SNDK Options History — December 2010

In December 2010, SNDK traded between $46.90 and $51.64. ATM implied volatility averaged 38.5%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 1.5% (HV 20d: 37.0%). Max pain ranged from $39.00 to $42.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.60.

Notable Days

2010-12-10: Highest Volume — 72,445 contracts
2010-12-20: Largest IV drop — 10.3% change
2010-12-16: Highest IV Rank — 25.8%
2010-12-10: Largest Expected Move — 12.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.18	$46.90	$51.64	$46.90	$49.86
Max Pain	$40.18	$39.00	$42.00	$41.00	$40.00
ATM IV	38.5%	35.7%	41.4%	40.9%	37.9%
Expected Move	11.2%	10.2%	12.1%	11.7%	10.9%
HV 20d	37.0%	27.9%	44.6%	44.5%	27.9%
HV 60d	37.8%	35.6%	40.3%	40.3%	35.6%
IV Rank	19.0%	12.3%	25.8%	24.6%	17.6%
IV Percentile	10.9%	2.4%	26.2%	17.5%	10.7%
Term Structure	4.8%	0.2%	8.0%	0.8%	8.0%
VWIV	40.0%	36.4%	43.0%	42.6%	38.8%
Skew 25d	1.2%	-0.3%	4.3%	4.3%	0.2%
Skew 10d	2.8%	-0.7%	7.9%	7.9%	1.1%
Call IV 25d	39.6%	36.7%	42.6%	39.7%	39.3%
Put IV 25d	40.8%	37.0%	43.9%	43.9%	39.5%
Bid-Ask Spread %	4.78	3.13	8.16	4.37	3.86
Gamma HHI	0.15	0.10	0.23	0.10	0.18
Net GEX	7.4M	6.4M	9.9M	6.5M	7.3M
Net DEX	-581.9M	-733.6M	-473.6M	-534.5M	-505.9M
Net VEX	-2.0M	-2.1M	-1.8M	-2.1M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.23	1.63	0.57	0.32
Total Volume	25,275.773	7,073	72,445	38,037	8,206
Total OI	404,595.455	351,475	456,949	402,919	377,489

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
2010-12-01	$46.90	$41.00	40.9%	11.7%	44.5%	24.6%	42.6%	4.3%	0.8%	6.5M	-534.5M	-2.1M	0.57	4.37	N/A	N/A	24,154	13,883	198,466	204,453
2010-12-02	$48.00	$42.00	40.8%	11.7%	44.6%	24.2%	42.0%	2.9%	0.2%	6.5M	-598.6M	-2.0M	0.53	4.50	N/A	N/A	21,652	11,369	200,207	208,491
2010-12-03	$48.31	$42.00	40.1%	11.5%	41.2%	22.6%	41.4%	1.9%	0.9%	6.6M	-617.1M	-2.1M	0.72	4.77	N/A	N/A	16,449	11,900	204,701	211,107
2010-12-06	$47.72	$39.00	41.3%	11.7%	41.5%	25.5%	41.4%	2.6%	4.1%	6.6M	-574.7M	-2.0M	0.63	5.37	N/A	N/A	19,467	12,274	205,324	213,265
2010-12-07	$47.75	$40.00	38.9%	11.4%	41.5%	19.9%	40.1%	2.6%	4.8%	7.7M	-580.3M	-2.0M	0.69	5.67	N/A	N/A	14,167	9,808	207,512	209,024
2010-12-08	$47.89	$40.00	37.5%	11.3%	38.2%	16.5%	40.0%	2.1%	5.1%	7.7M	-585.6M	-2.0M	1.06	5.51	N/A	N/A	8,509	9,044	210,487	214,205
2010-12-09	$47.64	$40.00	36.9%	11.3%	38.5%	15.2%	40.0%	2.1%	4.5%	7.3M	-560.5M	-2.0M	1.63	5.45	N/A	N/A	8,010	13,087	208,190	214,659
2010-12-10	$49.60	$40.00	37.3%	12.1%	40.1%	16.1%	43.0%	1.2%	2.6%	6.8M	-691.1M	-1.9M	0.48	5.22	N/A	N/A	48,980	23,465	208,364	216,402
2010-12-13	$49.87	$40.00	37.1%	11.4%	38.4%	15.7%	40.5%	-0.3%	3.9%	8.4M	-733.6M	-1.8M	0.72	4.48	N/A	N/A	23,021	16,591	217,756	220,769
2010-12-14	$49.38	$40.00	39.7%	11.7%	38.4%	21.8%	41.7%	-0.3%	3.2%	7.6M	-695.0M	-1.9M	0.76	5.05	N/A	N/A	10,872	8,239	220,247	223,403
2010-12-15	$48.18	$40.00	41.0%	11.8%	38.4%	24.8%	42.2%	-0.2%	3.7%	6.6M	-596.5M	-2.0M	0.65	5.26	N/A	N/A	22,050	14,262	220,230	224,636
2010-12-16	$48.69	$40.00	41.4%	11.9%	37.7%	25.8%	42.3%	1.1%	3.3%	7.9M	-643.4M	-2.0M	0.24	5.23	N/A	N/A	25,744	6,179	226,350	224,104
2010-12-17	$48.87	$40.00	39.8%	11.4%	37.8%	21.9%	40.7%	0.8%	4.5%	9.9M	-650.1M	-2.0M	0.26	8.16	N/A	N/A	20,443	5,338	231,861	225,088
2010-12-20	$49.21	$40.00	35.7%	10.2%	36.6%	12.3%	36.4%	0.4%	5.7%	6.4M	-473.6M	-1.9M	0.43	5.37	N/A	N/A	12,041	5,196	176,217	175,258
2010-12-21	$51.64	$40.00	36.7%	10.5%	34.1%	14.8%	36.9%	0.8%	6.3%	7.1M	-581.7M	-1.8M	0.33	4.32	N/A	N/A	37,855	12,319	180,735	176,635
2010-12-22	$51.01	$40.00	36.6%	10.5%	35.0%	14.4%	37.0%	0.4%	6.4%	7.8M	-559.6M	-1.9M	0.42	3.75	N/A	N/A	13,535	5,662	190,826	180,665
2010-12-23	$50.41	$40.00	35.9%	10.3%	32.6%	12.7%	36.7%	0.3%	7.3%	7.5M	-530.7M	-1.9M	0.75	3.13	N/A	N/A	5,362	4,043	190,948	181,099
2010-12-27	$50.85	$40.00	38.6%	11.1%	32.5%	19.1%	39.3%	1.1%	6.9%	7.6M	-553.5M	-1.9M	0.61	4.19	N/A	N/A	4,716	2,861	192,071	182,317
2010-12-28	$50.15	$40.00	37.9%	10.9%	33.3%	17.4%	38.7%	1.5%	7.5%	7.2M	-509.4M	-1.9M	0.73	4.46	N/A	N/A	4,528	3,324	192,413	182,874
2010-12-29	$49.78	$40.00	37.5%	10.7%	32.9%	16.5%	38.4%	1.1%	7.8%	7.2M	-499.1M	-1.9M	0.41	3.77	N/A	N/A	5,034	2,039	191,996	183,660
2010-12-30	$50.36	$40.00	38.4%	11.0%	28.5%	18.7%	39.1%	0.9%	7.5%	7.4M	-527.3M	-1.9M	0.23	3.38	N/A	N/A	8,424	1,965	192,413	184,183
2010-12-31	$49.86	$40.00	37.9%	10.9%	27.9%	17.6%	38.8%	0.2%	8.0%	7.3M	-505.9M	-1.9M	0.32	3.86	N/A	N/A	6,237	1,969	192,850	184,639