SNDK Options History — November 2011

In November 2011, SNDK traded between $45.56 and $51.82. ATM implied volatility averaged 49.1%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 0.4% (HV 20d: 48.7%). Max pain ranged from $48.00 to $50.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.91.

Notable Days

  • 2011-11-04: Highest Volume — 50,393 contracts
  • 2011-11-02: Largest IV spike — 103.9% change
  • 2011-11-02: Highest IV Rank — 100.0%
  • 2011-11-09: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.28$45.56$51.82$49.02$49.31
Max Pain$48.71$48.00$50.00$48.00$48.00
ATM IV49.1%42.5%110.3%54.1%46.7%
Expected Move12.9%11.9%14.1%13.8%12.9%
HV 20d48.7%41.7%53.9%53.4%47.8%
HV 60d48.1%44.7%52.2%52.2%47.8%
IV Rank26.1%17.1%100.0%52.4%22.2%
IV Percentile71.1%60.7%100.0%86.9%69.4%
Term Structure0.7%-1.4%1.9%-1.4%0.3%
VWIV45.5%42.5%50.3%48.6%44.7%
Skew 25d5.3%1.6%8.4%7.9%5.3%
Skew 10d10.3%3.0%17.0%15.7%9.0%
Call IV 25d42.8%39.4%45.5%45.5%42.3%
Put IV 25d48.0%43.9%53.5%53.5%47.7%
Bid-Ask Spread %4.793.846.406.405.29
Gamma HHI0.110.090.130.090.13
Net GEX4.2M738.6K6.8M3.2M6.1M
Net DEX-271.5M-405.6M-98.8M-239.1M-287.1M
Net VEX-2.2M-2.3M-2.0M-2.3M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.352.430.880.67
Total Volume20,732.4768,32050,39326,86922,303
Total OI335,498.476289,614369,576318,888319,608

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$49.02$48.0054.1%13.8%53.4%52.4%48.6%7.9%-1.4%3.2M-239.1M-2.3M0.886.40N/AN/A14,32112,548167,227151,661
2011-11-02$49.16$48.00110.3%12.9%51.0%100.0%45.4%7.2%0.2%3.5M-247.2M-2.3M0.464.86N/AN/A8,1163,739170,969156,436
2011-11-03$50.41$48.0044.5%12.3%51.2%19.6%43.7%6.8%0.1%5.7M-317.4M-2.2M0.954.53N/AN/A8,5958,129173,398157,419
2011-11-04$51.31$49.0044.6%12.3%50.9%19.7%44.9%6.0%1.1%4.7M-360.9M-2.2M1.195.70N/AN/A22,99927,394172,788160,366
2011-11-07$51.82$49.0047.1%12.8%49.5%22.7%45.4%5.9%0.4%6.5M-405.6M-2.3M0.674.80N/AN/A9,0986,073176,536159,650
2011-11-08$51.52$49.0042.5%11.9%49.3%17.1%42.6%6.1%0.9%6.5M-393.2M-2.2M0.904.99N/AN/A4,5724,110177,495161,394
2011-11-09$49.07$49.0048.6%14.1%53.1%24.5%50.3%8.4%-1.1%3.8M-250.3M-2.2M2.434.93N/AN/A10,72526,025176,596161,491
2011-11-10$49.42$49.0046.6%13.4%52.1%22.1%50.1%7.4%0.2%2.4M-257.9M-2.2M1.205.37N/AN/A11,59813,860177,171173,852
2011-11-11$51.66$49.0044.1%12.7%53.9%19.0%43.9%6.5%0.5%5.5M-399.6M-2.3M0.475.20N/AN/A17,8268,343181,313179,133
2011-11-14$51.08$49.0046.2%13.2%53.6%21.6%47.4%5.4%0.5%6.1M-381.1M-2.2M0.814.44N/AN/A5,5044,446185,833178,246
2011-11-15$51.30$49.0043.7%12.5%53.3%18.5%44.7%5.2%1.2%6.8M-397.6M-2.2M0.924.14N/AN/A4,3283,992185,210179,845
2011-11-16$51.07$49.0045.5%13.1%51.1%20.8%44.4%6.0%0.4%6.7M-384.7M-2.2M0.714.22N/AN/A12,7389,072185,760178,947
2011-11-17$49.52$50.0046.9%13.4%52.7%22.4%47.3%5.3%0.5%5.5M-286.4M-2.2M0.564.87N/AN/A15,2648,603187,739179,896
2011-11-18$48.72$49.0044.0%12.6%42.4%18.9%43.9%4.9%1.8%3.8M-232.5M-2.1M0.623.84N/AN/A10,6676,568190,003179,573
2011-11-21$47.45$49.0044.7%12.8%42.2%19.8%45.0%2.6%1.6%2.6M-166.0M-2.0M1.494.14N/AN/A10,33015,380154,927134,687
2011-11-22$47.81$49.0042.6%12.2%41.8%17.2%42.5%3.0%1.9%2.2M-174.3M-2.0M0.354.34N/AN/A12,6304,383158,206143,938
2011-11-23$45.79$49.0044.3%12.7%44.0%19.2%44.3%1.6%1.9%738.6K-98.8M-2.1M0.484.68N/AN/A13,7176,529166,836145,320
2011-11-25$45.56$48.0047.4%12.9%41.7%23.1%45.1%1.9%1.5%1.0M-101.9M-2.1M0.714.29N/AN/A4,9223,495172,138147,161
2011-11-28$47.74$48.0046.8%12.8%44.4%22.3%44.8%3.3%1.2%3.2M-197.5M-2.1M0.785.41N/AN/A10,2367,960170,339146,555
2011-11-29$46.15$48.0049.7%13.3%42.3%25.8%46.8%3.9%0.8%1.9M-122.3M-2.0M1.974.04N/AN/A8,15616,088173,653146,153
2011-11-30$49.31$48.0046.7%12.9%47.8%22.2%44.7%5.3%0.3%6.1M-287.1M-2.1M0.675.29N/AN/A13,3178,986175,747143,861