SNDK Options History — July 2011

In July 2011, SNDK traded between $40.50 and $45.57. ATM implied volatility averaged 37.9%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 9.7% (HV 20d: 47.7%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 1.01.

Notable Days

  • 2011-07-22: Highest Volume — 89,160 contracts
  • 2011-07-14: Largest IV spike — 32.5% change
  • 2011-07-21: Highest IV Rank — 71.1%
  • 2011-07-21: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.46$40.50$45.57$42.80$42.53
Max Pain$42.15$41.00$44.00$44.00$42.00
ATM IV37.9%30.8%49.1%30.9%42.5%
Expected Move11.6%8.9%14.1%8.9%12.2%
HV 20d47.7%45.6%57.9%46.0%48.1%
HV 60d36.8%34.3%41.6%34.6%41.4%
IV Rank30.3%6.7%71.1%7.0%48.0%
IV Percentile39.2%2.8%86.9%3.2%68.7%
Term Structure0.1%-4.5%8.4%8.4%-0.2%
VWIV40.9%32.1%49.5%32.1%42.9%
Skew 25d2.8%0.4%4.4%1.8%3.5%
Skew 10d5.7%0.4%9.0%3.7%7.4%
Call IV 25d39.7%31.1%48.7%31.1%41.4%
Put IV 25d42.5%33.0%50.6%33.0%44.9%
Bid-Ask Spread %4.893.246.505.494.77
Gamma HHI0.100.070.140.080.09
Net GEX-141.2K-8.7M7.4M-195.1K5.0M
Net DEX17.2M-230.2M182.4M29.9M-67.6M
Net VEX-2.2M-2.6M-2.0M-2.2M-2.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.010.232.540.700.95
Total Volume28,412.5510,09889,16018,03725,101
Total OI365,524.8268,318415,482382,175384,814

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-07-01$42.80$44.0030.9%8.9%46.0%7.0%32.1%1.8%8.4%-195.1K29.9M-2.2M0.705.49N/AN/A10,6397,398193,813188,362
2011-07-05$43.45$41.0032.9%11.4%45.6%12.8%42.2%4.4%-0.6%1.5M-14.8M-2.3M2.544.62N/AN/A9,58024,329197,301189,144
2011-07-06$43.01$41.0031.1%11.3%45.7%7.6%39.8%4.0%-0.4%-1.6M36.8M-2.3M1.064.09N/AN/A5,4365,757198,185202,613
2011-07-07$43.62$42.0030.8%11.0%45.8%6.7%39.7%3.2%0.2%184.8K-12.0M-2.3M1.065.35N/AN/A10,87811,555199,883199,050
2011-07-08$43.04$42.0032.1%11.4%46.1%10.5%40.2%3.2%-0.2%-1.5M37.6M-2.2M1.575.10N/AN/A3,9296,169199,434201,748
2011-07-11$41.77$42.0034.5%11.8%47.4%17.5%41.4%3.3%-0.7%-5.5M131.5M-2.1M1.574.45N/AN/A9,24514,506200,231203,443
2011-07-12$41.18$42.0036.7%11.9%47.6%23.9%41.8%3.1%-0.6%-7.3M176.3M-2.0M1.153.89N/AN/A10,74012,373201,424206,128
2011-07-13$41.88$42.0032.1%11.5%47.6%10.4%39.9%3.5%-0.0%-6.5M121.0M-2.1M1.394.56N/AN/A10,74514,909201,844207,968
2011-07-14$41.16$43.0042.6%12.2%47.2%41.1%42.4%2.9%-0.5%-8.7M182.4M-2.0M1.243.24N/AN/A9,28311,505202,520209,716
2011-07-15$41.62$43.0042.4%12.1%47.4%40.6%42.9%2.3%-0.7%-4.4M143.3M-2.1M0.883.97N/AN/A7,8366,907205,161210,321
2011-07-18$40.50$43.0044.0%12.6%47.1%48.3%44.3%2.6%-2.2%-1.6M70.9M-2.0M0.524.78N/AN/A10,5635,448125,889142,429
2011-07-19$41.98$42.0043.4%12.4%48.3%46.5%43.8%2.1%-2.7%-401.2K9.9M-2.1M0.763.96N/AN/A22,34316,957131,110143,934
2011-07-20$41.47$42.0047.2%13.5%47.5%64.5%47.6%0.4%-2.6%-512.8K25.5M-2.1M0.234.72N/AN/A26,5516,094139,456150,101
2011-07-21$41.57$42.0049.1%14.1%47.5%71.1%49.5%1.9%-4.5%1.7M-6.0M-2.2M0.885.35N/AN/A29,32225,703159,676148,814
2011-07-22$45.57$42.0034.3%9.8%57.9%19.7%35.2%2.1%2.7%7.4M-230.2M-2.4M0.446.08N/AN/A62,09827,062170,642155,127
2011-07-25$43.88$42.0035.6%10.2%47.3%24.5%36.3%2.7%2.2%6.7M-128.2M-2.4M1.315.65N/AN/A10,74314,054187,995161,260
2011-07-26$43.85$42.0035.4%10.1%46.0%23.5%35.7%2.8%2.5%6.3M-121.1M-2.5M0.455.43N/AN/A10,5624,802188,683165,690
2011-07-27$42.00$42.0040.1%11.5%48.9%39.9%40.0%2.8%1.2%3.1M-13.8M-2.4M1.046.50N/AN/A15,42316,060192,824167,747
2011-07-28$42.26$42.0040.9%11.7%48.8%42.5%41.4%3.8%0.6%3.5M-27.6M-2.5M0.385.91N/AN/A25,9179,729199,500176,516
2011-07-29$42.53$42.0042.5%12.2%48.1%48.0%42.9%3.5%-0.2%5.0M-67.6M-2.6M0.954.77N/AN/A12,85912,242207,882176,932