SNDK Options History — June 2010

In June 2010, SNDK traded between $42.07 and $49.70. ATM implied volatility averaged 56.8%, placing in the 61.9% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 3.5% (HV 20d: 53.3%). Max pain ranged from $35.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.97.

Notable Days

2010-06-16: Highest Volume — 55,394 contracts
2010-06-29: Largest IV spike — 20.6% change
2010-06-07: Highest IV Rank — 100.0%
2010-06-07: Largest Expected Move — 19.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.91	$42.07	$49.70	$45.00	$42.07
Max Pain	$38.41	$35.00	$42.00	$42.00	$40.00
ATM IV	56.8%	48.6%	73.1%	62.3%	61.5%
Expected Move	16.2%	13.9%	19.7%	17.8%	17.6%
HV 20d	53.3%	43.2%	66.5%	66.5%	47.2%
HV 60d	58.0%	55.7%	60.4%	55.7%	60.4%
IV Rank	61.9%	42.7%	100.0%	75.3%	72.8%
IV Percentile	68.7%	38.1%	100.0%	83.3%	87.3%
Term Structure	2.8%	-4.4%	7.0%	1.5%	2.6%
VWIV	58.8%	50.3%	73.1%	62.3%	61.1%
Skew 25d	13.1%	8.0%	19.9%	14.4%	15.3%
Skew 10d	27.8%	17.8%	41.7%	25.9%	31.7%
Call IV 25d	51.4%	45.8%	59.2%	56.3%	56.3%
Put IV 25d	64.5%	54.2%	78.3%	70.6%	71.5%
Bid-Ask Spread %	4.32	2.89	5.91	4.27	3.52
Gamma HHI	0.13	0.07	0.81	0.07	0.08
Net GEX	5.9M	222.1K	50.1M	4.6M	222.1K
Net DEX	-418.0M	-695.3M	-154.6M	-408.2M	-154.6M
Net VEX	-2.0M	-2.1M	-1.8M	-2.0M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.97	0.52	1.64	0.99	0.54
Total Volume	33,545	17,295	55,394	29,902	24,956
Total OI	383,144.273	333,972	437,785	355,044	387,018

Daily Data (22 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
2010-06-01	$45.00	$42.00	62.3%	17.8%	66.5%	75.3%	62.3%	14.4%	1.5%	4.6M	-408.2M	-2.0M	0.99	4.27	N/A	N/A	15,007	14,895	187,552	167,492
2010-06-02	$46.43	$42.00	57.9%	16.6%	65.1%	64.9%	59.8%	15.6%	3.6%	5.6M	-472.3M	-2.0M	1.16	4.16	N/A	N/A	13,247	15,429	190,290	169,533
2010-06-03	$47.10	$42.00	54.9%	15.7%	65.2%	58.0%	57.3%	12.6%	4.4%	6.2M	-510.9M	-2.0M	1.64	4.84	N/A	N/A	9,964	16,311	193,911	169,875
2010-06-04	$44.88	$35.00	62.8%	18.3%	64.9%	76.7%	66.8%	18.6%	-2.0%	4.6M	-389.7M	-2.1M	1.62	5.53	N/A	N/A	11,873	19,277	194,823	176,770
2010-06-07	$43.22	$35.00	73.1%	19.7%	62.9%	100.0%	67.8%	19.1%	-4.4%	3.4M	-303.9M	-2.1M	0.77	5.91	N/A	N/A	28,990	22,359	195,851	180,394
2010-06-08	$43.02	$35.00	67.5%	19.2%	52.7%	86.8%	73.1%	19.7%	-3.4%	2.6M	-284.0M	-2.1M	1.61	2.89	N/A	N/A	16,763	27,011	194,914	183,899
2010-06-09	$42.75	$35.00	63.7%	18.1%	52.4%	77.9%	67.3%	19.9%	-0.7%	2.9M	-269.5M	-2.0M	1.45	4.75	N/A	N/A	16,565	23,987	196,498	186,992
2010-06-10	$44.49	$36.00	59.3%	17.0%	51.7%	67.7%	64.5%	17.4%	0.9%	4.5M	-365.3M	-2.0M	0.96	3.83	N/A	N/A	15,705	15,061	200,099	196,236
2010-06-11	$44.60	$36.00	56.1%	16.1%	50.1%	60.1%	61.4%	16.3%	2.3%	4.6M	-373.6M	-2.0M	0.94	3.89	N/A	N/A	15,244	14,306	200,853	201,267
2010-06-14	$47.34	$36.00	55.8%	16.0%	53.2%	59.5%	59.4%	14.4%	1.8%	7.0M	-549.4M	-1.9M	0.75	3.90	N/A	N/A	29,876	22,346	201,833	204,806
2010-06-15	$48.68	$37.00	52.3%	15.0%	53.6%	51.2%	54.4%	12.0%	2.8%	7.5M	-636.4M	-1.8M	0.55	4.76	N/A	N/A	24,697	13,659	203,055	212,531
2010-06-16	$49.39	$37.00	50.6%	14.5%	52.0%	47.2%	52.6%	10.6%	3.9%	8.3M	-680.8M	-1.8M	0.81	3.21	N/A	N/A	30,686	24,708	206,942	214,447
2010-06-17	$49.70	$38.00	49.9%	14.3%	50.4%	45.6%	53.3%	9.3%	3.9%	8.8M	-695.3M	-1.8M	1.21	5.02	N/A	N/A	12,950	15,637	210,061	223,928
2010-06-18	$49.02	$39.00	48.6%	13.9%	50.1%	42.7%	50.3%	8.4%	4.8%	50.1M	-659.7M	-1.8M	0.52	4.40	N/A	N/A	21,535	11,265	209,367	228,418
2010-06-21	$48.04	$40.00	50.2%	14.4%	49.5%	46.4%	51.8%	8.0%	5.8%	1.9M	-432.0M	-1.8M	1.08	5.27	N/A	N/A	20,108	21,673	161,901	172,071
2010-06-22	$47.08	$40.00	52.3%	15.0%	50.4%	51.2%	53.7%	9.0%	5.4%	1.1M	-381.3M	-1.9M	0.84	4.06	N/A	N/A	15,046	12,653	167,323	181,478
2010-06-23	$46.87	$40.00	50.9%	14.6%	49.6%	48.0%	51.8%	8.5%	5.7%	1.3M	-381.3M	-2.0M	0.74	3.77	N/A	N/A	14,713	10,836	174,021	184,839
2010-06-24	$45.80	$40.00	53.6%	15.4%	50.4%	54.4%	56.2%	8.3%	5.7%	1.6M	-351.7M	-2.0M	0.95	3.78	N/A	N/A	10,064	9,524	179,574	187,267
2010-06-25	$46.10	$40.00	51.0%	14.6%	43.2%	48.3%	51.4%	8.6%	7.0%	1.5M	-368.5M	-2.0M	0.63	4.51	N/A	N/A	10,637	6,658	179,969	190,903
2010-06-28	$45.84	$40.00	52.0%	14.9%	43.2%	50.5%	53.2%	8.4%	7.0%	1.3M	-341.9M	-2.0M	0.66	4.47	N/A	N/A	11,836	7,775	183,158	193,733
2010-06-29	$42.64	$40.00	62.7%	18.0%	48.7%	75.6%	64.8%	13.3%	3.0%	226.0K	-186.5M	-2.0M	0.89	4.31	N/A	N/A	22,271	19,887	186,004	197,278
2010-06-30	$42.07	$40.00	61.5%	17.6%	47.2%	72.8%	61.1%	15.3%	2.6%	222.1K	-154.6M	-2.0M	0.54	3.52	N/A	N/A	16,170	8,786	188,875	198,143