SNDK Options History — July 2010

In July 2010, SNDK traded between $41.43 and $45.81. ATM implied volatility averaged 52.6%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 15.8%. IV traded above realized volatility by 7.7% (HV 20d: 44.9%). Max pain ranged from $40.00 to $46.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.56.

Notable Days

2010-07-23: Highest Volume — 57,054 contracts
2010-07-23: Largest IV drop — 19.8% change
2010-07-16: Highest IV Rank — 75.4%
2010-07-06: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$43.10	$41.43	$45.81	$42.17	$43.70
Max Pain	$43.57	$40.00	$46.00	$40.00	$43.00
ATM IV	52.6%	41.8%	62.6%	58.4%	41.8%
Expected Move	15.8%	12.0%	18.6%	16.7%	12.0%
HV 20d	44.9%	42.1%	49.4%	46.7%	42.1%
HV 60d	58.2%	51.9%	62.2%	60.4%	51.9%
IV Rank	51.9%	26.7%	75.4%	65.5%	26.7%
IV Percentile	57.8%	14.7%	91.7%	81.7%	14.7%
Term Structure	-0.5%	-5.3%	5.6%	5.6%	3.7%
VWIV	54.9%	41.5%	64.7%	59.4%	41.5%
Skew 25d	8.0%	2.5%	14.9%	14.9%	5.2%
Skew 10d	16.3%	5.6%	31.6%	31.6%	9.7%
Call IV 25d	51.5%	39.9%	60.4%	52.8%	39.9%
Put IV 25d	59.5%	44.5%	71.6%	67.7%	45.1%
Bid-Ask Spread %	3.17	2.12	4.58	4.42	3.97
Gamma HHI	0.11	0.07	0.53	0.08	0.09
Net GEX	1.7M	-7.8M	5.1M	192.1K	5.1M
Net DEX	-197.1M	-411.9M	-84.9M	-163.4M	-177.9M
Net VEX	-1.9M	-2.0M	-1.7M	-2.0M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.31	1.05	1.05	0.39
Total Volume	31,619.476	14,168	57,054	39,650	14,168
Total OI	357,255.381	245,502	441,301	391,280	324,111

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
2010-07-01	$42.17	$40.00	58.4%	16.7%	46.7%	65.5%	59.4%	14.9%	5.6%	192.1K	-163.4M	-2.0M	1.05	4.42	N/A	N/A	19,323	20,327	191,506	199,774
2010-07-02	$41.47	$40.00	58.6%	16.8%	44.1%	66.0%	57.8%	12.6%	5.5%	109.7K	-139.3M	-1.9M	0.64	4.58	N/A	N/A	11,990	7,620	193,879	202,827
2010-07-06	$41.77	$46.00	62.1%	18.6%	42.4%	74.1%	64.7%	11.2%	-3.4%	327.5K	-154.1M	-1.9M	0.92	3.08	N/A	N/A	14,856	13,646	195,182	200,839
2010-07-07	$43.53	$46.00	51.7%	17.1%	45.1%	50.0%	59.9%	10.0%	-2.4%	406.6K	-240.9M	-1.9M	0.62	3.02	N/A	N/A	12,272	7,620	196,425	208,948
2010-07-08	$43.54	$45.00	49.4%	16.9%	45.0%	44.5%	58.8%	9.1%	-1.7%	597.5K	-254.5M	-1.8M	0.61	2.13	N/A	N/A	17,329	10,525	197,834	210,338
2010-07-09	$42.90	$45.00	46.8%	17.0%	42.8%	38.4%	59.0%	9.3%	-1.9%	530.1K	-220.5M	-1.8M	0.52	2.54	N/A	N/A	16,344	8,545	200,797	211,736
2010-07-12	$45.81	$44.00	53.6%	16.7%	49.1%	54.2%	59.0%	9.1%	-2.2%	2.3M	-411.9M	-1.8M	0.48	2.12	N/A	N/A	35,314	17,077	204,180	211,455
2010-07-13	$45.71	$44.00	54.8%	17.0%	44.0%	57.1%	59.5%	8.2%	-3.0%	1.9M	-406.4M	-1.8M	0.49	2.49	N/A	N/A	22,137	10,943	207,550	215,209
2010-07-14	$45.13	$45.00	51.9%	17.3%	42.7%	50.4%	60.3%	7.5%	-3.2%	1.5M	-372.2M	-1.9M	0.31	2.62	N/A	N/A	32,281	10,140	211,986	216,808
2010-07-15	$43.97	$44.00	60.5%	17.3%	42.8%	70.5%	60.4%	7.7%	-3.2%	605.2K	-289.9M	-1.8M	0.53	2.82	N/A	N/A	22,227	11,752	215,948	217,842
2010-07-16	$41.93	$44.00	62.6%	17.9%	45.0%	75.4%	61.8%	7.0%	-4.1%	-7.8M	-164.2M	-1.8M	0.97	2.73	N/A	N/A	21,222	20,539	220,421	220,880
2010-07-19	$41.79	$44.00	60.5%	17.3%	45.0%	70.5%	59.7%	7.5%	-3.3%	1.4M	-84.9M	-1.7M	0.43	2.62	N/A	N/A	19,456	8,432	123,652	121,850
2010-07-20	$42.28	$44.00	60.4%	17.3%	45.3%	70.2%	60.3%	7.5%	-5.3%	1.8M	-101.8M	-1.8M	0.45	3.39	N/A	N/A	22,433	10,010	129,522	124,813
2010-07-21	$42.12	$43.00	57.4%	16.5%	45.0%	63.2%	55.6%	10.2%	-3.5%	2.3M	-105.7M	-1.8M	0.40	2.69	N/A	N/A	23,945	9,692	139,145	129,238
2010-07-22	$43.10	$43.00	55.6%	15.9%	46.1%	58.9%	54.3%	9.4%	-3.3%	3.5M	-148.3M	-1.9M	0.38	3.50	N/A	N/A	40,157	15,210	149,889	133,732
2010-07-23	$41.43	$43.00	44.6%	12.8%	47.4%	33.1%	44.4%	2.5%	2.5%	3.3M	-87.0M	-1.9M	0.52	3.08	N/A	N/A	37,459	19,595	164,140	139,865
2010-07-26	$42.41	$43.00	45.5%	13.1%	48.3%	35.4%	45.7%	3.6%	1.2%	3.9M	-123.4M	-2.0M	0.45	2.76	N/A	N/A	13,773	6,134	168,016	148,636
2010-07-27	$43.53	$43.00	41.8%	12.0%	49.4%	26.8%	42.8%	4.1%	3.6%	4.9M	-172.6M	-2.0M	0.44	3.90	N/A	N/A	14,174	6,260	166,300	149,309
2010-07-28	$43.07	$43.00	43.0%	12.3%	42.2%	29.5%	43.5%	4.5%	3.5%	4.5M	-147.8M	-2.0M	0.62	4.09	N/A	N/A	12,587	7,800	166,851	149,978
2010-07-29	$43.65	$43.00	42.7%	12.2%	42.1%	28.8%	43.7%	6.0%	3.4%	4.8M	-172.8M	-2.0M	0.55	4.05	N/A	N/A	12,082	6,613	168,236	152,716
2010-07-30	$43.70	$43.00	41.8%	12.0%	42.1%	26.7%	41.5%	5.2%	3.7%	5.1M	-177.9M	-2.0M	0.39	3.97	N/A	N/A	10,227	3,941	169,959	154,152