SNDK Options History — March 2012

In March 2012, SNDK traded between $48.48 and $51.29. ATM implied volatility averaged 31.4%, placing in the 6.0% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 6.6% (HV 20d: 24.7%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.66.

Notable Days

2012-03-21: Highest Volume — 48,354 contracts
2012-03-15: Largest IV spike — 29.6% change
2012-03-06: Highest IV Rank — 12.5%
2012-03-06: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.04	$48.48	$51.29	$50.53	$49.59
Max Pain	$47.50	$47.00	$48.00	$47.00	$48.00
ATM IV	31.4%	25.9%	37.5%	28.7%	26.9%
Expected Move	9.6%	8.5%	10.7%	8.5%	9.7%
HV 20d	24.7%	22.5%	27.6%	23.2%	26.6%
HV 60d	35.9%	34.9%	36.7%	35.8%	34.9%
IV Rank	6.0%	0.0%	12.5%	1.9%	1.1%
IV Percentile	16.9%	0.0%	42.1%	1.2%	0.8%
Term Structure	2.4%	0.5%	6.2%	6.2%	0.9%
VWIV	33.9%	30.2%	37.7%	30.2%	34.0%
Skew 25d	2.9%	1.8%	4.2%	3.0%	2.1%
Skew 10d	5.6%	3.9%	8.7%	6.4%	4.4%
Call IV 25d	32.6%	28.8%	36.2%	28.8%	33.3%
Put IV 25d	35.5%	31.7%	40.0%	31.8%	35.5%
Bid-Ask Spread %	5.67	3.81	8.24	5.45	6.45
Gamma HHI	0.16	0.12	0.25	0.17	0.16
Net GEX	7.2M	2.7M	12.4M	8.0M	6.5M
Net DEX	-183.4M	-260.5M	-96.7M	-234.3M	-136.7M
Net VEX	-2.0M	-2.1M	-1.9M	-2.1M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.26	1.02	0.64	0.62
Total Volume	18,091.136	7,188	48,354	18,963	9,596
Total OI	275,079.773	232,106	299,525	273,490	284,745

Daily Data (22 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
2012-03-01	$50.53	$47.00	28.7%	8.5%	23.2%	1.9%	30.2%	3.0%	6.2%	8.0M	-234.3M	-2.1M	0.64	5.45	N/A	N/A	11,553	7,410	141,275	132,215
2012-03-02	$50.91	$47.00	30.4%	8.7%	23.2%	4.0%	30.4%	2.1%	5.0%	6.8M	-260.5M	-2.1M	0.64	3.81	N/A	N/A	11,791	7,518	142,429	135,231
2012-03-05	$50.24	$47.00	34.0%	10.3%	23.1%	8.3%	35.8%	3.5%	2.8%	5.5M	-197.0M	-2.1M	0.32	5.17	N/A	N/A	17,296	5,492	138,819	135,129
2012-03-06	$48.55	$47.00	37.5%	10.7%	26.6%	12.5%	37.7%	3.8%	2.6%	3.1M	-110.9M	-2.1M	0.81	5.21	N/A	N/A	17,189	13,918	144,997	136,687
2012-03-07	$48.48	$47.00	31.4%	10.6%	22.9%	5.3%	37.3%	4.1%	2.4%	2.7M	-96.7M	-2.1M	0.88	4.93	N/A	N/A	8,031	7,078	145,523	137,568
2012-03-08	$49.22	$47.00	28.9%	10.2%	22.5%	2.2%	35.7%	4.2%	3.0%	6.4M	-152.2M	-2.0M	0.74	4.66	N/A	N/A	4,138	3,050	146,594	138,145
2012-03-09	$50.25	$47.00	26.3%	9.8%	23.4%	0.0%	34.3%	3.6%	3.4%	8.2M	-222.7M	-2.0M	0.72	5.10	N/A	N/A	12,486	8,962	146,416	138,866
2012-03-12	$49.85	$47.00	28.2%	9.7%	22.6%	2.3%	34.5%	3.2%	2.6%	6.8M	-184.7M	-2.0M	1.02	4.68	N/A	N/A	11,103	11,307	147,074	139,441
2012-03-13	$50.73	$48.00	27.1%	9.4%	23.2%	1.0%	33.1%	2.9%	3.1%	8.9M	-240.8M	-2.0M	0.76	5.25	N/A	N/A	6,800	5,147	147,988	142,879
2012-03-14	$49.67	$48.00	25.9%	9.7%	24.8%	0.0%	34.7%	2.4%	2.7%	8.0M	-180.3M	-2.0M	0.57	5.73	N/A	N/A	7,593	4,301	152,350	143,986
2012-03-15	$49.70	$47.00	33.6%	9.6%	24.4%	9.1%	33.8%	2.3%	2.6%	9.9M	-193.8M	-2.0M	0.56	5.83	N/A	N/A	6,273	3,525	153,705	143,796
2012-03-16	$50.25	$47.00	32.8%	9.4%	24.4%	8.1%	33.0%	2.2%	3.2%	12.4M	-245.4M	-2.0M	0.47	6.54	N/A	N/A	9,712	4,520	155,087	144,438
2012-03-19	$50.23	$47.00	32.7%	9.4%	24.0%	8.0%	32.6%	2.8%	1.4%	5.8M	-160.3M	-1.9M	0.55	5.98	N/A	N/A	11,415	6,284	127,087	105,019
2012-03-20	$49.96	$48.00	33.0%	9.5%	24.1%	8.4%	32.5%	2.9%	0.5%	5.5M	-149.6M	-2.0M	0.47	5.87	N/A	N/A	15,186	7,090	131,411	108,285
2012-03-21	$51.29	$48.00	32.5%	9.3%	25.4%	7.8%	33.4%	3.3%	1.8%	7.8M	-216.0M	-2.0M	0.26	8.24	N/A	N/A	38,273	10,081	135,000	111,770
2012-03-22	$50.90	$48.00	33.6%	9.6%	24.0%	9.1%	33.5%	2.9%	1.8%	8.3M	-210.3M	-2.1M	0.93	5.92	N/A	N/A	7,324	6,833	147,864	113,874
2012-03-23	$49.40	$48.00	34.4%	9.9%	26.5%	10.0%	34.7%	1.8%	1.6%	5.2M	-119.4M	-2.0M	0.54	7.25	N/A	N/A	18,601	10,130	147,357	116,525
2012-03-26	$50.52	$48.00	32.8%	9.4%	27.6%	8.2%	33.2%	2.4%	1.8%	7.6M	-183.8M	-2.0M	0.97	5.58	N/A	N/A	5,606	5,452	146,556	116,424
2012-03-27	$50.12	$48.00	32.2%	9.2%	27.5%	7.5%	33.0%	2.3%	1.5%	7.4M	-171.4M	-2.0M	0.89	5.62	N/A	N/A	10,859	9,704	151,963	118,939
2012-03-28	$50.35	$48.00	33.4%	9.6%	27.5%	8.9%	34.1%	2.5%	1.0%	8.0M	-184.3M	-2.1M	0.47	5.28	N/A	N/A	4,939	2,321	156,501	121,660
2012-03-29	$50.22	$48.00	33.6%	9.6%	26.4%	9.1%	33.7%	2.6%	1.4%	10.1M	-184.4M	-2.1M	0.63	6.28	N/A	N/A	7,414	4,704	158,293	121,844
2012-03-30	$49.59	$48.00	26.9%	9.7%	26.6%	1.1%	34.0%	2.1%	0.9%	6.5M	-136.7M	-2.1M	0.62	6.45	N/A	N/A	5,918	3,678	161,242	123,503