SNDK Options History — September 2010 In September 2010, SNDK traded between $34.81 and $39.73. ATM implied volatility averaged 49.4%, placing in the 44.4% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded below realized volatility by 3.1% (HV 20d: 52.4%). Max pain ranged from $38.00 to $40.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.70.
Notable Days 2010-09-21 : Highest Volume — 79,902 contracts2010-09-07 : Largest IV spike — 9.6% change2010-09-13 : Highest IV Rank — 53.3%2010-09-07 : Largest Expected Move — 15.4%Monthly Statistics Metric Avg Min Max Open Close Price $37.07 $34.81 $39.73 $34.81 $36.65 Max Pain $39.19 $38.00 $40.00 $38.00 $38.00 ATM IV 49.4% 46.3% 53.2% 50.5% 47.3% Expected Move 14.3% 13.3% 15.4% 14.5% 13.6% HV 20d 52.4% 43.5% 57.8% 53.2% 43.5% HV 60d 47.5% 46.1% 49.1% 47.7% 47.4% IV Rank 44.4% 37.1% 53.3% 47.0% 39.7% IV Percentile 49.6% 36.1% 68.3% 52.4% 41.3% Term Structure 2.2% -1.9% 6.1% 2.9% 6.1% VWIV 50.4% 46.9% 53.7% 52.0% 48.0% Skew 25d 3.4% -0.2% 5.2% 5.2% 3.5% Skew 10d 6.3% -1.0% 10.3% 10.3% 5.8% Call IV 25d 49.1% 45.9% 53.2% 49.7% 47.0% Put IV 25d 52.5% 48.0% 55.5% 54.9% 50.5% Bid-Ask Spread % 4.85 4.00 5.84 4.23 5.59 Gamma HHI 0.11 0.06 0.26 0.08 0.09 Net GEX 948.1K -4.0M 5.6M -1.1M 1.5M Net DEX 14.9M -116.9M 139.4M 139.4M 6.8M Net VEX -1.8M -2.0M -1.6M -1.7M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.36 1.39 0.78 0.65 Total Volume 36,480.762 16,768 79,902 33,499 23,734 Total OI 409,125.571 330,151 439,085 387,484 433,715
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 2010-09-01 $34.81 $38.00 50.5% 14.5% 53.2% 47.0% 52.0% 5.2% 2.9% -1.1M 139.4M -1.7M 0.78 4.23 N/A N/A 18,863 14,636 185,005 202,479 2010-09-02 $36.01 $38.00 50.6% 14.5% 55.9% 47.4% 52.7% -0.2% 3.4% -739.1K 82.0M -1.8M 0.51 5.49 N/A N/A 51,327 26,300 185,759 206,185 2010-09-03 $36.95 $40.00 47.8% 15.1% 57.5% 40.7% 53.7% 3.0% -0.6% 829.3K 24.0M -1.9M 0.57 5.13 N/A N/A 23,988 13,652 202,738 214,320 2010-09-07 $36.61 $40.00 52.4% 15.4% 55.8% 51.5% 53.7% 2.1% -1.0% 541.9K 43.8M -1.8M 0.55 5.23 N/A N/A 23,021 12,690 203,554 213,982 2010-09-08 $37.51 $40.00 49.2% 15.0% 57.2% 43.9% 52.2% 3.4% -0.5% 1.7M -5.3M -1.9M 0.42 4.57 N/A N/A 20,322 8,609 207,616 214,931 2010-09-09 $37.95 $40.00 51.4% 14.7% 54.1% 49.2% 51.6% 3.5% 0.3% 1.9M -22.7M -1.9M 0.37 4.50 N/A N/A 21,251 7,792 206,198 216,861 2010-09-10 $36.94 $40.00 52.0% 14.9% 54.5% 50.6% 52.1% 3.9% -0.4% 937.6K 48.7M -1.8M 0.61 4.65 N/A N/A 21,401 12,972 210,733 216,938 2010-09-13 $38.79 $40.00 53.2% 15.2% 57.8% 53.3% 53.3% 3.9% -1.9% 4.5M -82.8M -1.8M 0.69 4.73 N/A N/A 29,686 20,411 211,989 218,052 2010-09-14 $39.51 $40.00 49.8% 14.3% 57.6% 45.4% 50.3% 4.6% 0.2% 4.4M -103.2M -1.9M 0.36 4.41 N/A N/A 29,827 10,652 209,980 221,676 2010-09-15 $39.73 $40.00 50.1% 14.4% 56.7% 46.1% 51.1% 4.7% -0.2% 5.1M -116.9M -1.8M 0.50 4.58 N/A N/A 11,692 5,846 209,091 221,194 2010-09-16 $39.31 $40.00 50.8% 14.6% 55.3% 47.8% 51.7% 4.5% -0.7% 5.6M -92.1M -1.8M 0.89 4.81 N/A N/A 17,484 15,475 208,745 221,189 2010-09-17 $38.12 $40.00 48.8% 14.0% 51.2% 42.9% 48.9% 4.4% 1.8% -4.0M -1.7M -1.7M 1.16 5.84 N/A N/A 23,710 27,423 212,655 226,430 2010-09-20 $37.76 $40.00 47.2% 13.5% 51.2% 39.3% 48.0% 4.7% 4.5% -312.2K 16.8M -1.7M 0.88 5.68 N/A N/A 15,260 13,429 153,849 176,302 2010-09-21 $35.47 $40.00 50.2% 14.4% 55.0% 46.3% 49.9% 4.1% 3.6% -1.3M 99.3M -1.6M 0.80 4.32 N/A N/A 44,490 35,412 159,978 181,357 2010-09-22 $35.75 $39.00 48.2% 13.8% 51.1% 41.7% 49.5% 3.5% 3.7% -812.6K 78.2M -1.8M 0.65 4.41 N/A N/A 22,159 14,364 181,656 200,525 2010-09-23 $35.28 $38.00 49.2% 14.1% 51.1% 44.0% 49.5% 4.0% 3.6% -581.9K 84.3M -1.9M 0.81 4.00 N/A N/A 12,630 10,282 191,199 205,971 2010-09-24 $35.85 $38.00 46.9% 13.4% 47.9% 38.6% 47.0% 2.8% 4.6% -315.2K 57.3M -1.9M 0.57 4.56 N/A N/A 14,214 8,104 194,983 210,186 2010-09-27 $35.89 $38.00 48.0% 13.8% 44.8% 41.2% 48.6% 1.2% 4.5% 219.9K 51.2M -1.9M 1.39 5.05 N/A N/A 7,004 9,764 201,663 211,865 2010-09-28 $35.98 $38.00 46.3% 13.3% 44.8% 37.1% 46.9% 1.3% 6.1% 142.0K 50.7M -1.9M 0.96 4.38 N/A N/A 10,104 9,707 203,010 215,080 2010-09-29 $37.64 $38.00 47.4% 13.6% 45.1% 39.9% 48.3% 2.9% 5.5% 1.7M -44.4M -2.0M 0.52 5.77 N/A N/A 30,487 15,922 206,505 215,493 2010-09-30 $36.65 $38.00 47.3% 13.6% 43.5% 39.7% 48.0% 3.5% 6.1% 1.5M 6.8M -2.0M 0.65 5.59 N/A N/A 14,398 9,336 215,299 218,416
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