SNDK Options History — January 2012

In January 2012, SNDK traded between $45.88 and $52.68. ATM implied volatility averaged 38.5%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 4.5% (HV 20d: 34.0%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.69.

Notable Days

2012-01-26: Highest Volume — 106,634 contracts
2012-01-12: Largest IV spike — 35.4% change
2012-01-25: Highest IV Rank — 21.0%
2012-01-25: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$49.76	$45.88	$52.68	$47.59	$45.88
Max Pain	$48.85	$45.00	$50.00	$45.00	$49.00
ATM IV	38.5%	29.3%	45.7%	43.2%	34.4%
Expected Move	11.1%	9.0%	13.1%	11.1%	9.1%
HV 20d	34.0%	26.6%	51.2%	29.5%	50.9%
HV 60d	41.5%	37.3%	44.4%	43.4%	42.7%
IV Rank	12.2%	1.0%	21.0%	18.0%	7.1%
IV Percentile	40.2%	0.8%	69.8%	57.9%	21.8%
Term Structure	-0.3%	-6.5%	7.3%	6.2%	1.8%
VWIV	39.0%	32.0%	45.9%	39.2%	32.1%
Skew 25d	2.9%	0.2%	5.0%	1.0%	0.8%
Skew 10d	5.2%	-2.0%	9.2%	2.1%	0.2%
Call IV 25d	38.0%	31.6%	43.9%	39.3%	32.1%
Put IV 25d	40.9%	32.3%	47.5%	40.3%	32.9%
Bid-Ask Spread %	5.61	3.90	11.78	4.19	6.98
Gamma HHI	0.23	0.13	0.88	0.14	0.13
Net GEX	13.9M	-2.7M	132.4M	4.1M	-2.7M
Net DEX	-247.9M	-514.7M	45.0M	-167.5M	41.7M
Net VEX	-1.6M	-1.7M	-1.4M	-1.5M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.21	1.39	0.70	0.58
Total Volume	29,143.5	9,041	106,634	26,138	29,850
Total OI	291,090.8	172,978	369,469	300,726	223,077

Daily Data (20 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
2012-01-03	$47.59	$45.00	43.2%	11.1%	29.5%	18.0%	39.2%	1.0%	6.2%	4.1M	-167.5M	-1.5M	0.70	4.19	N/A	N/A	15,404	10,734	159,347	141,379
2012-01-04	$48.30	$45.00	41.0%	10.6%	29.7%	15.2%	37.6%	0.9%	6.6%	5.4M	-213.2M	-1.6M	1.39	5.11	N/A	N/A	8,457	11,764	166,749	146,972
2012-01-05	$49.11	$45.00	37.5%	10.1%	30.3%	11.0%	36.1%	1.4%	7.3%	6.5M	-259.4M	-1.6M	0.51	6.25	N/A	N/A	14,552	7,350	167,832	150,796
2012-01-06	$49.93	$49.00	34.8%	11.8%	30.9%	7.6%	41.7%	4.6%	-1.6%	11.5M	-330.2M	-1.6M	0.31	5.42	N/A	N/A	21,559	6,645	171,502	151,216
2012-01-09	$50.83	$49.00	38.3%	11.8%	31.4%	11.9%	39.5%	5.0%	-1.5%	10.4M	-366.2M	-1.6M	0.21	4.67	N/A	N/A	35,137	7,466	171,820	148,297
2012-01-10	$50.78	$49.00	36.9%	11.5%	31.2%	10.2%	39.9%	4.7%	-1.1%	13.3M	-393.9M	-1.7M	0.31	4.97	N/A	N/A	12,694	3,944	195,205	152,598
2012-01-11	$50.55	$49.00	29.3%	11.4%	31.2%	1.0%	40.2%	4.5%	-1.0%	13.9M	-380.3M	-1.6M	0.66	5.28	N/A	N/A	5,442	3,599	196,685	153,109
2012-01-12	$50.48	$49.00	39.7%	11.4%	31.1%	13.7%	40.2%	4.8%	-0.9%	14.0M	-383.9M	-1.6M	1.28	4.91	N/A	N/A	5,134	6,551	195,991	153,658
2012-01-13	$49.89	$49.00	40.2%	11.5%	29.3%	14.3%	40.8%	4.3%	-1.0%	14.8M	-336.4M	-1.6M	0.99	5.55	N/A	N/A	6,388	6,302	194,933	156,030
2012-01-17	$49.96	$50.00	41.1%	11.8%	29.1%	15.4%	41.2%	4.2%	-2.1%	11.0M	-324.8M	-1.5M	0.73	4.93	N/A	N/A	6,780	4,972	189,228	154,385
2012-01-18	$52.07	$50.00	41.0%	11.7%	32.2%	15.2%	41.2%	3.0%	-3.0%	13.9M	-468.1M	-1.5M	0.45	4.59	N/A	N/A	28,437	12,923	188,580	155,685
2012-01-19	$52.68	$50.00	41.8%	12.0%	30.9%	16.2%	41.6%	3.3%	-3.6%	15.5M	-514.7M	-1.6M	0.41	5.25	N/A	N/A	31,717	13,004	196,661	161,146
2012-01-20	$52.49	$50.00	40.3%	11.6%	28.1%	14.4%	40.5%	3.0%	-2.6%	132.4M	-490.2M	-1.7M	0.54	3.90	N/A	N/A	14,129	7,694	200,077	169,392
2012-01-23	$51.80	$50.00	41.8%	12.0%	28.0%	16.2%	42.3%	3.8%	-3.8%	5.9M	-157.8M	-1.6M	0.60	5.84	N/A	N/A	13,490	8,064	103,870	69,108
2012-01-24	$51.19	$50.00	43.9%	12.6%	26.6%	18.7%	43.6%	3.1%	-4.8%	5.4M	-137.4M	-1.6M	0.75	5.56	N/A	N/A	8,396	6,321	109,062	73,985
2012-01-25	$52.34	$50.00	45.7%	13.1%	27.0%	21.0%	45.9%	3.6%	-6.5%	6.6M	-185.0M	-1.7M	0.52	11.78	N/A	N/A	38,621	20,092	113,267	76,894
2012-01-26	$46.39	$50.00	31.5%	9.0%	51.2%	3.6%	32.0%	0.7%	2.2%	-564.5K	45.0M	-1.4M	0.66	4.38	N/A	N/A	64,052	42,582	131,055	86,368
2012-01-27	$46.70	$50.00	32.4%	9.1%	51.0%	4.7%	32.2%	0.3%	2.1%	-1.5M	36.6M	-1.6M	1.02	6.85	N/A	N/A	10,703	10,925	129,044	104,234
2012-01-30	$46.29	$49.00	36.1%	9.1%	50.9%	9.3%	32.7%	0.2%	1.4%	-2.0M	27.2M	-1.6M	1.11	5.78	N/A	N/A	9,972	11,024	114,666	97,913
2012-01-31	$45.88	$49.00	34.4%	9.1%	50.9%	7.1%	32.1%	0.8%	1.8%	-2.7M	41.7M	-1.6M	0.58	6.98	N/A	N/A	18,922	10,928	118,811	104,266