SNDK Options History — April 2012

In April 2012, SNDK traded between $35.91 and $50.05. ATM implied volatility averaged 34.4%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded below realized volatility by 14.7% (HV 20d: 49.1%). Max pain ranged from $42.00 to $48.00. Net GEX was positive for 2 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.86.

Notable Days

  • 2012-04-04: Highest Volume — 131,782 contracts
  • 2012-04-09: Largest IV spike — 27.7% change
  • 2012-04-11: Highest IV Rank — 24.5%
  • 2012-04-10: Largest Expected Move — 11.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.06$35.91$50.05$49.60$37.00
Max Pain$45.05$42.00$48.00$48.00$42.00
ATM IV34.4%27.1%46.6%30.7%33.3%
Expected Move10.1%8.5%11.3%9.8%8.7%
HV 20d49.1%23.2%60.5%26.2%60.4%
HV 60d41.4%34.6%47.5%34.7%41.7%
IV Rank10.0%1.4%24.5%5.6%8.7%
IV Percentile31.1%2.0%72.6%8.7%29.0%
Term Structure1.4%-3.2%3.9%0.7%1.9%
VWIV35.7%31.0%39.2%34.1%31.5%
Skew 25d2.2%0.4%3.7%2.4%1.1%
Skew 10d3.6%-0.6%6.9%5.2%0.8%
Call IV 25d34.8%30.3%38.4%33.4%30.7%
Put IV 25d37.0%30.9%41.3%35.8%31.7%
Bid-Ask Spread %5.273.7111.397.153.71
Gamma HHI0.100.070.230.160.07
Net GEX-2.3M-6.0M12.1M6.5M-2.1M
Net DEX204.7M-205.4M482.3M-139.4M228.5M
Net VEX-1.6M-2.2M-1.1M-2.0M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.860.111.570.110.88
Total Volume39,359.313,359131,78233,57913,359
Total OI351,263.2279,597425,006279,597345,194

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-04-02$49.60$48.0030.7%9.8%26.2%5.6%34.1%2.4%0.7%6.5M-139.4M-2.0M0.117.15N/AN/A30,3373,242158,502121,095
2012-04-03$50.05$48.0027.1%9.7%23.2%1.4%34.1%1.8%2.3%12.1M-205.4M-2.2M0.426.79N/AN/A17,8637,521191,707122,245
2012-04-04$44.51$48.0031.3%10.8%48.2%6.4%37.4%2.6%-3.1%-1.9M119.1M-1.7M0.576.80N/AN/A84,14247,640178,822124,429
2012-04-05$44.09$47.0027.4%11.2%47.6%1.7%38.7%2.9%-3.2%-1.8M144.0M-1.9M0.855.06N/AN/A21,34118,114199,480141,782
2012-04-09$43.70$47.0035.0%10.7%46.6%10.7%37.4%3.5%1.7%-2.5M161.1M-1.8M0.844.86N/AN/A9,8978,341195,692147,753
2012-04-10$42.26$46.0040.4%11.3%47.6%17.2%38.9%3.6%1.3%-3.6M228.0M-1.6M1.575.01N/AN/A16,71426,188198,014153,062
2012-04-11$41.96$46.0046.6%11.1%46.6%24.5%38.2%3.5%2.0%-4.8M251.7M-1.7M1.344.61N/AN/A12,44916,637201,435162,526
2012-04-12$42.16$45.0036.5%10.5%46.7%12.5%36.3%3.4%2.9%-5.4M258.2M-1.7M0.673.97N/AN/A12,9358,613204,251170,087
2012-04-13$41.11$45.0037.0%10.6%46.9%13.1%37.0%3.6%3.2%-5.3M287.8M-1.6M1.074.78N/AN/A8,6809,290206,034166,481
2012-04-16$40.95$45.0038.8%11.1%46.3%15.2%39.2%3.7%0.8%-4.9M288.7M-1.6M1.124.51N/AN/A14,02015,763206,324166,077
2012-04-17$41.30$45.0035.6%10.2%46.7%11.4%35.6%3.2%2.7%-5.8M275.9M-1.6M1.414.78N/AN/A7,62410,761210,699171,860
2012-04-18$40.76$45.0034.2%9.8%46.7%9.8%34.6%2.3%3.4%-6.0M299.6M-1.5M0.475.05N/AN/A18,7778,822212,750171,932
2012-04-19$40.47$45.0039.0%11.2%44.7%15.4%38.9%1.8%0.0%-5.5M301.2M-1.6M0.7411.39N/AN/A44,87133,394217,642174,483
2012-04-20$35.91$45.0034.0%9.7%58.7%9.5%35.0%1.4%3.9%-3.7M482.3M-1.1M1.175.77N/AN/A56,04065,319237,007187,999
2012-04-23$36.39$43.0036.7%10.5%59.5%12.7%37.6%1.0%0.7%-2.4M245.1M-1.3M0.834.40N/AN/A29,59724,663162,305139,387
2012-04-24$36.49$43.0033.2%9.5%58.3%8.6%34.3%0.7%1.2%-2.1M248.2M-1.5M0.533.88N/AN/A10,0795,314179,691155,713
2012-04-25$37.59$43.0030.9%8.9%60.5%5.9%32.6%0.5%1.3%-1.6M201.1M-1.6M0.584.39N/AN/A19,96811,518182,813152,763
2012-04-26$37.40$43.0029.8%8.5%60.2%4.5%31.0%0.6%2.1%-2.1M217.0M-1.6M1.554.21N/AN/A8,43213,107189,934160,128
2012-04-27$37.58$42.0030.5%8.8%60.4%5.3%32.1%0.4%1.9%-2.0M202.1M-1.7M0.544.26N/AN/A10,2715,543192,635164,531
2012-04-30$37.00$42.0033.3%8.7%60.4%8.7%31.5%1.1%1.9%-2.1M228.5M-1.6M0.883.71N/AN/A7,1096,250184,994160,200