SNDK Options History — May 2012

In May 2012, SNDK traded between $31.52 and $37.44. ATM implied volatility averaged 38.3%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.2% (HV 20d: 42.6%). Max pain ranged from $34.00 to $42.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.94.

Notable Days

  • 2012-05-23: Highest Volume — 57,000 contracts
  • 2012-05-29: Largest IV spike — 32.3% change
  • 2012-05-30: Highest IV Rank — 24.5%
  • 2012-05-17: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$34.50$31.52$37.44$37.40$32.70
Max Pain$36.95$34.00$42.00$42.00$34.00
ATM IV38.3%29.4%46.7%32.2%43.1%
Expected Move10.8%8.4%12.9%8.4%12.0%
HV 20d42.6%29.1%60.9%60.9%36.9%
HV 60d41.8%40.7%43.8%41.5%43.6%
IV Rank14.7%4.1%24.5%7.4%20.3%
IV Percentile46.3%6.7%72.6%22.2%61.5%
Term Structure4.1%1.9%6.5%1.9%5.6%
VWIV38.2%29.9%45.9%29.9%41.8%
Skew 25d4.0%0.3%7.3%1.0%4.3%
Skew 10d7.2%-0.3%13.5%0.9%7.0%
Call IV 25d36.8%29.5%43.3%29.5%40.8%
Put IV 25d40.8%30.5%50.6%30.5%45.2%
Bid-Ask Spread %5.493.808.704.016.04
Gamma HHI0.070.060.120.060.07
Net GEX-1.6M-2.9M-416.7K-1.3M-665.9K
Net DEX247.8M162.4M348.2M212.9M217.2M
Net VEX-1.5M-1.7M-1.3M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.940.371.830.830.54
Total Volume22,107.7277,06657,00010,5717,957
Total OI354,787.455284,376396,738347,765348,923

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$37.40$42.0032.2%8.4%60.9%7.4%29.9%1.0%1.9%-1.3M212.9M-1.6M0.834.01N/AN/A5,7874,784187,729160,036
2012-05-02$37.44$42.0034.1%8.5%60.5%9.7%30.6%0.3%2.0%-1.3M209.0M-1.6M0.375.89N/AN/A10,2563,795188,117162,238
2012-05-03$36.63$42.0029.4%8.6%47.0%4.1%30.7%0.3%2.0%-1.6M241.6M-1.6M0.925.52N/AN/A6,3945,890194,257163,047
2012-05-04$35.94$37.0030.6%9.8%47.1%5.5%34.0%2.4%3.7%-2.9M261.3M-1.5M0.834.87N/AN/A15,67913,018196,207164,520
2012-05-07$35.89$38.0037.5%10.0%47.2%13.7%35.3%2.6%3.6%-2.2M266.2M-1.6M0.845.50N/AN/A7,5656,349202,456171,237
2012-05-08$35.47$38.0036.0%10.1%46.4%11.9%35.4%3.1%3.4%-2.5M284.1M-1.5M0.554.28N/AN/A10,1835,603205,976173,494
2012-05-09$36.01$37.0034.6%10.3%47.2%10.2%36.7%3.2%3.3%-1.6M255.7M-1.6M0.995.54N/AN/A8,9088,855207,602173,475
2012-05-10$35.58$37.0035.9%10.3%47.0%11.7%36.2%3.1%3.3%-1.8M273.9M-1.6M1.025.99N/AN/A3,4993,567209,090175,310
2012-05-11$35.70$37.0036.1%10.3%46.7%12.0%36.9%3.2%3.8%-2.2M270.7M-1.6M1.464.98N/AN/A4,3856,395209,588175,117
2012-05-14$35.79$37.0036.1%10.4%46.8%12.1%36.4%4.3%4.3%-2.3M266.7M-1.6M1.474.65N/AN/A3,5585,230207,702175,514
2012-05-15$35.05$37.0038.2%10.9%46.7%14.5%38.0%4.8%4.3%-2.4M287.4M-1.5M1.145.58N/AN/A4,4845,129208,588176,402
2012-05-16$33.46$37.0041.7%12.0%48.6%18.7%41.3%5.5%3.7%-2.3M332.2M-1.4M0.753.80N/AN/A9,5837,144209,034176,413
2012-05-17$32.35$37.0044.9%12.9%49.3%22.5%43.5%6.6%3.0%-2.0M348.2M-1.3M0.414.38N/AN/A16,8296,922211,670177,543
2012-05-18$31.52$36.0044.9%12.9%29.1%22.5%45.9%7.3%4.5%-1.5M347.5M-1.3M1.834.39N/AN/A6,97512,799218,098178,640
2012-05-21$32.56$36.0040.5%11.6%31.6%17.3%41.5%5.0%5.4%-1.6M216.1M-1.4M0.724.20N/AN/A10,1927,359139,716144,660
2012-05-22$32.62$36.0041.5%11.9%31.5%18.5%42.1%5.3%4.6%-1.3M207.9M-1.4M0.908.70N/AN/A21,14919,125144,937147,298
2012-05-23$32.92$35.0038.5%11.0%29.2%14.9%39.5%5.2%5.1%-1.1M206.9M-1.4M1.035.49N/AN/A28,06828,932151,506152,568
2012-05-24$32.25$35.0040.0%11.5%29.6%16.7%39.9%5.5%5.3%-1.5M222.4M-1.5M1.076.14N/AN/A25,23427,043157,322159,354
2012-05-25$33.73$35.0034.8%11.1%34.8%10.4%40.2%4.8%6.5%-1.1M177.4M-1.6M0.834.85N/AN/A14,31611,893161,698164,252
2012-05-29$34.45$34.0046.0%11.6%35.8%23.7%40.9%6.0%5.1%-508.7K162.4M-1.7M0.908.19N/AN/A25,32722,834163,906168,677
2012-05-30$33.62$34.0046.7%11.8%36.1%24.5%43.1%5.0%5.2%-416.7K184.7M-1.6M1.177.82N/AN/A12,64514,731169,207172,200
2012-05-31$32.70$34.0043.1%12.0%36.9%20.3%41.8%4.3%5.6%-665.9K217.2M-1.6M0.546.04N/AN/A5,1802,777172,246176,677