SNDK Options History — February 2011

In February 2011, SNDK traded between $46.49 and $52.67. ATM implied volatility averaged 36.8%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded below realized volatility by 12.5% (HV 20d: 49.4%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 15 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2011-02-08: Highest Volume — 70,599 contracts
  • 2011-02-14: Largest IV spike — 9.4% change
  • 2011-02-24: Highest IV Rank — 25.9%
  • 2011-02-24: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.67$46.49$52.67$46.49$49.60
Max Pain$48.79$48.00$50.00$48.00$49.00
ATM IV36.8%32.4%41.5%36.0%39.8%
Expected Move10.7%9.9%11.9%10.3%11.4%
HV 20d49.4%36.7%52.7%48.2%36.7%
HV 60d39.8%38.0%40.9%40.6%38.0%
IV Rank15.0%4.7%25.9%13.0%21.9%
IV Percentile12.6%1.6%39.3%3.2%26.2%
Term Structure1.8%0.5%3.1%2.1%2.0%
VWIV38.1%35.8%42.0%37.1%40.2%
Skew 25d-0.4%-2.1%0.5%-1.2%0.0%
Skew 10d-0.1%-4.3%3.0%-3.6%0.7%
Call IV 25d38.7%35.5%43.5%37.9%41.0%
Put IV 25d38.2%35.4%42.5%36.6%41.0%
Bid-Ask Spread %4.923.236.583.475.61
Gamma HHI0.140.100.290.110.12
Net GEX2.1M-2.9M10.2M291.3K359.7K
Net DEX-201.1M-418.4M-50.1M-50.8M-147.6M
Net VEX-2.3M-2.5M-2.1M-2.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.271.921.010.59
Total Volume32,513.68413,49770,59943,21219,457
Total OI375,804.368323,340421,362329,029366,821

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$46.49$48.0036.0%10.3%48.2%13.0%37.1%-1.2%2.1%291.3K-50.8M-2.1M1.013.47N/AN/A21,52021,692176,259152,770
2011-02-02$47.97$48.0035.3%10.1%49.8%11.5%35.9%-2.1%1.2%1.9M-125.9M-2.2M1.543.81N/AN/A16,82125,849181,994161,355
2011-02-03$47.59$48.0035.3%10.1%48.5%11.5%35.8%-1.3%0.6%222.0K-93.6M-2.3M1.054.34N/AN/A10,77011,307187,441174,121
2011-02-04$48.03$48.0032.4%10.1%48.5%4.7%36.0%-0.6%2.8%968.4K-117.4M-2.2M0.593.63N/AN/A10,8706,438189,137176,155
2011-02-07$47.80$48.0033.9%10.3%48.5%8.2%36.8%0.3%2.6%-192.4K-93.9M-2.2M0.563.23N/AN/A21,15411,742189,422178,954
2011-02-08$49.80$48.0034.8%10.5%50.6%10.1%37.5%-0.3%0.8%5.1M-237.9M-2.2M0.743.59N/AN/A40,67829,921198,625182,303
2011-02-09$50.13$48.0033.1%10.5%50.3%6.3%37.7%0.5%1.4%4.5M-247.4M-2.3M1.924.34N/AN/A13,57126,118194,598190,401
2011-02-10$50.81$48.0035.7%10.2%50.6%12.4%36.2%0.1%1.7%4.1M-286.9M-2.3M1.565.62N/AN/A9,47814,809197,220202,162
2011-02-11$51.01$49.0034.5%9.9%50.5%9.6%35.8%-0.1%2.2%4.3M-297.3M-2.3M0.795.29N/AN/A13,33810,502197,877206,647
2011-02-14$52.67$49.0037.8%10.8%51.0%17.3%38.6%0.0%0.7%10.2M-418.4M-2.3M0.744.83N/AN/A35,37026,329201,688207,760
2011-02-15$51.22$49.0039.0%11.2%51.9%20.0%39.6%-0.9%1.5%3.9M-306.6M-2.3M0.746.30N/AN/A25,43018,917201,399209,077
2011-02-16$51.36$50.0037.8%10.8%50.8%17.3%38.3%-0.5%1.8%4.1M-316.3M-2.3M0.856.58N/AN/A7,3126,185204,861213,164
2011-02-17$51.74$50.0037.1%10.6%49.6%15.5%38.3%-0.3%2.3%3.4M-340.2M-2.3M0.275.73N/AN/A18,8735,005203,714213,772
2011-02-18$51.38$50.0037.1%10.6%49.7%15.6%37.7%-0.2%2.5%2.9M-330.9M-2.3M0.326.01N/AN/A13,0604,238208,232213,130
2011-02-22$48.85$50.0040.1%11.5%52.7%22.6%40.7%-0.1%1.9%-2.6M-75.0M-2.2M1.004.59N/AN/A14,27014,298152,749170,591
2011-02-23$48.14$50.0039.9%11.4%50.7%22.2%40.4%-1.2%2.4%-2.9M-50.1M-2.3M0.994.59N/AN/A16,88716,759155,908177,475
2011-02-24$49.02$49.0041.5%11.9%50.0%25.9%42.0%-1.0%0.5%-1.2M-106.3M-2.5M0.666.52N/AN/A13,0538,661163,948184,578
2011-02-25$50.18$48.0038.7%11.1%49.8%19.4%39.4%0.4%3.1%949.7K-179.0M-2.5M0.635.42N/AN/A22,79714,281168,760185,215
2011-02-28$49.60$49.0039.8%11.4%36.7%21.9%40.2%0.0%2.0%359.7K-147.6M-2.5M0.595.61N/AN/A12,2417,216175,958190,863