SNDK Options History — August 2011 In August 2011, SNDK traded between $32.37 and $42.54. ATM implied volatility averaged 54.2%, placing in the 59.7% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 9.6% (HV 20d: 63.9%). Max pain ranged from $39.00 to $43.00. Net GEX was positive for 2 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.02.
Notable Days 2011-08-10 : Highest Volume — 93,147 contracts2011-08-08 : Largest IV spike — 36.2% change2011-08-08 : Highest IV Rank — 100.0%2011-08-08 : Largest Expected Move — 18.6%Monthly Statistics Metric Avg Min Max Open Close Price $36.97 $32.37 $42.54 $42.10 $36.65 Max Pain $40.78 $39.00 $43.00 $42.00 $39.00 ATM IV 54.2% 41.7% 76.2% 43.3% 48.2% Expected Move 15.3% 12.0% 18.6% 12.4% 13.8% HV 20d 63.9% 46.9% 73.0% 46.9% 69.9% HV 60d 50.3% 41.4% 55.9% 41.4% 55.7% IV Rank 59.7% 40.6% 100.0% 50.8% 41.2% IV Percentile 89.7% 65.9% 100.0% 69.8% 80.6% Term Structure 1.7% -3.6% 6.3% -0.1% 5.5% VWIV 53.7% 42.3% 64.4% 43.4% 50.4% Skew 25d 8.6% 3.6% 12.3% 4.5% 9.8% Skew 10d 17.1% 7.5% 24.5% 8.7% 19.5% Call IV 25d 50.5% 40.9% 62.0% 41.8% 45.5% Put IV 25d 59.0% 44.5% 71.6% 46.2% 55.3% Bid-Ask Spread % 5.78 3.21 9.01 3.92 4.25 Gamma HHI 0.08 0.06 0.13 0.08 0.06 Net GEX -2.0M -5.5M 4.2M 4.2M -1.0M Net DEX 201.5M -29.5M 400.7M -29.5M 131.4M Net VEX -2.1M -2.7M -1.6M -2.4M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.02 0.30 3.83 3.83 0.57 Total Volume 32,666.13 13,431 93,147 49,641 13,431 Total OI 417,127.696 344,378 473,557 383,499 383,316
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 2011-08-01 $42.10 $42.00 43.3% 12.4% 46.9% 50.8% 43.4% 4.5% -0.1% 4.2M -29.5M -2.4M 3.83 3.92 N/A N/A 10,273 39,368 205,821 177,678 2011-08-02 $40.67 $42.00 43.4% 12.4% 48.0% 51.2% 43.5% 3.7% 0.1% -1.2M 108.5M -2.5M 1.21 4.55 N/A N/A 15,686 18,967 207,376 210,775 2011-08-03 $42.54 $42.00 41.7% 12.0% 50.8% 45.5% 42.3% 3.6% 1.1% 2.2M -25.5M -2.7M 1.48 3.21 N/A N/A 13,279 19,611 211,923 219,845 2011-08-04 $39.63 $42.00 55.4% 15.9% 56.3% 92.8% 54.7% 5.8% -3.6% -2.8M 173.0M -2.6M 0.92 5.76 N/A N/A 16,098 14,737 214,608 231,062 2011-08-05 $39.32 $43.00 55.9% 15.8% 56.2% 94.5% 54.6% 5.9% -0.7% -3.2M 191.5M -2.6M 0.53 6.88 N/A N/A 25,277 13,490 214,233 233,673 2011-08-08 $36.06 $42.00 76.2% 18.6% 62.8% 100.0% 64.4% 9.5% -2.0% -3.9M 320.6M -2.2M 1.29 6.73 N/A N/A 21,885 28,302 219,358 234,328 2011-08-09 $37.93 $42.00 57.1% 16.2% 66.0% 60.0% 59.0% 7.5% -0.3% -5.5M 283.2M -2.4M 0.75 9.01 N/A N/A 23,743 17,913 220,300 247,250 2011-08-10 $36.51 $41.00 68.3% 17.8% 66.5% 83.6% 61.3% 11.8% -2.0% -4.0M 302.9M -2.2M 2.54 6.55 N/A N/A 26,336 66,811 223,315 231,959 2011-08-11 $38.30 $41.00 58.0% 16.6% 69.1% 61.8% 59.0% 11.0% -0.3% -1.3M 164.3M -2.2M 0.76 5.29 N/A N/A 12,961 9,847 230,178 212,140 2011-08-12 $38.09 $41.00 54.2% 15.5% 68.9% 53.9% 54.6% 9.8% 1.8% -2.4M 186.4M -2.1M 1.42 6.23 N/A N/A 8,789 12,493 230,984 209,580 2011-08-15 $38.20 $41.00 48.4% 13.9% 68.4% 41.6% 48.2% 7.8% 2.9% -3.9M 204.3M -2.0M 1.03 6.30 N/A N/A 10,668 11,010 230,067 210,298 2011-08-16 $37.03 $41.00 50.4% 14.4% 67.5% 45.9% 50.7% 7.6% 1.9% -4.1M 268.8M -1.9M 0.57 6.20 N/A N/A 14,731 8,417 232,253 213,647 2011-08-17 $36.26 $41.00 48.8% 14.0% 67.7% 42.6% 49.2% 6.4% 4.0% -3.3M 308.3M -1.8M 0.43 4.68 N/A N/A 28,463 12,266 237,024 212,389 2011-08-18 $33.64 $41.00 59.9% 17.2% 71.8% 65.9% 60.3% 9.0% 2.4% -3.4M 377.5M -1.7M 1.53 8.69 N/A N/A 23,344 35,713 248,061 217,994 2011-08-19 $32.50 $41.00 64.0% 18.3% 61.1% 74.4% 62.7% 10.1% -0.2% -2.2M 400.7M -1.6M 0.71 5.07 N/A N/A 15,432 10,905 250,501 223,056 2011-08-22 $32.37 $40.00 63.0% 18.1% 60.7% 72.3% 61.5% 12.3% -0.4% -2.0M 250.6M -1.6M 0.49 5.02 N/A N/A 16,541 8,057 171,046 173,332 2011-08-23 $34.35 $40.00 53.6% 15.4% 66.1% 52.7% 54.0% 10.2% 3.3% -1.9M 213.5M -1.7M 0.64 6.87 N/A N/A 11,183 7,122 177,025 173,675 2011-08-24 $34.92 $40.00 52.6% 15.1% 65.8% 50.6% 53.6% 8.6% 4.1% -1.6M 189.8M -1.8M 0.30 6.10 N/A N/A 13,388 4,034 181,986 178,310 2011-08-25 $33.89 $39.00 56.5% 16.2% 65.9% 58.6% 55.9% 12.2% 3.7% -1.6M 218.6M -1.8M 0.92 5.59 N/A N/A 10,447 9,576 186,887 179,644 2011-08-26 $34.80 $39.00 51.7% 14.8% 67.0% 48.6% 53.5% 11.8% 5.2% -1.4M 195.7M -1.8M 0.55 5.67 N/A N/A 13,574 7,421 190,818 180,866 2011-08-29 $37.39 $39.00 49.2% 14.1% 73.0% 43.3% 49.8% 9.0% 5.9% -436.4K 93.1M -2.1M 0.44 4.80 N/A N/A 16,741 7,357 194,197 182,875 2011-08-30 $37.09 $39.00 47.9% 13.7% 72.3% 40.6% 48.1% 9.6% 6.3% -618.3K 107.4M -2.0M 0.53 5.56 N/A N/A 16,772 8,862 194,775 183,509 2011-08-31 $36.65 $39.00 48.2% 13.8% 69.9% 41.2% 50.4% 9.8% 5.5% -1.0M 131.4M -2.0M 0.57 4.25 N/A N/A 8,534 4,897 197,046 186,270
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