SNDK Options History — October 2011

In October 2011, SNDK traded between $38.92 and $53.38. ATM implied volatility averaged 53.9%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 15.0%. IV traded above realized volatility by 8.2% (HV 20d: 45.7%). Max pain ranged from $41.00 to $48.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2011-10-20: Highest Volume — 89,504 contracts
  • 2011-10-13: Largest IV drop — 20.5% change
  • 2011-10-03: Highest IV Rank — 100.0%
  • 2011-10-03: Largest Expected Move — 18.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$46.48$38.92$53.38$38.92$50.67
Max Pain$43.76$41.00$48.00$42.00$48.00
ATM IV53.9%40.5%77.3%77.3%52.3%
Expected Move15.0%11.6%18.8%18.8%13.0%
HV 20d45.7%41.0%53.7%41.1%52.2%
HV 60d55.7%53.3%57.2%55.3%54.9%
IV Rank51.9%24.4%100.0%100.0%48.8%
IV Percentile83.2%55.6%100.0%100.0%83.7%
Term Structure-2.5%-7.1%1.2%-2.0%-0.3%
VWIV52.9%42.6%65.0%63.2%45.5%
Skew 25d9.7%4.9%13.3%11.4%6.5%
Skew 10d20.1%9.1%28.2%23.3%12.7%
Call IV 25d47.6%37.3%60.5%60.5%43.0%
Put IV 25d57.3%45.2%71.9%71.9%49.4%
Bid-Ask Spread %4.522.6410.324.566.52
Gamma HHI0.140.080.650.090.10
Net GEX6.1M-2.5M29.5M-2.5M4.9M
Net DEX-303.7M-697.6M116.0M116.0M-334.1M
Net VEX-2.3M-2.5M-2.0M-2.0M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.261.490.260.70
Total Volume34,399.8110,70489,50447,48821,694
Total OI408,325.048280,539497,518410,869304,746

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$38.92$42.0077.3%18.8%41.1%100.0%63.2%11.4%-2.0%-2.5M116.0M-2.0M0.264.56N/AN/A37,7289,760199,926210,943
2011-10-04$40.65$41.0066.8%18.1%43.1%78.5%63.7%8.2%-3.3%278.2K-11.4M-2.3M0.386.77N/AN/A31,24711,827216,994213,031
2011-10-05$42.79$41.0067.5%18.4%42.4%79.8%65.0%9.4%-5.9%3.2M-158.8M-2.5M0.944.00N/AN/A19,62218,414222,373215,173
2011-10-06$43.65$41.0056.1%18.1%42.2%56.6%63.4%10.2%-7.1%4.2M-215.3M-2.5M0.573.60N/AN/A13,3587,575225,383219,206
2011-10-07$43.14$41.0055.8%16.7%42.7%55.8%59.2%13.3%-3.9%4.4M-176.3M-2.4M1.492.98N/AN/A8,54312,693228,391223,578
2011-10-10$44.92$41.0056.3%15.4%43.4%56.9%54.0%11.9%-2.9%4.4M-273.9M-2.3M0.913.71N/AN/A14,35813,073217,481219,208
2011-10-11$44.46$41.0057.5%15.7%43.3%59.4%56.6%11.7%-3.2%4.1M-243.7M-2.4M0.833.66N/AN/A6,0525,038221,418223,197
2011-10-12$44.45$41.0065.3%15.2%41.0%75.4%53.3%11.8%-3.2%4.5M-245.6M-2.3M0.553.79N/AN/A19,44810,626222,074223,467
2011-10-13$45.93$43.0051.9%14.9%42.4%48.0%52.2%11.1%-2.8%6.4M-356.4M-2.4M0.612.75N/AN/A16,2489,892224,505226,025
2011-10-14$46.79$43.0049.5%14.2%42.5%43.1%51.9%10.5%-2.3%8.0M-427.5M-2.3M0.553.48N/AN/A11,3386,233229,295227,238
2011-10-17$45.97$43.0056.5%16.2%42.8%57.3%55.1%11.8%-5.9%6.6M-355.4M-2.3M1.493.37N/AN/A18,10726,999228,279226,663
2011-10-18$46.91$44.0052.1%14.9%42.1%48.4%53.3%10.8%-4.3%8.2M-432.2M-2.3M0.503.22N/AN/A11,0175,555235,504235,733
2011-10-19$45.18$44.0054.5%15.6%44.7%53.2%55.5%9.0%-4.1%5.5M-304.6M-2.2M1.264.40N/AN/A12,04715,231236,333234,467
2011-10-20$45.50$44.0053.9%15.5%43.0%52.0%53.5%9.6%-4.0%6.1M-325.3M-2.2M0.8310.32N/AN/A48,94140,563239,472242,331
2011-10-21$49.76$44.0043.8%12.5%52.4%31.2%44.4%5.3%0.2%29.5M-697.6M-2.1M0.452.64N/AN/A56,89525,817244,365253,153
2011-10-24$50.94$45.0041.8%12.0%52.6%27.1%43.8%7.9%0.8%6.9M-380.0M-2.1M1.083.63N/AN/A22,07223,774151,015129,524
2011-10-25$49.84$48.0042.6%12.2%53.7%28.9%43.6%8.3%0.9%5.5M-320.6M-2.2M0.973.35N/AN/A6,0565,891154,043137,693
2011-10-26$50.31$48.0044.8%12.8%51.4%33.3%48.7%11.3%0.0%5.9M-339.4M-2.2M1.268.27N/AN/A4,7345,970155,737137,798
2011-10-27$52.01$48.0040.5%11.6%50.1%24.4%43.4%9.3%1.2%6.1M-414.7M-2.1M1.034.79N/AN/A19,21619,831157,328147,514
2011-10-28$53.38$48.0044.4%12.2%49.8%32.5%42.6%4.9%0.2%5.8M-482.0M-2.1M0.335.05N/AN/A36,67212,241162,776151,446
2011-10-31$50.67$48.0052.3%13.0%52.2%48.8%45.5%6.5%-0.3%4.9M-334.1M-2.2M0.706.52N/AN/A12,7368,958159,790144,956