SNDK Options History — April 2011

In April 2011, SNDK traded between $45.51 and $50.57. ATM implied volatility averaged 35.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 10.0% (HV 20d: 25.5%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.62.

Notable Days

  • 2011-04-21: Highest Volume — 100,515 contracts
  • 2011-04-14: Largest IV spike — 26.8% change
  • 2011-04-14: Highest IV Rank — 25.3%
  • 2011-04-07: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.73$45.51$50.57$45.51$49.33
Max Pain$45.65$44.00$48.00$45.00$48.00
ATM IV35.5%30.2%41.1%34.1%32.2%
Expected Move11.0%8.9%12.2%9.8%9.2%
HV 20d25.5%21.9%29.9%27.9%24.4%
HV 60d36.0%29.3%38.4%37.7%29.3%
IV Rank12.2%0.0%25.3%8.6%4.6%
IV Percentile11.7%0.0%37.7%3.2%0.8%
Term Structure0.1%-2.6%7.2%7.2%2.2%
VWIV38.8%31.5%42.9%35.0%32.5%
Skew 25d1.6%-0.8%5.2%1.1%0.3%
Skew 10d3.0%-0.8%8.3%2.3%1.6%
Call IV 25d38.2%31.5%42.0%34.4%32.8%
Put IV 25d39.8%32.0%44.1%35.6%33.1%
Bid-Ask Spread %3.872.855.554.794.43
Gamma HHI0.100.070.240.070.13
Net GEX4.3M-504.4K12.4M-504.4K9.7M
Net DEX-161.1M-318.3M-48.0M-48.0M-233.1M
Net VEX-2.5M-2.6M-2.3M-2.5M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.620.321.200.761.15
Total Volume25,699.3510,042100,51512,29310,686
Total OI368,381.7259,059423,901399,336355,236

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-01$45.51$45.0034.1%9.8%27.9%8.6%35.0%1.1%7.2%-504.4K-48.0M-2.5M0.764.79N/AN/A6,9885,305192,718206,618
2011-04-04$46.60$44.0034.6%11.7%28.8%9.9%41.5%3.3%-1.3%1.3M-121.9M-2.5M0.683.45N/AN/A11,1537,565194,202207,532
2011-04-05$47.64$44.0037.0%12.0%29.9%15.4%42.5%2.2%-1.8%3.0M-196.0M-2.5M0.483.41N/AN/A23,24411,089196,271210,724
2011-04-06$47.55$45.0033.7%11.8%29.2%7.6%41.2%2.9%-1.2%3.5M-189.3M-2.5M0.503.09N/AN/A19,0229,599199,095212,212
2011-04-07$48.06$45.0034.1%12.2%27.4%8.6%42.9%2.1%-1.9%3.9M-224.8M-2.5M0.393.54N/AN/A23,3059,006198,415213,330
2011-04-08$46.77$45.0030.2%11.9%29.5%0.0%41.5%1.4%-1.2%1.5M-122.2M-2.5M0.623.32N/AN/A14,2588,770201,430215,768
2011-04-11$46.43$45.0034.8%12.2%29.5%10.8%42.5%1.8%-1.7%1.7M-106.5M-2.5M0.493.53N/AN/A10,2725,017205,466215,712
2011-04-12$46.01$45.0035.9%12.0%28.2%13.2%42.1%1.7%-1.5%606.5K-73.9M-2.4M0.863.29N/AN/A7,2476,252207,141216,760
2011-04-13$46.42$45.0032.4%11.8%23.8%5.0%41.3%1.8%-1.2%2.1M-112.1M-2.4M1.202.85N/AN/A6,1117,331205,971213,220
2011-04-14$46.68$45.0041.1%11.8%22.9%25.3%41.4%1.9%-1.4%3.6M-131.1M-2.3M0.503.10N/AN/A11,8375,890206,974215,692
2011-04-15$46.78$45.0039.4%11.3%22.9%21.3%39.7%1.9%-0.3%6.9M-131.9M-2.3M0.643.71N/AN/A12,3717,965205,796216,177
2011-04-18$46.31$46.0039.7%11.4%22.6%22.1%39.8%1.9%-0.4%-75.0K-50.4M-2.3M0.643.82N/AN/A8,3505,340117,834141,225
2011-04-19$46.89$46.0038.4%11.0%21.9%19.1%38.8%2.5%-0.5%417.6K-72.8M-2.3M0.753.66N/AN/A5,7444,298120,343143,730
2011-04-20$48.45$46.0040.1%11.5%24.1%23.1%40.4%5.2%-1.9%1.7M-133.1M-2.3M0.644.29N/AN/A18,31211,666123,309145,475
2011-04-21$48.99$46.0041.0%11.8%22.8%25.3%41.1%-0.8%-2.6%2.7M-172.2M-2.4M0.374.94N/AN/A73,15427,361131,262149,435
2011-04-25$49.78$47.0034.1%9.8%23.1%9.0%34.6%-0.8%1.9%8.8M-247.3M-2.5M0.323.92N/AN/A50,62516,320170,531162,672
2011-04-26$50.36$47.0033.4%9.6%23.2%7.4%33.5%0.5%2.5%11.8M-299.6M-2.6M0.404.96N/AN/A16,9116,683183,280164,039
2011-04-27$50.57$47.0032.4%9.3%23.1%5.1%32.7%0.7%3.0%12.4M-318.3M-2.6M0.553.82N/AN/A9,6375,289184,871164,414
2011-04-28$49.39$47.0031.2%8.9%24.7%2.3%31.5%0.5%3.2%10.0M-238.5M-2.6M0.525.55N/AN/A9,2054,809186,388166,366
2011-04-29$49.33$48.0032.2%9.2%24.4%4.6%32.5%0.3%2.2%9.7M-233.1M-2.6M1.154.43N/AN/A4,9805,706187,413167,823