SNDK Options History — June 2012

In June 2012, SNDK traded between $31.23 and $37.47. ATM implied volatility averaged 42.4%, placing in the 19.6% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 3.1% (HV 20d: 45.5%). Max pain ranged from $34.00 to $40.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.84.

Notable Days

  • 2012-06-12: Highest Volume — 55,003 contracts
  • 2012-06-29: Largest IV drop — 32.1% change
  • 2012-06-05: Highest IV Rank — 27.0%
  • 2012-06-04: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$35.40$31.23$37.47$31.23$36.48
Max Pain$39.71$34.00$40.00$34.00$40.00
ATM IV42.4%31.2%48.7%47.2%31.2%
Expected Move13.0%11.9%14.1%13.2%13.2%
HV 20d45.5%39.1%50.8%39.1%42.2%
HV 60d47.2%44.0%48.5%44.3%44.0%
IV Rank19.6%6.3%27.0%25.2%6.3%
IV Percentile56.8%11.1%77.4%74.2%11.1%
Term Structure-0.2%-2.5%4.5%4.5%-2.5%
VWIV46.0%41.3%50.6%45.7%46.5%
Skew 25d6.8%5.3%8.3%5.6%6.8%
Skew 10d13.4%9.4%16.3%9.4%14.0%
Call IV 25d42.6%39.4%46.4%43.9%42.7%
Put IV 25d49.4%45.0%54.7%49.5%49.5%
Bid-Ask Spread %6.933.8219.027.237.21
Gamma HHI0.080.050.300.070.08
Net GEX-138.0K-2.7M4.8M-1.7M97.7K
Net DEX121.7M33.7M255.9M255.9M92.9M
Net VEX-1.7M-1.8M-1.4M-1.4M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.840.161.900.751.11
Total Volume18,628.5714,62155,00313,75721,715
Total OI360,889.286338,087383,024347,333378,420

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$31.23$34.0047.2%13.2%39.1%25.2%45.7%5.6%4.5%-1.7M255.9M-1.4M0.757.23N/AN/A7,8555,902173,524173,809
2012-06-04$31.66$40.0048.0%14.1%39.6%26.1%50.2%8.3%0.6%-1.4M241.0M-1.4M0.407.85N/AN/A9,7533,898170,853171,694
2012-06-05$33.41$40.0048.7%13.8%45.0%27.0%49.6%7.3%0.7%-459.3K177.1M-1.6M1.787.06N/AN/A8,61115,357174,031172,785
2012-06-06$35.09$40.0038.8%13.0%48.6%15.2%46.5%7.0%1.0%-39.9K116.0M-1.7M0.556.99N/AN/A12,4746,845176,780178,680
2012-06-07$35.13$40.0037.5%13.1%48.2%13.7%46.6%7.6%0.5%523.7K108.4M-1.7M1.045.07N/AN/A13,97714,603180,755181,299
2012-06-08$35.43$40.0036.0%12.6%48.2%11.9%44.6%7.3%1.7%-308.2K97.9M-1.7M0.795.90N/AN/A5,9684,693183,968183,929
2012-06-11$34.62$40.0042.6%13.3%48.8%19.7%46.1%8.1%0.0%-619.1K146.7M-1.6M0.455.37N/AN/A11,5295,172178,498182,360
2012-06-12$35.95$40.0038.2%13.4%50.8%14.5%47.2%5.3%-0.8%404.7K72.1M-1.7M0.4519.02N/AN/A38,00416,999184,009182,797
2012-06-13$36.02$40.0035.6%13.5%50.1%11.5%50.6%7.4%-0.6%1.5M70.1M-1.8M1.584.47N/AN/A6,0729,591195,613187,323
2012-06-14$35.55$40.0046.7%13.4%47.2%24.6%47.6%7.7%0.1%829.3K95.0M-1.7M0.936.44N/AN/A4,8224,476196,039186,305
2012-06-15$36.85$40.0045.0%12.9%46.5%22.6%46.0%8.2%0.2%4.8M33.7M-1.8M0.615.98N/AN/A13,5138,306195,188187,836
2012-06-18$36.83$40.0043.2%12.4%45.0%20.5%44.0%7.7%-0.5%79776.2M-1.7M1.226.87N/AN/A7,2288,802170,179167,908
2012-06-19$37.17$40.0041.4%11.9%44.1%18.4%41.3%6.0%-0.8%102.8K66.1M-1.7M0.1613.19N/AN/A15,5722,505171,234171,514
2012-06-20$37.47$40.0041.9%12.0%44.0%18.9%45.0%5.6%-0.8%915.4K48.0M-1.8M1.903.82N/AN/A9,91218,873175,653172,072
2012-06-21$36.00$40.0044.0%12.6%47.1%21.4%42.5%6.9%-1.4%-1.5M132.5M-1.7M0.615.45N/AN/A8,1034,978179,588182,826
2012-06-22$36.36$40.0042.6%12.2%46.1%19.8%41.9%6.2%-0.9%-955.3K121.5M-1.7M0.615.57N/AN/A2,8631,758175,995182,509
2012-06-25$35.87$40.0044.6%12.8%44.2%22.2%46.0%5.5%-1.5%-1.3M138.4M-1.6M0.945.39N/AN/A5,7865,439173,040180,751
2012-06-26$36.27$40.0045.1%12.9%43.8%22.7%45.5%5.4%-1.4%-248.9K117.7M-1.6M0.435.14N/AN/A6,8862,943176,177182,476
2012-06-27$35.41$40.0046.9%13.4%43.8%24.8%46.6%7.1%-1.8%-854.2K156.3M-1.6M0.864.82N/AN/A14,13812,230179,916183,054
2012-06-28$34.70$40.0046.0%13.2%43.2%23.8%45.1%6.8%-1.4%-2.7M192.1M-1.5M0.536.72N/AN/A8,5484,501187,387189,901
2012-06-29$36.48$40.0031.2%13.2%42.2%6.3%46.5%6.8%-2.5%97.7K92.9M-1.6M1.117.21N/AN/A10,30511,410189,438188,982