SNDK Options History — August 2010

In August 2010, SNDK traded between $33.13 and $46.37. ATM implied volatility averaged 45.8%, placing in the 36.1% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 1.7% (HV 20d: 44.2%). Max pain ranged from $38.00 to $44.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2010-08-27: Highest Volume — 89,774 contracts
2010-08-11: Largest IV spike — 19.9% change
2010-08-31: Highest IV Rank — 58.7%
2010-08-31: Largest Expected Move — 15.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.57	$33.13	$46.37	$45.31	$33.13
Max Pain	$42.45	$38.00	$44.00	$43.00	$38.00
ATM IV	45.8%	37.4%	55.5%	41.3%	55.5%
Expected Move	13.3%	11.2%	15.9%	11.8%	15.9%
HV 20d	44.2%	36.1%	52.5%	43.2%	50.0%
HV 60d	46.5%	44.7%	51.3%	51.3%	46.4%
IV Rank	36.1%	16.4%	58.7%	25.5%	58.7%
IV Percentile	34.8%	4.0%	76.6%	13.1%	76.6%
Term Structure	2.6%	0.8%	5.5%	3.0%	1.9%
VWIV	47.0%	40.2%	55.9%	41.9%	55.4%
Skew 25d	5.6%	2.6%	7.1%	6.5%	2.6%
Skew 10d	11.1%	7.1%	13.9%	10.9%	7.9%
Call IV 25d	44.5%	36.7%	55.7%	38.2%	55.7%
Put IV 25d	50.1%	43.6%	58.8%	44.7%	58.2%
Bid-Ask Spread %	3.52	2.76	4.90	2.99	3.38
Gamma HHI	0.10	0.07	0.17	0.10	0.09
Net GEX	3.0M	-2.0M	9.3M	7.3M	-1.8M
Net DEX	-78.7M	-315.3M	196.4M	-261.6M	196.4M
Net VEX	-1.9M	-2.0M	-1.6M	-2.0M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.36	1.31	0.77	0.55
Total Volume	32,682.955	14,564	89,774	33,239	35,687
Total OI	347,023	284,571	384,494	327,180	378,973

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
2010-08-02	$45.31	$43.00	41.3%	11.8%	43.2%	25.5%	41.9%	6.5%	3.0%	7.3M	-261.6M	-2.0M	0.77	2.99	N/A	N/A	18,767	14,472	172,044	155,136
2010-08-03	$45.08	$43.00	41.0%	11.8%	43.3%	24.8%	41.6%	6.2%	3.0%	7.2M	-247.0M	-2.0M	1.31	3.72	N/A	N/A	6,618	8,685	173,309	158,207
2010-08-04	$46.23	$43.00	39.5%	11.3%	41.8%	21.3%	40.2%	6.9%	4.6%	7.8M	-304.2M	-2.0M	0.36	3.44	N/A	N/A	17,488	6,308	174,449	162,250
2010-08-05	$45.70	$43.00	38.9%	11.2%	42.1%	19.8%	40.2%	7.1%	4.8%	7.8M	-274.9M	-2.0M	0.71	3.81	N/A	N/A	8,513	6,051	177,712	163,723
2010-08-06	$45.14	$43.00	37.4%	12.3%	42.0%	16.4%	43.7%	5.9%	1.9%	7.3M	-237.4M	-2.0M	0.73	2.76	N/A	N/A	13,080	9,505	178,504	166,284
2010-08-09	$46.37	$43.00	37.6%	12.1%	36.1%	16.7%	42.9%	5.7%	1.9%	9.3M	-315.3M	-2.0M	0.66	3.19	N/A	N/A	12,122	8,042	180,917	170,525
2010-08-10	$45.60	$43.00	38.1%	12.1%	36.6%	17.9%	43.0%	5.8%	2.6%	8.6M	-263.8M	-2.0M	0.74	2.99	N/A	N/A	12,576	9,256	182,116	169,047
2010-08-11	$42.83	$43.00	45.6%	13.5%	42.7%	35.6%	46.9%	6.3%	1.7%	3.0M	-89.1M	-1.9M	0.73	4.04	N/A	N/A	23,555	17,139	182,172	170,119
2010-08-12	$42.22	$43.00	47.4%	13.6%	42.1%	39.8%	47.2%	6.3%	2.1%	1.8M	-57.2M	-1.9M	0.50	3.45	N/A	N/A	15,214	7,616	184,497	173,944
2010-08-13	$41.54	$43.00	47.4%	13.6%	38.9%	39.7%	47.5%	6.3%	2.9%	1.0M	-22.5M	-1.9M	1.11	3.09	N/A	N/A	9,107	10,115	188,720	175,207
2010-08-16	$42.51	$44.00	48.2%	13.8%	39.8%	41.6%	48.8%	6.6%	2.3%	2.4M	-72.2M	-1.9M	0.72	3.52	N/A	N/A	15,293	10,952	189,526	178,860
2010-08-17	$43.57	$43.00	45.2%	13.0%	40.5%	34.6%	46.7%	6.2%	2.9%	5.2M	-136.7M	-1.9M	0.65	3.08	N/A	N/A	15,302	9,941	189,735	180,250
2010-08-18	$44.86	$43.00	43.8%	12.5%	41.6%	31.3%	44.9%	5.7%	3.7%	8.6M	-220.9M	-1.9M	0.65	3.73	N/A	N/A	13,385	8,676	191,622	180,315
2010-08-19	$41.90	$44.00	47.8%	13.7%	48.0%	40.7%	47.9%	5.6%	3.2%	-748.3K	-20.5M	-1.8M	1.08	3.26	N/A	N/A	23,062	24,941	189,843	181,883
2010-08-20	$41.50	$44.00	43.7%	12.5%	45.9%	31.1%	44.0%	4.8%	5.5%	-2.0M	9.9M	-1.8M	1.27	4.90	N/A	N/A	19,912	25,312	196,850	187,644
2010-08-23	$40.73	$43.00	43.7%	12.5%	45.5%	31.1%	44.4%	5.4%	4.3%	-215.7K	-19.3M	-1.8M	0.80	4.67	N/A	N/A	18,202	14,579	133,220	151,351
2010-08-24	$38.27	$43.00	50.8%	14.6%	49.0%	47.7%	50.0%	5.9%	1.3%	-1.1M	60.0M	-1.7M	0.85	3.76	N/A	N/A	26,539	22,429	141,027	160,056
2010-08-25	$37.76	$42.00	51.3%	14.7%	49.0%	49.0%	52.1%	4.4%	1.4%	-1.2M	70.7M	-1.7M	0.96	3.40	N/A	N/A	23,691	22,798	147,271	165,221
2010-08-26	$35.78	$41.00	54.0%	15.5%	51.2%	55.3%	53.7%	5.3%	0.8%	-2.0M	136.0M	-1.6M	0.88	3.90	N/A	N/A	21,203	18,567	150,963	175,350
2010-08-27	$34.19	$40.00	55.3%	15.9%	52.5%	58.4%	55.7%	4.3%	1.0%	-2.0M	176.8M	-1.6M	0.85	3.35	N/A	N/A	48,431	41,343	156,914	178,918
2010-08-30	$34.26	$39.00	54.9%	15.7%	49.6%	57.3%	55.9%	2.8%	1.4%	-1.4M	162.3M	-1.6M	0.96	3.14	N/A	N/A	12,518	12,033	175,272	194,560
2010-08-31	$33.13	$38.00	55.5%	15.9%	50.0%	58.7%	55.4%	2.6%	1.9%	-1.8M	196.4M	-1.6M	0.55	3.38	N/A	N/A	22,986	12,701	178,285	200,688