SNDK Options History — June 2011

In June 2011, SNDK traded between $38.94 and $45.38. ATM implied volatility averaged 34.9%, placing in the 17.9% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 0.4% (HV 20d: 34.5%). Max pain ranged from $45.00 to $47.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2011-06-24: Highest Volume — 52,025 contracts
  • 2011-06-24: Largest IV spike — 24.7% change
  • 2011-06-24: Highest IV Rank — 32.9%
  • 2011-06-24: Largest Expected Move — 11.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.36$38.94$45.38$45.11$41.50
Max Pain$45.45$45.00$47.00$47.00$45.00
ATM IV34.9%31.3%39.8%31.3%32.7%
Expected Move10.1%9.0%11.4%9.0%9.4%
HV 20d34.5%28.4%48.6%30.4%45.0%
HV 60d28.8%26.1%34.2%27.9%33.9%
IV Rank17.9%6.2%32.9%6.2%12.2%
IV Percentile19.6%4.0%48.8%4.4%9.9%
Term Structure5.1%1.9%8.0%2.8%8.0%
VWIV35.5%31.2%39.7%31.2%33.1%
Skew 25d3.2%1.8%5.1%1.8%2.7%
Skew 10d6.1%2.7%10.3%2.7%4.9%
Call IV 25d34.5%31.0%39.1%31.2%32.0%
Put IV 25d37.7%33.1%42.3%33.1%34.7%
Bid-Ask Spread %4.723.687.165.335.24
Gamma HHI0.100.070.150.070.09
Net GEX-3.8M-7.2M-33.2K-355.7K-2.8M
Net DEX157.4M17.9M295.9M28.4M111.8M
Net VEX-2.1M-2.4M-1.8M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.402.030.910.40
Total Volume21,627.1369,87752,02537,62512,970
Total OI367,253.409316,260399,852348,122378,395

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-06-01$45.11$47.0031.3%9.0%30.4%6.2%31.2%1.8%2.8%-355.7K28.4M-2.4M0.915.33N/AN/A19,68717,938172,051176,071
2011-06-02$45.38$46.0031.8%9.1%30.6%7.2%32.0%2.2%1.9%-33.2K17.9M-2.4M0.554.73N/AN/A11,5556,319181,675184,710
2011-06-03$44.26$46.0031.6%9.6%31.6%6.8%33.4%2.4%5.1%-2.3M93.2M-2.4M0.414.26N/AN/A12,2094,994184,048187,947
2011-06-06$43.24$46.0035.8%10.4%32.4%16.3%35.9%3.4%4.2%-3.4M159.6M-2.2M1.273.71N/AN/A15,63219,787184,729186,384
2011-06-07$43.05$46.0033.5%10.1%32.3%12.7%35.2%3.3%4.5%-4.5M181.7M-2.2M0.773.81N/AN/A6,5085,000186,043193,607
2011-06-08$42.64$46.0033.7%10.1%31.6%14.6%35.0%3.1%4.6%-4.5M198.7M-2.1M0.974.23N/AN/A8,3388,094186,662190,502
2011-06-09$42.53$46.0035.0%10.0%31.6%18.9%36.0%2.2%4.5%-4.8M205.5M-2.1M0.873.96N/AN/A9,3838,188188,029191,307
2011-06-10$42.53$46.0033.1%9.5%31.7%13.4%33.7%2.1%5.7%-5.2M211.3M-2.1M1.254.62N/AN/A10,67813,314191,351193,846
2011-06-13$42.45$46.0034.9%10.0%31.3%18.6%35.1%2.6%5.1%-4.8M214.2M-2.1M1.323.68N/AN/A6,3128,325194,543193,800
2011-06-14$43.20$45.0033.0%9.5%29.6%13.1%33.6%2.5%5.6%-4.0M169.8M-2.1M0.664.42N/AN/A8,3705,560194,674195,273
2011-06-15$42.18$45.0035.7%10.2%28.5%20.9%36.6%2.3%4.8%-5.0M234.1M-2.0M1.163.95N/AN/A8,4039,760197,203195,373
2011-06-16$42.24$45.0038.6%11.1%28.4%29.3%38.7%3.2%4.1%-6.0M231.1M-2.1M0.784.67N/AN/A11,7529,180198,525197,231
2011-06-17$40.94$45.0038.8%11.1%29.9%30.0%39.0%3.5%4.7%-7.2M295.9M-2.0M1.185.23N/AN/A13,85816,392201,950197,902
2011-06-20$41.79$45.0036.7%10.5%31.3%24.0%37.5%5.1%4.6%-3.9M131.4M-2.0M0.554.09N/AN/A12,5276,837151,910164,350
2011-06-21$42.86$45.0033.5%9.6%32.7%14.4%33.8%4.1%5.4%-3.2M81.4M-2.1M0.415.24N/AN/A14,2215,833157,860168,704
2011-06-22$42.54$45.0031.3%9.0%32.6%8.0%31.9%4.0%7.4%-2.9M93.3M-2.1M0.774.71N/AN/A5,5814,296164,436169,237
2011-06-23$42.88$45.0031.9%9.2%32.6%9.9%34.2%4.5%6.7%-2.3M81.3M-2.1M2.034.75N/AN/A6,05612,269166,414170,859
2011-06-24$38.94$45.0039.8%11.4%46.3%32.9%39.7%3.1%5.2%-4.9M234.8M-1.8M0.977.16N/AN/A26,39825,627166,253169,749
2011-06-27$40.36$45.0039.7%11.4%48.6%32.7%39.4%4.3%6.1%-4.4M176.5M-2.1M0.965.56N/AN/A17,85817,189179,670182,303
2011-06-28$40.77$45.0038.4%11.0%46.9%28.8%38.9%3.8%5.6%-3.7M150.3M-2.2M0.614.71N/AN/A13,1247,988185,694184,729
2011-06-29$40.49$45.0036.4%10.4%43.9%23.1%36.8%3.9%6.4%-3.6M161.5M-2.1M0.885.72N/AN/A6,1125,375188,047185,529
2011-06-30$41.50$45.0032.7%9.4%45.0%12.2%33.1%2.7%8.0%-2.8M111.8M-2.2M0.405.24N/AN/A9,2623,708190,734187,661