SNDK Options History — February 2012

In February 2012, SNDK traded between $45.91 and $49.77. ATM implied volatility averaged 31.5%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 13.1% (HV 20d: 44.6%). Max pain ranged from $46.00 to $48.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 1.04.

Notable Days

2012-02-15: Highest Volume — 49,301 contracts
2012-02-02: Largest IV drop — 15.3% change
2012-02-15: Highest IV Rank — 9.7%
2012-02-15: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.67	$45.91	$49.77	$46.48	$49.48
Max Pain	$46.80	$46.00	$48.00	$48.00	$47.00
ATM IV	31.5%	27.1%	36.0%	34.6%	31.3%
Expected Move	9.0%	8.2%	10.3%	8.8%	8.6%
HV 20d	44.6%	22.6%	51.4%	50.0%	22.6%
HV 60d	40.4%	35.6%	42.5%	42.5%	35.6%
IV Rank	4.3%	0.0%	9.7%	7.4%	5.1%
IV Percentile	10.6%	0.0%	31.3%	23.0%	9.1%
Term Structure	4.2%	2.6%	5.7%	2.6%	5.5%
VWIV	31.9%	29.1%	37.4%	31.1%	29.9%
Skew 25d	2.1%	0.1%	4.5%	0.1%	3.1%
Skew 10d	4.0%	-1.2%	10.1%	-1.2%	5.9%
Call IV 25d	31.0%	28.6%	35.2%	31.2%	29.2%
Put IV 25d	33.1%	29.7%	39.6%	31.3%	32.4%
Bid-Ask Spread %	4.28	2.82	5.81	3.96	4.05
Gamma HHI	0.12	0.10	0.22	0.13	0.14
Net GEX	242.9K	-3.7M	6.2M	-2.0M	5.4M
Net DEX	-49.3M	-185.8M	52.6M	11.6M	-170.0M
Net VEX	-1.9M	-2.1M	-1.7M	-1.7M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.44	3.34	0.77	0.72
Total Volume	24,955	11,435	49,301	19,702	30,146
Total OI	263,048.1	230,595	313,678	234,552	269,945

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
2012-02-01	$46.48	$48.00	34.6%	8.8%	50.0%	7.4%	31.1%	0.1%	2.6%	-2.0M	11.6M	-1.7M	0.77	3.96	N/A	N/A	11,104	8,598	125,440	109,112
2012-02-02	$46.54	$48.00	29.3%	8.2%	49.6%	0.9%	29.4%	0.5%	2.8%	-2.8M	22.1M	-1.8M	1.29	4.38	N/A	N/A	8,277	10,686	127,971	116,883
2012-02-03	$47.55	$47.00	28.1%	8.7%	49.9%	0.0%	31.0%	2.1%	3.7%	-1.6M	-26.7M	-1.8M	0.61	4.28	N/A	N/A	11,062	6,784	129,373	119,525
2012-02-06	$47.56	$47.00	31.6%	8.8%	49.4%	4.3%	31.5%	1.7%	3.2%	-1.1M	-27.9M	-1.8M	1.48	4.65	N/A	N/A	5,942	8,768	129,984	121,554
2012-02-07	$45.91	$47.00	34.8%	9.0%	50.1%	8.1%	31.9%	0.2%	3.3%	-2.7M	52.6M	-1.8M	0.73	4.64	N/A	N/A	19,130	14,057	132,138	120,127
2012-02-08	$46.84	$46.00	29.8%	9.2%	50.9%	2.0%	32.5%	0.9%	3.2%	-529.5K	-6.2M	-1.9M	0.55	3.90	N/A	N/A	11,718	6,458	139,775	127,031
2012-02-09	$47.20	$46.00	31.7%	9.1%	51.1%	4.5%	32.1%	0.9%	3.4%	-123.2K	-28.8M	-1.9M	0.74	3.52	N/A	N/A	6,576	4,859	140,478	128,325
2012-02-10	$46.44	$46.00	33.2%	9.5%	51.3%	6.2%	34.2%	1.3%	3.8%	-2.5M	16.9M	-1.8M	3.34	3.85	N/A	N/A	6,196	20,720	142,066	129,737
2012-02-13	$46.63	$46.00	31.8%	9.1%	51.3%	4.5%	32.2%	1.1%	3.8%	-3.6M	23.8M	-1.9M	1.47	4.05	N/A	N/A	8,375	12,334	140,373	141,081
2012-02-14	$46.99	$46.00	33.5%	9.6%	51.4%	6.6%	34.5%	2.1%	3.4%	-3.7M	3.4M	-1.9M	1.72	4.30	N/A	N/A	5,838	10,017	142,142	139,793
2012-02-15	$47.68	$46.00	36.0%	10.3%	49.2%	9.7%	37.4%	4.5%	3.0%	-2.2M	-37.7M	-1.9M	1.27	4.26	N/A	N/A	21,698	27,603	142,785	143,235
2012-02-16	$48.23	$47.00	33.6%	9.6%	49.2%	6.8%	34.6%	3.8%	4.3%	817.0K	-79.6M	-1.9M	0.98	4.71	N/A	N/A	23,682	23,270	145,154	152,716
2012-02-17	$47.79	$47.00	31.5%	9.0%	49.2%	4.2%	32.0%	3.6%	5.3%	4.7M	-52.4M	-1.9M	0.73	2.82	N/A	N/A	13,107	9,509	154,580	159,098
2012-02-21	$47.61	$47.00	31.1%	8.9%	49.1%	3.7%	31.5%	2.9%	4.8%	-1.1M	-42.6M	-1.9M	0.65	4.71	N/A	N/A	8,045	5,266	107,078	123,517
2012-02-22	$47.48	$47.00	29.2%	8.4%	49.0%	1.4%	29.1%	1.7%	5.5%	-802.2K	-41.6M	-1.9M	0.86	3.35	N/A	N/A	10,375	8,957	110,177	125,579
2012-02-23	$48.85	$47.00	29.1%	8.4%	49.5%	1.3%	30.1%	3.0%	5.3%	2.2M	-105.2M	-1.9M	0.54	4.49	N/A	N/A	25,517	13,876	112,171	126,653
2012-02-24	$49.14	$47.00	27.1%	8.5%	23.1%	0.0%	29.9%	2.4%	5.7%	6.2M	-153.8M	-2.0M	0.44	5.54	N/A	N/A	25,303	11,041	125,065	129,459
2012-02-27	$49.19	$47.00	31.0%	8.8%	23.0%	4.7%	31.2%	2.5%	4.7%	4.7M	-157.2M	-2.0M	0.70	4.28	N/A	N/A	12,288	8,651	135,933	128,728
2012-02-28	$49.77	$47.00	31.7%	8.6%	22.8%	5.6%	31.0%	3.6%	5.7%	5.6M	-185.8M	-2.1M	1.16	5.81	N/A	N/A	10,772	12,495	136,806	129,375
2012-02-29	$49.48	$47.00	31.3%	8.6%	22.6%	5.1%	29.9%	3.1%	5.5%	5.4M	-170.0M	-2.1M	0.72	4.05	N/A	N/A	17,482	12,664	138,577	131,368