SNDK Options History — July 2012

In July 2012, SNDK traded between $32.81 and $42.44. ATM implied volatility averaged 41.7%, placing in the 18.7% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 0.3% (HV 20d: 41.5%). Max pain ranged from $35.00 to $40.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.90.

Notable Days

  • 2012-07-20: Highest Volume — 119,847 contracts
  • 2012-07-11: Largest IV spike — 61.3% change
  • 2012-07-11: Highest IV Rank — 49.4%
  • 2012-07-17: Largest Expected Move — 14.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.08$32.81$42.44$36.91$41.13
Max Pain$36.14$35.00$40.00$39.00$37.00
ATM IV41.7%30.0%67.6%30.6%44.7%
Expected Move12.4%9.7%14.6%13.1%10.6%
HV 20d41.5%33.4%50.4%42.2%49.1%
HV 60d43.1%37.5%44.5%44.1%44.2%
IV Rank18.7%4.8%49.4%5.6%22.3%
IV Percentile48.5%7.1%98.4%8.3%61.9%
Term Structure-2.0%-5.6%4.9%-3.0%-0.2%
VWIV43.7%35.2%51.4%47.8%36.5%
Skew 25d5.4%4.0%8.8%6.9%4.5%
Skew 10d10.0%7.2%14.9%12.3%8.2%
Call IV 25d41.4%32.2%49.1%43.2%35.3%
Put IV 25d46.8%37.8%55.4%50.1%39.8%
Bid-Ask Spread %6.644.5118.336.495.31
Gamma HHI0.090.060.270.090.09
Net GEX1.4M-3.3M8.0M976.6K5.1M
Net DEX46.0M-297.6M285.6M76.2M-172.0M
Net VEX-1.5M-1.8M-1.3M-1.6M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.900.271.931.070.65
Total Volume30,169.33311,286119,84718,26714,374
Total OI367,369.714256,688437,301379,139287,173

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$36.91$39.0030.6%13.1%42.2%5.6%47.8%6.9%-3.0%976.6K76.2M-1.6M1.076.49N/AN/A8,8329,435190,577188,562
2012-07-03$37.12$39.0030.0%12.7%38.5%4.8%45.5%6.7%-3.2%1.5M61.8M-1.7M0.756.02N/AN/A6,4424,844197,150195,110
2012-07-05$36.62$40.0032.3%13.4%35.3%7.6%48.0%6.0%-4.7%507.3K96.3M-1.6M0.655.05N/AN/A7,6874,993195,446197,910
2012-07-06$36.71$35.0031.2%12.1%35.3%6.3%42.9%5.5%-0.9%195.2K84.7M-1.6M1.5818.33N/AN/A16,60126,304200,081198,792
2012-07-09$36.19$35.0038.9%13.2%35.7%15.3%46.4%5.6%-2.2%-611.3K119.4M-1.6M0.767.14N/AN/A15,48711,775202,536207,034
2012-07-10$34.66$35.0041.9%13.4%38.1%18.9%46.3%5.1%-2.7%-2.0M207.7M-1.5M0.916.55N/AN/A12,28011,144208,812208,575
2012-07-11$33.99$35.0067.6%13.8%36.0%49.4%47.3%5.1%-3.1%-2.7M241.7M-1.5M0.317.34N/AN/A18,9845,963212,900209,411
2012-07-12$33.41$35.0049.5%14.2%36.3%27.9%49.0%4.1%-3.6%-3.3M266.1M-1.4M1.255.79N/AN/A8,75310,949207,103209,596
2012-07-13$33.42$35.0047.8%13.7%36.1%25.9%46.8%4.4%-2.5%-2.7M271.6M-1.4M0.506.59N/AN/A7,7313,861208,582211,513
2012-07-16$32.81$35.0050.5%14.5%33.4%29.1%51.4%4.0%-4.3%-3.2M285.6M-1.3M0.766.28N/AN/A9,0636,918203,293206,477
2012-07-17$33.34$35.0050.9%14.6%34.3%29.6%51.2%4.5%-4.9%-2.9M262.3M-1.3M1.936.72N/AN/A7,25514,027203,203208,348
2012-07-18$34.26$35.0050.6%14.5%35.8%29.2%50.3%5.8%-5.6%-2.2M213.2M-1.3M1.256.25N/AN/A8,80310,974204,417205,842
2012-07-19$35.08$35.0050.6%14.5%36.9%29.3%50.1%8.8%-5.5%-1.5M174.9M-1.4M0.569.62N/AN/A58,31532,917202,045203,236
2012-07-20$38.70$35.0034.0%9.7%49.2%9.5%35.2%5.8%4.9%8.0M-90.0M-1.4M0.506.06N/AN/A79,80140,046223,045214,256
2012-07-23$39.88$36.0036.2%10.4%50.1%12.1%38.4%5.0%-0.3%4.8M-139.4M-1.6M1.344.89N/AN/A16,64122,305141,281115,407
2012-07-24$39.66$36.0038.5%11.0%49.8%14.9%38.5%5.8%-0.9%4.3M-134.1M-1.7M0.824.93N/AN/A13,21210,784146,930125,948
2012-07-25$39.73$36.0036.8%10.5%49.7%12.8%37.7%5.5%0.1%5.4M-140.7M-1.7M1.065.06N/AN/A10,01510,615152,608129,609
2012-07-26$41.51$37.0034.6%9.9%50.4%10.2%35.8%6.1%0.8%7.0M-229.1M-1.7M0.274.51N/AN/A30,8238,230156,783134,187
2012-07-27$42.44$37.0036.1%10.1%49.5%12.0%36.2%4.5%-0.1%7.0M-297.6M-1.8M1.025.41N/AN/A8,9779,186170,838137,567
2012-07-30$41.17$37.0043.3%10.6%49.1%20.6%36.7%4.7%-0.4%5.7M-193.0M-1.8M1.045.18N/AN/A8,9129,298160,752131,829
2012-07-31$41.13$37.0044.7%10.6%49.1%22.3%36.5%4.5%-0.2%5.1M-172.0M-1.7M0.655.31N/AN/A8,7065,668152,765134,408