SNDK Options History — October 2010

In October 2010, SNDK traded between $36.28 and $40.07. ATM implied volatility averaged 46.3%, placing in the 37.2% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 5.7% (HV 20d: 40.6%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.71.

Notable Days

  • 2010-10-21: Highest Volume — 154,697 contracts
  • 2010-10-14: Largest IV spike — 45.0% change
  • 2010-10-20: Highest IV Rank — 63.5%
  • 2010-10-20: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$38.10$36.28$40.07$37.03$37.63
Max Pain$37.76$36.00$39.00$38.00$38.00
ATM IV46.3%36.6%57.5%45.2%44.0%
Expected Move14.4%11.6%16.5%13.0%12.6%
HV 20d40.6%34.2%46.5%42.1%34.4%
HV 60d46.4%45.3%47.6%47.5%45.3%
IV Rank37.2%14.5%63.5%34.7%31.8%
IV Percentile39.6%3.2%85.7%32.5%29.4%
Term Structure-1.5%-5.9%7.9%7.9%2.4%
VWIV50.1%40.1%57.0%46.3%44.7%
Skew 25d4.5%1.0%7.0%4.2%1.0%
Skew 10d7.3%-19.0%13.2%6.9%1.4%
Call IV 25d48.0%39.4%54.8%44.4%44.5%
Put IV 25d52.6%41.6%59.1%48.6%45.5%
Bid-Ask Spread %4.852.1410.684.896.01
Gamma HHI0.120.060.310.090.13
Net GEX2.9M92.8K5.7M1.8M3.8M
Net DEX-85.3M-215.0M31.2M-15.0M-89.3M
Net VEX-2.2M-2.5M-2.0M-2.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.281.490.280.55
Total Volume38,925.33313,348154,69713,34831,771
Total OI442,631.81315,626493,785437,860493,785

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-10-01$37.03$38.0045.2%13.0%42.1%34.7%46.3%4.2%7.9%1.8M-15.0M-2.1M0.284.89N/AN/A10,4312,917216,697221,163
2010-10-04$36.28$36.0049.1%15.8%41.7%43.7%54.9%5.5%-3.5%1.1M31.2M-2.0M1.202.14N/AN/A6,3857,670217,900221,490
2010-10-05$37.64$36.0043.9%15.4%43.6%31.6%53.7%6.0%-3.7%2.5M-60.3M-2.0M0.522.69N/AN/A15,5388,100219,945223,327
2010-10-06$37.32$36.0047.6%15.8%42.9%40.2%54.4%5.5%-4.4%2.0M-30.7M-2.0M1.093.11N/AN/A11,65512,695219,342225,869
2010-10-07$37.25$37.0046.9%15.6%42.7%38.6%53.6%5.4%-3.9%1.7M-15.6M-2.1M0.902.63N/AN/A8,1387,315222,391230,469
2010-10-08$39.52$37.0036.6%14.1%46.5%14.5%50.5%5.9%-1.9%4.9M-183.5M-2.0M0.752.54N/AN/A34,99326,397223,719231,970
2010-10-11$39.44$38.0040.3%14.9%43.3%23.2%52.7%6.6%-3.3%5.7M-178.5M-2.1M1.452.54N/AN/A15,95023,189233,420241,836
2010-10-12$40.07$38.0043.1%15.1%43.2%29.8%53.0%7.0%-4.9%4.7M-215.0M-2.1M1.492.49N/AN/A13,18519,699233,640243,123
2010-10-13$39.94$38.0037.6%15.5%43.1%16.7%53.7%6.8%-5.9%5.3M-204.3M-2.1M0.733.42N/AN/A29,42321,452233,974246,321
2010-10-14$38.70$39.0054.5%15.6%44.5%56.3%55.4%5.4%-5.9%3.4M-77.4M-2.1M1.003.20N/AN/A19,12219,160236,447251,499
2010-10-15$39.21$38.0051.5%14.8%43.2%49.5%51.6%5.2%-3.7%4.4M-140.1M-2.0M0.4310.68N/AN/A22,6889,858237,526251,627
2010-10-18$38.91$38.0054.4%15.6%43.2%56.3%54.0%3.2%-4.3%92.8K-85.6M-2.0M0.344.27N/AN/A24,4788,251142,445173,181
2010-10-19$38.13$39.0055.7%16.0%37.0%59.2%55.2%3.6%-4.5%430.9K-57.4M-2.0M0.395.42N/AN/A33,86213,340154,416176,942
2010-10-20$38.31$39.0057.5%16.5%37.0%63.5%57.0%4.3%-4.3%635.8K-72.4M-2.1M0.447.08N/AN/A28,74312,713162,245182,569
2010-10-21$37.12$38.0053.8%15.4%38.6%54.9%52.9%4.6%-2.4%599.5K-23.9M-2.0M0.606.12N/AN/A96,39558,302169,385183,052
2010-10-22$36.99$38.0040.4%11.6%38.4%23.4%40.1%2.2%3.6%2.9M-23.9M-2.4M0.476.69N/AN/A48,78023,051243,537221,790
2010-10-25$37.41$38.0041.5%11.9%38.5%26.1%41.2%3.4%3.0%3.6M-64.3M-2.4M0.635.83N/AN/A10,3266,508246,081225,044
2010-10-26$37.19$38.0041.5%11.9%38.6%25.9%40.9%3.3%3.3%3.0M-40.5M-2.4M0.376.94N/AN/A18,3896,750246,116226,094
2010-10-27$37.87$38.0044.7%12.8%35.7%33.5%44.8%3.1%2.0%4.2M-111.6M-2.5M0.446.77N/AN/A22,7919,964247,999228,708
2010-10-28$38.05$38.0042.4%12.2%34.2%28.0%42.5%3.2%3.4%5.0M-134.0M-2.5M0.736.39N/AN/A9,8497,209255,773232,411
2010-10-29$37.63$38.0044.0%12.6%34.4%31.8%44.7%1.0%2.4%3.8M-89.3M-2.5M0.556.01N/AN/A20,50111,270257,476236,309