SNDK Options History — September 2011

In September 2011, SNDK traded between $34.94 and $43.67. ATM implied volatility averaged 56.0%, placing in the 57.7% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 4.3% (HV 20d: 51.7%). Max pain ranged from $38.00 to $42.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.03.

Notable Days

2011-09-09: Highest Volume — 48,057 contracts
2011-09-09: Largest IV spike — 22.4% change
2011-09-22: Highest IV Rank — 72.5%
2011-09-22: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$40.60	$34.94	$43.67	$36.27	$40.35
Max Pain	$41.14	$38.00	$42.00	$39.00	$42.00
ATM IV	56.0%	48.5%	63.1%	50.0%	61.3%
Expected Move	16.3%	14.3%	18.1%	14.3%	17.7%
HV 20d	51.7%	37.6%	66.8%	65.8%	41.3%
HV 60d	56.3%	54.4%	58.3%	55.7%	54.9%
IV Rank	57.7%	41.8%	72.5%	45.1%	68.8%
IV Percentile	93.2%	81.3%	98.8%	86.9%	97.6%
Term Structure	-1.6%	-6.3%	5.2%	5.2%	-1.1%
VWIV	58.0%	48.7%	67.3%	48.7%	61.1%
Skew 25d	10.4%	7.7%	13.0%	11.4%	7.7%
Skew 10d	20.0%	16.2%	25.4%	21.5%	16.2%
Call IV 25d	52.4%	45.0%	57.7%	45.0%	57.5%
Put IV 25d	62.8%	56.2%	70.5%	56.5%	65.2%
Bid-Ask Spread %	4.43	3.52	5.64	4.15	4.98
Gamma HHI	0.08	0.06	0.10	0.06	0.09
Net GEX	936.6K	-2.4M	5.5M	-1.3M	-1.4M
Net DEX	-40.8M	-256.4M	211.1M	148.8M	43.6M
Net VEX	-2.2M	-2.3M	-1.8M	-2.0M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.03	0.35	3.36	1.26	0.52
Total Volume	24,704.048	10,978	48,057	20,580	39,060
Total OI	397,182.048	342,704	442,416	388,595	403,547

Daily Data (21 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
2011-09-01	$36.27	$39.00	50.0%	14.3%	65.8%	45.1%	48.7%	11.4%	5.2%	-1.3M	148.8M	-2.0M	1.26	4.15	N/A	N/A	9,104	11,476	199,896	188,699
2011-09-02	$34.94	$38.00	53.0%	15.2%	66.8%	51.4%	51.9%	11.2%	4.3%	-2.4M	211.1M	-1.8M	0.61	4.03	N/A	N/A	7,739	4,729	202,369	194,872
2011-09-06	$35.57	$41.00	57.0%	17.0%	60.0%	59.7%	60.2%	10.9%	-4.0%	-2.0M	178.6M	-1.9M	0.51	5.64	N/A	N/A	7,533	3,868	204,210	194,700
2011-09-07	$37.63	$41.00	48.5%	15.7%	60.7%	41.8%	55.4%	9.9%	-2.5%	-1.1M	87.8M	-2.0M	0.35	4.89	N/A	N/A	13,680	4,784	204,591	194,812
2011-09-08	$38.52	$41.00	49.5%	16.1%	59.5%	44.1%	56.3%	10.3%	-2.7%	216.7K	29.3M	-2.1M	0.50	4.88	N/A	N/A	18,857	9,439	206,385	195,601
2011-09-09	$38.73	$41.00	60.6%	18.1%	57.1%	67.4%	67.3%	13.0%	-6.1%	688.2K	7.4M	-2.2M	1.63	3.86	N/A	N/A	18,242	29,815	211,309	197,961
2011-09-12	$40.02	$41.00	60.2%	18.1%	58.2%	66.4%	64.2%	11.7%	-6.3%	1.3M	-55.6M	-2.3M	0.49	3.73	N/A	N/A	12,105	5,903	213,066	216,696
2011-09-13	$40.95	$41.00	62.8%	17.3%	58.6%	72.0%	60.7%	11.4%	-4.8%	2.1M	-111.1M	-2.3M	0.51	3.52	N/A	N/A	23,283	11,857	212,497	216,708
2011-09-14	$42.66	$41.00	53.6%	16.2%	58.6%	52.6%	59.2%	11.2%	-3.0%	4.5M	-227.8M	-2.3M	0.75	4.07	N/A	N/A	25,248	19,025	216,209	217,990
2011-09-15	$43.08	$41.00	53.6%	15.4%	57.6%	52.6%	55.7%	9.8%	-1.6%	5.5M	-256.4M	-2.3M	1.50	4.45	N/A	N/A	9,220	13,822	218,650	221,656
2011-09-16	$42.78	$41.00	50.3%	14.4%	48.9%	45.7%	53.6%	9.5%	-0.3%	2.8M	-213.7M	-2.2M	1.23	3.75	N/A	N/A	10,447	12,880	216,767	225,649
2011-09-19	$43.67	$41.00	52.6%	15.1%	45.8%	50.5%	57.1%	10.0%	0.0%	2.8M	-151.8M	-2.2M	2.28	3.79	N/A	N/A	10,742	24,479	173,462	169,242
2011-09-20	$42.65	$42.00	53.5%	15.3%	47.4%	52.4%	54.3%	9.4%	-1.2%	1.2M	-89.0M	-2.3M	1.60	3.86	N/A	N/A	6,604	10,554	176,524	184,411
2011-09-21	$42.67	$42.00	55.6%	15.9%	44.4%	56.8%	55.2%	9.2%	-1.2%	1.0M	-90.8M	-2.3M	0.62	4.94	N/A	N/A	9,095	5,676	178,328	188,693
2011-09-22	$41.42	$42.00	63.1%	18.1%	46.6%	72.5%	63.0%	9.9%	-2.6%	405.1K	-37.6M	-2.3M	1.17	4.87	N/A	N/A	10,798	12,657	181,439	188,871
2011-09-23	$42.20	$42.00	60.4%	17.3%	44.4%	66.9%	60.2%	10.3%	-1.8%	1.0M	-74.3M	-2.3M	0.59	4.48	N/A	N/A	6,890	4,088	182,961	190,394
2011-09-26	$42.87	$42.00	57.3%	16.4%	44.1%	60.4%	57.5%	12.2%	-0.3%	1.7M	-105.5M	-2.3M	0.41	4.42	N/A	N/A	14,763	5,991	183,784	190,513
2011-09-27	$43.23	$41.00	54.9%	15.7%	37.6%	55.4%	54.8%	9.5%	-0.2%	3.0M	-141.1M	-2.3M	0.79	4.50	N/A	N/A	15,196	12,021	193,723	193,414
2011-09-28	$41.78	$42.00	57.7%	16.5%	40.1%	61.2%	60.3%	10.1%	-1.1%	992.7K	-45.8M	-2.2M	3.36	4.70	N/A	N/A	6,467	21,732	193,275	196,772
2011-09-29	$40.62	$42.00	60.7%	17.4%	41.4%	67.5%	60.2%	10.5%	-1.8%	-1.3M	36.5M	-2.2M	0.97	5.42	N/A	N/A	9,603	9,313	193,911	206,266
2011-09-30	$40.35	$42.00	61.3%	17.7%	41.3%	68.8%	61.1%	7.7%	-1.1%	-1.4M	43.6M	-2.1M	0.52	4.98	N/A	N/A	25,765	13,295	195,594	207,953