SNDK Options History — March 2011

In March 2011, SNDK traded between $42.09 and $48.22. ATM implied volatility averaged 40.1%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 8.0% (HV 20d: 32.1%). Max pain ranged from $45.00 to $49.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.91.

Notable Days

2011-03-15: Highest Volume — 68,453 contracts
2011-03-10: Largest IV spike — 19.4% change
2011-03-16: Highest IV Rank — 47.1%
2011-03-16: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$45.29	$42.09	$48.22	$47.77	$46.09
Max Pain	$46.26	$45.00	$49.00	$49.00	$45.00
ATM IV	40.1%	35.0%	50.5%	41.6%	35.0%
Expected Move	11.7%	10.0%	14.5%	11.9%	10.0%
HV 20d	32.1%	27.5%	37.6%	37.6%	27.9%
HV 60d	38.3%	37.8%	39.2%	38.6%	38.1%
IV Rank	22.7%	10.7%	47.1%	26.3%	10.7%
IV Percentile	28.1%	4.4%	71.0%	40.9%	4.4%
Term Structure	3.5%	-0.3%	6.8%	1.7%	6.8%
VWIV	41.2%	35.5%	49.9%	42.2%	35.5%
Skew 25d	2.6%	-1.2%	6.4%	-0.4%	1.1%
Skew 10d	4.6%	-1.2%	11.7%	0.5%	-0.1%
Call IV 25d	40.5%	35.2%	48.3%	43.3%	35.2%
Put IV 25d	43.1%	36.3%	54.8%	42.9%	36.3%
Bid-Ask Spread %	4.64	3.37	6.55	4.99	4.00
Gamma HHI	0.09	0.07	0.13	0.09	0.07
Net GEX	-3.2M	-8.0M	379.6K	-3.2M	379.6K
Net DEX	50.1M	-89.4M	284.2M	-37.1M	-89.4M
Net VEX	-2.4M	-2.5M	-2.1M	-2.5M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.42	2.71	0.67	0.73
Total Volume	27,863.435	13,478	68,453	18,101	17,191
Total OI	392,958.565	340,873	463,858	370,285	392,904

Daily Data (23 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
2011-03-01	$47.77	$49.00	41.6%	11.9%	37.6%	26.3%	42.2%	-0.4%	1.7%	-3.2M	-37.1M	-2.5M	0.67	4.99	N/A	N/A	10,840	7,261	177,848	192,437
2011-03-02	$47.63	$48.00	39.8%	11.4%	36.7%	21.9%	40.7%	0.1%	3.2%	-2.8M	-35.9M	-2.5M	0.42	5.59	N/A	N/A	13,673	5,752	181,061	194,470
2011-03-03	$48.22	$48.00	35.4%	10.2%	35.2%	11.7%	36.2%	-1.2%	4.6%	-2.0M	-76.2M	-2.5M	0.83	6.41	N/A	N/A	10,597	8,744	185,613	195,809
2011-03-04	$47.69	$47.00	36.7%	11.7%	35.3%	14.8%	41.5%	1.1%	2.5%	-3.1M	-38.5M	-2.5M	0.43	6.55	N/A	N/A	11,835	5,038	189,326	199,345
2011-03-07	$46.88	$47.00	40.6%	12.3%	35.7%	23.9%	43.4%	2.3%	1.8%	-4.4M	14.7M	-2.4M	0.49	5.07	N/A	N/A	26,457	12,931	191,150	200,981
2011-03-08	$46.91	$47.00	37.7%	11.8%	35.6%	17.0%	41.8%	2.9%	3.0%	-5.2M	12.4M	-2.5M	0.77	5.81	N/A	N/A	7,632	5,846	198,458	206,694
2011-03-09	$46.14	$47.00	36.6%	11.9%	32.4%	14.4%	42.3%	2.8%	2.4%	-6.5M	66.1M	-2.4M	1.21	5.18	N/A	N/A	12,319	14,952	199,926	204,389
2011-03-10	$44.93	$47.00	43.6%	12.5%	33.1%	31.0%	44.0%	3.4%	2.6%	-7.5M	141.7M	-2.4M	0.53	4.36	N/A	N/A	13,692	7,188	202,899	208,635
2011-03-11	$45.07	$47.00	43.3%	12.4%	32.5%	30.0%	43.3%	3.5%	2.4%	-7.4M	130.9M	-2.4M	1.10	4.35	N/A	N/A	10,442	11,513	206,039	209,381
2011-03-14	$44.82	$47.00	45.6%	13.1%	32.3%	35.6%	46.2%	3.4%	1.4%	-7.8M	145.1M	-2.3M	1.39	4.28	N/A	N/A	19,827	27,626	206,811	211,379
2011-03-15	$43.72	$47.00	46.6%	13.4%	29.5%	38.0%	47.2%	4.8%	0.9%	-8.0M	233.2M	-2.3M	0.58	4.14	N/A	N/A	43,286	25,167	208,168	218,841
2011-03-16	$42.09	$46.00	50.5%	14.5%	30.5%	47.1%	49.9%	6.4%	-0.3%	-4.3M	284.2M	-2.1M	0.67	4.45	N/A	N/A	27,968	18,690	221,206	215,399
2011-03-17	$43.04	$46.00	44.9%	12.9%	32.3%	33.9%	44.7%	5.7%	2.9%	-1.1M	241.2M	-2.2M	0.60	5.06	N/A	N/A	24,125	14,423	231,305	219,480
2011-03-18	$43.31	$46.00	43.7%	12.5%	32.3%	31.2%	43.6%	5.0%	2.3%	-742.5K	208.1M	-2.3M	0.92	4.50	N/A	N/A	21,064	19,472	242,489	221,369
2011-03-21	$44.14	$45.00	39.0%	11.2%	33.8%	20.1%	39.5%	3.9%	5.0%	-1.3M	19.2M	-2.3M	1.09	4.42	N/A	N/A	15,929	17,403	169,944	170,929
2011-03-22	$43.49	$45.00	39.9%	11.4%	29.9%	22.1%	39.9%	3.7%	4.3%	-2.5M	61.0M	-2.3M	1.24	3.70	N/A	N/A	8,532	10,559	171,017	178,262
2011-03-23	$43.46	$45.00	39.0%	11.2%	29.8%	20.2%	38.9%	3.3%	4.8%	-2.2M	59.3M	-2.3M	1.47	3.77	N/A	N/A	6,647	9,765	174,041	179,824
2011-03-24	$44.69	$45.00	37.0%	10.6%	31.0%	15.3%	37.8%	2.0%	5.0%	-1.5M	-2.7M	-2.4M	0.48	4.13	N/A	N/A	19,386	9,214	175,665	183,895
2011-03-25	$45.01	$45.00	36.2%	10.4%	29.5%	13.6%	36.7%	1.9%	5.5%	-976.2K	-23.2M	-2.4M	0.52	3.37	N/A	N/A	10,953	5,691	179,434	186,339
2011-03-28	$45.29	$45.00	37.1%	10.6%	29.7%	15.7%	37.4%	1.9%	5.2%	-526.1K	-40.4M	-2.4M	1.34	4.26	N/A	N/A	9,654	12,892	182,922	187,886
2011-03-29	$45.86	$45.00	36.5%	10.5%	27.5%	14.3%	38.2%	0.9%	5.9%	327.0K	-79.3M	-2.4M	2.71	4.35	N/A	N/A	6,670	18,068	185,177	189,012
2011-03-30	$45.41	$45.00	36.0%	10.3%	27.7%	13.0%	36.9%	0.4%	6.4%	-1.1M	-43.0M	-2.5M	0.80	3.88	N/A	N/A	13,308	10,637	187,918	201,970
2011-03-31	$46.09	$45.00	35.0%	10.0%	27.9%	10.7%	35.5%	1.1%	6.8%	379.6K	-89.4M	-2.5M	0.73	4.00	N/A	N/A	9,963	7,228	190,299	202,605