SNDK Options History — May 2011

In May 2011, SNDK traded between $45.07 and $48.69. ATM implied volatility averaged 31.7%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.7% (HV 20d: 24.0%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.72.

Notable Days

  • 2011-05-02: Highest Volume — 42,931 contracts
  • 2011-05-26: Largest IV drop — 6.0% change
  • 2011-05-17: Highest IV Rank — 12.1%
  • 2011-05-17: Largest Expected Move — 10.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.82$45.07$48.69$48.69$47.52
Max Pain$47.62$47.00$48.00$48.00$47.00
ATM IV31.7%28.6%35.4%30.4%28.6%
Expected Move9.2%8.2%10.2%8.7%8.2%
HV 20d24.0%21.8%28.0%24.5%25.9%
HV 60d27.5%25.2%29.8%29.3%26.0%
IV Rank3.9%0.0%12.1%0.4%0.0%
IV Percentile3.7%0.0%12.3%0.4%0.0%
Term Structure2.3%1.6%3.7%2.5%2.2%
VWIV32.7%29.2%35.8%32.1%29.2%
Skew 25d1.3%0.1%2.4%0.1%0.5%
Skew 10d2.7%0.1%5.2%0.6%0.1%
Call IV 25d32.3%29.1%35.7%31.4%29.1%
Put IV 25d33.6%29.6%37.0%31.5%29.6%
Bid-Ask Spread %4.993.436.755.835.96
Gamma HHI0.090.070.120.120.08
Net GEX1.3M-3.7M8.5M8.5M5.0M
Net DEX-53.5M-187.9M23.0M-187.9M-139.1M
Net VEX-2.4M-2.5M-2.3M-2.5M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.720.261.370.570.82
Total Volume21,992.4767,48242,93142,93119,853
Total OI365,962.524312,472410,939355,107346,310

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-05-02$48.69$48.0030.4%8.7%24.5%0.4%32.1%0.1%2.5%8.5M-187.9M-2.5M0.575.83N/AN/A27,27915,652186,724168,383
2011-05-03$47.43$48.0031.3%9.0%25.4%2.5%31.5%1.4%2.7%2.7M-83.8M-2.5M0.693.43N/AN/A9,9676,900182,586177,403
2011-05-04$47.23$48.0030.4%8.7%24.1%0.4%31.4%0.9%3.7%1.5M-66.7M-2.5M0.674.13N/AN/A16,30110,863183,239180,174
2011-05-05$47.34$48.0031.9%9.1%24.2%3.8%32.2%2.1%3.1%1.8M-70.9M-2.5M0.786.41N/AN/A11,0178,566184,523183,018
2011-05-06$47.15$48.0030.9%9.7%23.8%1.4%33.8%2.4%2.1%1.8M-63.8M-2.5M0.724.12N/AN/A9,4906,814187,384183,304
2011-05-09$47.29$48.0032.1%9.9%21.8%4.4%35.8%2.1%1.6%2.3M-75.4M-2.5M0.924.06N/AN/A7,3256,730189,406186,768
2011-05-10$47.88$48.0030.3%9.4%21.9%0.0%33.3%1.6%1.7%3.9M-112.7M-2.4M0.394.56N/AN/A9,0593,549189,910187,612
2011-05-11$47.46$48.0031.4%9.3%21.9%2.7%33.4%0.9%2.1%3.2M-91.1M-2.4M0.704.25N/AN/A9,2626,507190,802187,692
2011-05-12$47.37$48.0031.7%9.1%21.8%3.5%31.9%1.0%2.5%2.4M-76.3M-2.4M0.665.37N/AN/A6,3594,171191,509189,958
2011-05-13$46.49$48.0031.9%9.2%22.8%4.0%32.3%1.4%2.5%-1.9M-4.1M-2.3M1.194.71N/AN/A8,55010,144191,579192,036
2011-05-16$47.95$48.0033.5%9.6%25.3%7.6%33.8%0.4%2.0%5.2M-127.2M-2.3M0.826.75N/AN/A23,25319,088193,028194,481
2011-05-17$46.34$48.0035.4%10.2%28.0%12.1%35.8%1.3%1.9%-3.7M17.6M-2.3M1.374.79N/AN/A15,19620,847195,409196,118
2011-05-18$46.45$48.0034.3%9.8%27.7%9.6%34.6%1.4%1.6%-3.5M2.3M-2.3M0.465.48N/AN/A24,93911,555195,998198,092
2011-05-19$46.48$47.0033.3%9.5%24.8%7.2%34.0%1.1%1.7%-2.4M-12.8M-2.3M0.545.53N/AN/A12,1096,499200,794203,196
2011-05-20$46.46$47.0032.8%9.4%24.3%6.1%32.9%2.1%1.6%-815.5K-12.3M-2.3M0.604.48N/AN/A19,71411,826204,164206,775
2011-05-23$45.62$47.0033.5%9.6%23.8%7.7%34.1%1.6%1.9%36.4K-8.2M-2.4M0.695.18N/AN/A13,6579,443150,409162,063
2011-05-24$45.07$47.0032.8%9.4%23.2%6.1%33.1%1.5%2.0%-578.0K23.0M-2.4M0.474.75N/AN/A9,9714,688157,314166,387
2011-05-25$45.41$47.0031.2%8.9%23.4%2.3%31.6%1.7%2.4%-263.8K9.9M-2.4M0.944.90N/AN/A7,8537,382160,300168,917
2011-05-26$45.65$47.0029.3%8.4%22.7%0.0%29.9%1.1%3.1%391.9K-9.6M-2.4M0.854.60N/AN/A4,0523,430163,983170,816
2011-05-27$46.04$47.0029.6%8.5%23.1%0.6%30.2%0.8%3.1%1.1M-34.0M-2.4M0.265.41N/AN/A17,4694,513165,053171,596
2011-05-31$47.52$47.0028.6%8.2%25.9%0.0%29.2%0.5%2.2%5.0M-139.1M-2.4M0.825.96N/AN/A10,9158,938172,138174,172