SNDK Options History — November 2010 In November 2010, SNDK traded between $37.36 and $45.22. ATM implied volatility averaged 41.2%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 5.7% (HV 20d: 35.5%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.76.
Notable Days 2010-11-19 : Highest Volume — 70,140 contracts2010-11-11 : Largest IV spike — 16.4% change2010-11-29 : Highest IV Rank — 34.8%2010-11-29 : Largest Expected Move — 13.0%Monthly Statistics Metric Avg Min Max Open Close Price $40.72 $37.36 $45.22 $37.36 $44.60 Max Pain $38.71 $38.00 $41.00 $38.00 $41.00 ATM IV 41.2% 36.1% 45.3% 44.6% 44.3% Expected Move 12.0% 10.5% 13.0% 12.8% 12.7% HV 20d 35.5% 30.9% 42.3% 33.6% 42.1% HV 60d 42.6% 39.2% 45.3% 45.3% 39.2% IV Rank 25.3% 13.4% 34.8% 33.2% 32.5% IV Percentile 20.1% 2.4% 43.7% 31.7% 36.9% Term Structure 1.0% -0.8% 4.5% 1.8% -0.2% VWIV 42.5% 37.4% 46.5% 44.8% 45.9% Skew 25d 2.6% -0.9% 4.6% 0.9% 3.5% Skew 10d 4.5% -2.4% 9.2% 2.2% 6.5% Call IV 25d 41.3% 36.2% 44.7% 44.7% 43.6% Put IV 25d 43.9% 38.2% 48.2% 45.7% 47.1% Bid-Ask Spread % 4.79 3.37 7.62 6.70 4.79 Gamma HHI 0.19 0.08 0.93 0.13 0.09 Net GEX 14.1M 3.9M 144.2M 3.9M 4.8M Net DEX -280.8M -476.7M -49.7M -65.0M -380.6M Net VEX -2.2M -2.5M -1.9M -2.5M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.76 0.29 1.80 0.64 1.02 Total Volume 37,453.333 15,454 70,140 17,029 42,056 Total OI 473,265.381 339,081 536,814 504,902 390,007
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 2010-11-01 $37.36 $38.00 44.6% 12.8% 33.6% 33.2% 44.8% 0.9% 1.8% 3.9M -65.0M -2.5M 0.64 6.70 N/A N/A 10,393 6,636 266,294 238,608 2010-11-02 $37.44 $38.00 40.4% 11.6% 30.9% 23.4% 40.6% 1.2% 3.0% 4.0M -65.6M -2.4M 0.79 5.94 N/A N/A 12,809 10,121 266,609 236,248 2010-11-03 $38.10 $38.00 37.3% 10.7% 31.4% 16.2% 39.4% -0.9% 4.3% 5.9M -138.5M -2.4M 0.56 7.62 N/A N/A 21,277 11,880 269,417 240,067 2010-11-04 $40.35 $38.00 36.5% 10.5% 37.1% 14.2% 37.4% 1.9% 4.5% 12.2M -387.8M -2.4M 0.63 6.37 N/A N/A 35,043 22,097 269,275 240,861 2010-11-05 $41.31 $38.00 38.9% 11.9% 31.9% 19.9% 41.7% 2.5% 1.1% 12.1M -476.7M -2.3M 0.55 3.55 N/A N/A 34,750 19,081 265,867 242,470 2010-11-08 $41.37 $38.00 39.0% 12.0% 31.9% 20.0% 42.5% 2.4% 0.8% 11.9M -472.0M -2.3M 0.71 3.38 N/A N/A 16,358 11,645 265,521 246,980 2010-11-09 $39.88 $38.00 38.4% 11.7% 34.3% 18.6% 41.1% 2.6% 0.9% 9.8M -294.2M -2.3M 1.00 4.03 N/A N/A 16,636 16,720 266,063 244,177 2010-11-10 $40.28 $38.00 36.1% 11.7% 34.5% 13.4% 41.5% 2.6% 0.7% 11.4M -355.8M -2.2M 1.12 3.76 N/A N/A 13,555 15,208 267,186 248,732 2010-11-11 $40.42 $38.00 42.0% 12.1% 32.3% 27.2% 42.2% 2.7% 0.3% 11.9M -375.3M -2.3M 0.29 4.53 N/A N/A 25,859 7,424 268,243 250,367 2010-11-12 $39.57 $38.00 44.7% 12.8% 33.1% 33.5% 45.2% 3.4% -0.6% 9.7M -264.2M -2.3M 1.80 3.92 N/A N/A 7,955 14,317 270,014 250,501 2010-11-15 $39.17 $39.00 45.0% 12.9% 33.2% 34.1% 45.2% 3.5% -0.2% 10.0M -216.7M -2.2M 0.75 4.83 N/A N/A 15,110 11,316 271,486 254,086 2010-11-16 $38.22 $39.00 45.1% 12.9% 33.6% 34.3% 44.9% 3.2% 0.1% 5.7M -86.3M -2.1M 0.69 4.49 N/A N/A 22,047 15,174 274,660 257,932 2010-11-17 $37.93 $39.00 44.2% 12.7% 33.6% 32.2% 44.4% 2.8% 0.7% 4.0M -49.7M -2.1M 0.71 4.63 N/A N/A 18,763 13,242 274,048 260,017 2010-11-18 $38.49 $39.00 42.4% 12.2% 31.9% 28.2% 42.6% 1.6% 0.4% 7.6M -127.0M -2.0M 0.81 4.53 N/A N/A 37,331 30,078 276,502 260,312 2010-11-19 $39.98 $39.00 39.3% 11.3% 34.3% 20.7% 39.9% 1.9% 1.5% 144.2M -320.8M -2.0M 0.45 3.82 N/A N/A 48,365 21,775 260,640 241,637 2010-11-22 $42.57 $39.00 39.2% 11.2% 40.1% 20.6% 40.3% 4.6% 0.4% 4.4M -274.2M -1.9M 0.47 3.37 N/A N/A 33,298 15,697 165,735 173,346 2010-11-23 $42.96 $39.00 41.1% 11.8% 39.9% 25.0% 41.3% 2.8% 0.0% 5.2M -308.3M -2.0M 0.50 5.51 N/A N/A 20,425 10,147 173,950 179,185 2010-11-24 $45.01 $39.00 40.4% 11.6% 42.1% 23.5% 41.9% 3.5% 1.7% 5.9M -418.9M -2.0M 0.80 5.50 N/A N/A 34,810 27,993 178,665 181,734 2010-11-26 $44.95 $40.00 41.3% 11.8% 42.3% 25.4% 42.3% 4.1% 1.4% 5.5M -410.7M -2.0M 0.52 5.60 N/A N/A 10,179 5,275 184,381 196,323 2010-11-29 $45.22 $40.00 45.3% 13.0% 41.7% 34.8% 46.5% 4.1% -0.8% 5.4M -408.4M -2.0M 1.25 3.64 N/A N/A 10,508 13,167 180,515 189,912 2010-11-30 $44.60 $41.00 44.3% 12.7% 42.1% 32.5% 45.9% 3.5% -0.2% 4.8M -380.6M -2.1M 1.02 4.79 N/A N/A 20,779 21,277 188,440 201,567
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