SNDK Options History — December 2011

In December 2011, SNDK traded between $46.90 and $50.92. ATM implied volatility averaged 40.3%, placing in the 14.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 0.8% (HV 20d: 41.1%). Max pain ranged from $44.00 to $48.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.93.

Notable Days

  • 2011-12-01: Highest Volume — 28,362 contracts
  • 2011-12-14: Largest IV spike — 15.7% change
  • 2011-12-05: Highest IV Rank — 25.2%
  • 2011-12-01: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$49.44$46.90$50.92$49.86$49.21
Max Pain$45.19$44.00$48.00$48.00$45.00
ATM IV40.3%33.1%49.2%45.0%33.1%
Expected Move11.5%9.9%12.9%12.9%10.5%
HV 20d41.1%27.4%47.9%47.9%27.4%
HV 60d45.5%43.0%46.7%46.7%43.0%
IV Rank14.4%5.6%25.2%20.1%5.6%
IV Percentile46.5%13.9%75.4%67.1%13.9%
Term Structure4.4%0.6%7.3%0.6%7.3%
VWIV40.8%35.1%48.7%48.7%37.4%
Skew 25d4.8%2.2%7.4%7.4%4.3%
Skew 10d8.6%3.6%12.9%12.9%7.8%
Call IV 25d38.3%33.2%41.9%41.8%35.2%
Put IV 25d43.1%37.0%49.1%49.1%39.6%
Bid-Ask Spread %4.533.385.654.964.19
Gamma HHI0.150.130.180.140.15
Net GEX6.2M2.3M8.8M7.0M5.7M
Net DEX-272.7M-362.1M-147.5M-315.1M-251.3M
Net VEX-1.8M-2.1M-1.7M-2.1M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.321.721.020.76
Total Volume14,477.9527,24128,36228,3628,717
Total OI310,801.571275,798329,474326,395302,453

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$49.86$48.0045.0%12.9%47.9%20.1%48.7%7.4%0.6%7.0M-315.1M-2.1M1.024.96N/AN/A14,07114,291179,087147,308
2011-12-02$50.32$48.0042.8%12.3%47.2%17.4%42.2%6.7%0.8%7.5M-353.3M-2.1M0.384.15N/AN/A15,3555,811180,707144,746
2011-12-05$50.92$44.0049.2%12.5%46.9%25.2%43.7%6.9%2.2%8.8M-362.1M-2.0M0.483.88N/AN/A16,6047,941177,975143,266
2011-12-06$50.37$44.0048.5%12.2%46.9%24.4%44.1%6.6%2.9%7.3M-326.6M-2.0M1.723.93N/AN/A5,83410,037175,253145,064
2011-12-07$50.37$45.0042.3%12.1%46.9%16.8%42.6%6.5%3.4%7.3M-326.2M-2.0M0.793.75N/AN/A4,6603,681176,378148,340
2011-12-08$49.90$45.0045.4%12.7%43.5%20.6%45.2%6.2%1.8%6.1M-295.7M-2.0M0.674.63N/AN/A5,7143,841175,971148,875
2011-12-09$50.39$45.0038.6%12.1%43.6%12.3%42.8%5.8%3.0%7.5M-328.6M-1.9M0.974.89N/AN/A5,8445,689177,445148,835
2011-12-12$50.04$45.0040.4%12.2%40.5%14.5%43.1%5.0%2.8%6.7M-304.0M-1.9M0.923.90N/AN/A5,6465,201174,488147,556
2011-12-13$49.84$45.0039.3%11.9%40.4%13.1%42.2%4.3%3.6%6.5M-298.9M-1.8M1.504.97N/AN/A5,4988,262176,455148,169
2011-12-14$48.35$45.0045.5%12.1%41.6%20.7%42.9%4.2%3.8%2.9M-201.8M-1.8M0.714.21N/AN/A15,59411,087175,621151,367
2011-12-15$47.95$45.0041.9%12.0%41.7%16.3%41.9%2.4%3.8%2.3M-181.6M-1.8M0.605.34N/AN/A5,8353,517176,382153,092
2011-12-16$47.91$45.0039.4%11.3%40.4%13.3%40.3%2.2%5.1%6.5M-175.9M-1.7M1.684.85N/AN/A6,01510,115176,124153,291
2011-12-19$46.90$45.0038.8%11.1%40.6%12.6%38.9%2.9%6.2%3.6M-147.5M-1.7M0.744.51N/AN/A7,8755,827146,296129,502
2011-12-20$48.84$45.0036.8%10.6%42.2%10.1%36.9%3.8%6.4%5.7M-235.3M-1.7M0.714.74N/AN/A7,5555,399149,670130,253
2011-12-21$48.14$45.0037.9%10.9%42.5%11.5%38.3%4.7%6.1%4.9M-202.2M-1.7M0.864.45N/AN/A11,71010,122153,337132,817
2011-12-22$49.66$45.0036.2%10.4%40.5%9.3%36.9%4.5%6.0%6.4M-275.0M-1.8M0.555.65N/AN/A8,5464,700155,928137,547
2011-12-23$50.52$45.0034.7%9.9%40.6%7.5%35.1%3.8%6.7%7.3M-325.7M-1.7M0.324.77N/AN/A10,3263,276157,585138,282
2011-12-27$50.10$45.0036.2%10.4%37.8%9.4%36.6%4.3%6.2%7.4M-299.0M-1.7M1.105.10N/AN/A4,2384,661158,371136,767
2011-12-28$49.12$45.0037.9%10.9%36.3%11.4%38.0%3.6%6.5%6.7M-254.1M-1.7M1.373.38N/AN/A3,0504,191160,067136,742
2011-12-29$49.43$45.0037.0%10.6%27.7%10.3%38.3%4.2%7.0%7.2M-266.2M-1.7M1.704.86N/AN/A2,8484,853160,767138,654
2011-12-30$49.21$45.0033.1%10.5%27.4%5.6%37.4%4.3%7.3%5.7M-251.3M-1.7M0.764.19N/AN/A4,9423,775161,374141,079