% 1.8% 3.8M -462.9M -1.5M 0.60 4.32 N/A N/A 39,662 23,604 148,560 147,185 2010-04-26 $43.52 $38.00 43.5% 12.5% 52.7% 20.1% 43.8% 0.4% 0.4% 3.7M -415.4M -1.6M 0.65 3.00 N/A N/A 17,566 11,393 152,609 151,551 2010-04-27 $41.81 $38.00 43.6% 12.5% 55.8% 20.2% 43.9% 1.3% 1.6% 3.2M -337.5M -1.7M 0.88 5.38 N/A N/A 19,781 17,402 154,411 154,250 2010-04-28 $41.83 $39.00 43.6% 12.5% 55.6% 20.2% 44.1% 1.8% 2.4% 3.4M -338.3M -1.7M 0.73 4.11 N/A N/A 14,873 10,902 159,955 156,920 2010-04-29 $42.02 $39.00 43.0% 12.3% 55.2% 19.3% 43.5% 2.7% 2.5% 3.2M -345.0M -1.7M 0.52 3.47 N/A N/A 7,453 3,892 160,228 158,886 2010-04-30 $39.84 $39.00 46.6% 13.3% 59.6% 24.8% 46.8% 2.9% 1.9% 2.0M -240.4M -1.8M 0.57 4.67 N/A N/A 13,180 7,465 160,586 159,563
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