SNDK Options History — January 2011

In January 2011, SNDK traded between $45.37 and $53.24. ATM implied volatility averaged 44.1%, placing in the 32.0% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 12.7% (HV 20d: 31.4%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2011-01-28: Highest Volume — 80,545 contracts
2011-01-13: Largest IV spike — 35.7% change
2011-01-20: Highest IV Rank — 48.6%
2011-01-20: Largest Expected Move — 14.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.90	$45.37	$53.24	$51.24	$45.37
Max Pain	$47.90	$40.00	$50.00	$40.00	$48.00
ATM IV	44.1%	36.1%	51.2%	39.6%	40.6%
Expected Move	13.3%	10.7%	14.7%	11.4%	11.6%
HV 20d	31.4%	27.4%	48.4%	29.3%	48.4%
HV 60d	35.3%	33.1%	41.9%	35.8%	41.9%
IV Rank	32.0%	13.4%	48.6%	21.5%	23.7%
IV Percentile	40.1%	3.2%	73.4%	17.1%	24.6%
Term Structure	-1.2%	-5.8%	8.3%	7.2%	1.8%
VWIV	46.6%	38.0%	51.4%	40.4%	41.5%
Skew 25d	0.8%	-2.9%	2.2%	1.4%	-1.0%
Skew 10d	1.9%	-5.0%	5.2%	5.2%	-3.1%
Call IV 25d	46.3%	37.2%	51.4%	40.0%	42.4%
Put IV 25d	47.1%	38.7%	51.7%	41.4%	41.4%
Bid-Ask Spread %	3.49	2.57	4.98	4.05	3.37
Gamma HHI	0.27	0.10	0.69	0.21	0.10
Net GEX	7.0M	-246.3K	32.3M	7.9M	-246.3K
Net DEX	-451.4M	-670.4M	-826.9K	-558.8M	-826.9K
Net VEX	-1.9M	-2.0M	-1.8M	-1.9M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.29	0.97	0.89	0.97
Total Volume	28,595.5	9,510	80,545	14,099	50,680
Total OI	361,385.4	232,473	434,870	380,201	312,201

Daily Data (20 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
2011-01-03	$51.24	$40.00	39.6%	11.4%	29.3%	21.5%	40.4%	1.4%	7.2%	7.9M	-558.8M	-1.9M	0.89	4.05	N/A	N/A	7,464	6,635	195,142	185,059
2011-01-04	$50.81	$40.00	38.4%	11.0%	29.0%	18.8%	38.9%	0.9%	7.6%	7.5M	-550.6M	-1.9M	0.47	4.98	N/A	N/A	8,363	3,922	194,717	187,745
2011-01-05	$52.25	$40.00	38.4%	11.0%	30.3%	18.7%	38.0%	1.6%	7.8%	8.3M	-624.6M	-1.8M	0.34	3.70	N/A	N/A	17,210	5,876	195,942	188,402
2011-01-06	$52.73	$40.00	37.4%	10.7%	30.4%	16.4%	38.5%	0.5%	8.3%	7.8M	-628.6M	-1.8M	0.38	3.17	N/A	N/A	12,784	4,875	194,308	188,821
2011-01-07	$52.37	$50.00	37.3%	13.6%	30.4%	16.1%	47.1%	2.0%	-2.1%	8.0M	-617.9M	-1.8M	0.50	3.16	N/A	N/A	13,717	6,905	196,581	189,649
2011-01-10	$53.24	$50.00	39.0%	14.0%	27.8%	20.1%	50.1%	2.2%	-3.6%	8.2M	-670.4M	-1.8M	0.71	2.74	N/A	N/A	11,297	8,004	199,363	192,669
2011-01-11	$52.20	$50.00	37.6%	14.1%	29.0%	16.9%	49.0%	1.5%	-3.6%	7.5M	-618.7M	-1.8M	0.60	4.09	N/A	N/A	11,335	6,824	200,245	197,199
2011-01-12	$51.87	$50.00	36.1%	14.1%	28.8%	13.4%	48.8%	1.7%	-3.5%	7.1M	-602.8M	-1.9M	0.61	3.75	N/A	N/A	9,742	5,938	202,481	201,199
2011-01-13	$51.40	$50.00	49.0%	14.1%	27.4%	43.6%	49.0%	1.4%	-3.4%	6.0M	-568.3M	-1.9M	0.96	3.30	N/A	N/A	4,846	4,664	202,664	204,014
2011-01-14	$52.77	$50.00	47.6%	13.6%	28.5%	40.2%	48.1%	1.4%	-3.3%	7.1M	-644.1M	-1.8M	0.36	4.11	N/A	N/A	12,262	4,380	202,870	206,446
2011-01-18	$53.06	$50.00	49.5%	14.2%	28.5%	44.7%	50.2%	1.6%	-4.7%	7.8M	-662.1M	-1.8M	0.53	3.64	N/A	N/A	10,860	5,724	206,044	207,865
2011-01-19	$51.50	$50.00	49.8%	14.3%	30.9%	45.3%	49.5%	1.3%	-4.8%	4.8M	-580.5M	-1.8M	0.47	2.61	N/A	N/A	16,879	7,986	207,488	210,890
2011-01-20	$49.95	$50.00	51.2%	14.7%	27.9%	48.6%	51.4%	0.3%	-5.8%	5.3M	-451.7M	-1.9M	0.66	4.16	N/A	N/A	26,334	17,404	205,479	214,229
2011-01-21	$49.97	$50.00	50.6%	14.5%	27.6%	47.4%	50.7%	-0.2%	-5.5%	32.3M	-463.9M	-1.9M	0.88	3.75	N/A	N/A	13,957	12,255	217,164	217,706
2011-01-24	$50.68	$50.00	50.0%	14.3%	27.8%	45.8%	49.8%	1.1%	-4.4%	2.8M	-175.8M	-1.9M	0.29	3.15	N/A	N/A	34,171	10,052	120,029	112,444
2011-01-25	$48.55	$50.00	49.7%	14.3%	31.5%	45.3%	49.9%	0.6%	-3.8%	2.4M	-122.8M	-1.9M	0.78	2.57	N/A	N/A	16,181	12,608	137,335	117,268
2011-01-26	$49.97	$50.00	47.2%	13.5%	33.0%	39.3%	47.9%	-1.8%	-2.4%	3.5M	-180.4M	-2.0M	0.50	2.98	N/A	N/A	19,378	9,758	135,850	120,667
2011-01-27	$51.32	$50.00	50.9%	14.6%	34.2%	47.9%	50.6%	1.3%	-5.5%	5.6M	-244.9M	-2.0M	0.52	3.36	N/A	N/A	39,546	20,549	146,210	121,940
2011-01-28	$46.80	$50.00	41.3%	11.9%	47.4%	25.6%	42.5%	-2.9%	-0.5%	1.1M	-59.6M	-2.0M	0.65	3.18	N/A	N/A	48,813	31,732	160,152	131,231
2011-01-31	$45.37	$48.00	40.6%	11.6%	48.4%	23.7%	41.5%	-1.0%	1.8%	-246.3K	-826.9K	-2.0M	0.97	3.37	N/A	N/A	25,777	24,903	170,351	141,850