SNDK Options History — May 2010 In May 2010, SNDK traded between $37.61 and $46.85. ATM implied volatility averaged 60.2%, placing in the 61.5% IV rank vs the trailing year. The 30-day expected move averaged 17.3%. IV traded below realized volatility by 15.1% (HV 20d: 75.3%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.72.
Notable Days 2010-05-07 : Highest Volume — 66,301 contracts2010-05-06 : Largest IV spike — 23.2% change2010-05-20 : Highest IV Rank — 100.0%2010-05-20 : Largest Expected Move — 20.8%Monthly Statistics Metric Avg Min Max Open Close Price $42.24 $37.61 $46.85 $43.52 $46.62 Max Pain $40.55 $39.00 $42.00 $39.00 $42.00 ATM IV 60.2% 47.3% 72.7% 47.3% 56.3% Expected Move 17.3% 13.6% 20.8% 13.6% 16.1% HV 20d 75.3% 65.5% 83.4% 65.5% 71.6% HV 60d 55.4% 50.0% 58.1% 50.0% 55.4% IV Rank 61.5% 26.0% 100.0% 26.0% 61.2% IV Percentile 76.1% 32.5% 100.0% 32.5% 71.0% Term Structure 0.2% -5.0% 2.1% 1.0% 2.0% VWIV 61.2% 48.2% 75.0% 48.2% 58.5% Skew 25d 9.6% 1.0% 16.7% 2.4% 11.7% Skew 10d 19.1% 2.4% 33.3% 4.9% 21.6% Call IV 25d 56.4% 47.1% 66.5% 47.1% 51.8% Put IV 25d 66.0% 49.5% 81.8% 49.5% 63.5% Bid-Ask Spread % 4.37 2.89 7.68 2.89 4.94 Gamma HHI 0.09 0.07 0.13 0.12 0.07 Net GEX 4.6M 1.0M 6.8M 3.9M 5.0M Net DEX -362.5M -512.6M -134.7M -416.8M -486.5M Net VEX -2.0M -2.1M -1.7M -1.7M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.72 0.36 1.22 0.36 0.91 Total Volume 36,666.6 20,318 66,301 43,631 29,076 Total OI 362,106.65 302,943 406,635 324,182 348,098
Daily Data (20 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 2010-05-03 $43.52 $39.00 47.3% 13.6% 65.5% 26.0% 48.2% 2.4% 1.0% 3.9M -416.8M -1.7M 0.36 2.89 N/A N/A 32,020 11,611 164,500 159,682 2010-05-04 $41.69 $39.00 53.1% 15.2% 68.0% 34.9% 53.6% 2.2% -0.5% 3.0M -330.4M -1.8M 0.91 3.83 N/A N/A 14,341 13,106 169,053 162,883 2010-05-05 $41.82 $39.00 53.9% 15.5% 67.9% 36.1% 54.2% 1.0% 1.3% 3.1M -336.7M -1.9M 0.69 4.02 N/A N/A 22,158 15,215 172,966 166,401 2010-05-06 $39.76 $39.00 66.5% 19.1% 71.0% 55.3% 66.9% 1.8% -5.0% 2.2M -244.8M -2.0M 0.75 7.68 N/A N/A 28,624 21,569 183,459 169,912 2010-05-07 $37.61 $41.00 68.9% 19.0% 74.1% 59.1% 65.6% 6.7% -1.1% 1.0M -134.7M -2.0M 0.60 4.29 N/A N/A 41,331 24,970 187,307 173,534 2010-05-10 $41.54 $40.00 59.5% 16.7% 81.8% 44.6% 59.8% 9.0% 0.8% 4.5M -366.0M -2.0M 0.72 4.32 N/A N/A 24,936 17,949 199,503 174,011 2010-05-11 $42.25 $41.00 56.5% 16.3% 81.7% 40.0% 58.0% 9.3% 2.1% 5.4M -402.8M -2.0M 0.80 4.12 N/A N/A 14,737 11,735 198,769 176,588 2010-05-12 $44.27 $41.00 48.6% 15.6% 81.7% 29.8% 54.8% 8.9% 1.6% 6.5M -512.6M -1.9M 0.48 4.85 N/A N/A 22,488 10,794 199,747 181,122 2010-05-13 $42.82 $41.00 56.8% 16.3% 82.7% 52.5% 57.2% 7.7% 0.7% 6.3M -431.8M -2.0M 0.47 3.56 N/A N/A 23,077 10,920 206,914 182,715 2010-05-14 $41.90 $41.00 60.5% 17.3% 82.6% 65.1% 61.9% 9.0% 0.6% 5.7M -379.2M -2.1M 0.70 4.40 N/A N/A 18,781 13,203 210,823 184,698 2010-05-17 $42.68 $41.00 62.0% 17.8% 81.8% 73.9% 63.5% 9.5% -1.0% 6.8M -433.1M -2.0M 0.79 3.13 N/A N/A 11,997 9,466 210,823 184,698 2010-05-18 $41.45 $41.00 65.2% 18.7% 82.7% 87.0% 64.9% 9.6% -1.2% 6.2M -361.7M -2.0M 0.53 4.33 N/A N/A 14,654 7,741 214,720 184,953 2010-05-19 $40.42 $41.00 65.8% 18.9% 83.4% 88.7% 64.1% 12.6% 0.6% 5.0M -291.6M -2.0M 0.56 4.26 N/A N/A 22,183 12,484 214,655 184,146 2010-05-20 $39.66 $41.00 72.7% 20.8% 72.2% 100.0% 75.0% 15.3% -1.8% 4.6M -255.1M -2.0M 1.22 6.35 N/A N/A 16,154 19,744 219,229 181,377 2010-05-21 $41.48 $41.00 68.7% 19.7% 71.2% 90.4% 70.0% 16.7% 0.3% 6.0M -386.3M -2.0M 0.76 5.17 N/A N/A 29,901 22,638 218,796 187,839 2010-05-24 $41.81 $40.00 66.2% 19.0% 70.9% 84.7% 66.0% 14.7% -0.2% 3.3M -287.5M -2.0M 1.12 3.77 N/A N/A 9,606 10,712 161,719 141,224 2010-05-25 $43.18 $41.00 62.5% 17.9% 70.4% 75.7% 63.9% 16.3% 1.0% 3.5M -331.0M -2.0M 0.74 4.07 N/A N/A 17,524 13,024 164,119 146,501 2010-05-26 $43.56 $41.00 60.1% 17.2% 70.4% 70.2% 59.3% 15.3% 1.2% 4.3M -359.0M -2.0M 0.52 3.90 N/A N/A 32,572 16,848 171,355 148,572 2010-05-27 $46.85 $41.00 53.9% 15.4% 74.8% 55.4% 58.0% 13.1% 2.1% 5.7M -502.7M -1.9M 0.78 3.49 N/A N/A 24,426 19,017 180,146 154,576 2010-05-28 $46.62 $42.00 56.3% 16.1% 71.6% 61.2% 58.5% 11.7% 2.0% 5.0M -486.5M -2.0M 0.91 4.94 N/A N/A 15,260 13,816 183,998 164,100
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