SNDK Options History — August 2012

In August 2012, SNDK traded between $40.53 and $43.54. ATM implied volatility averaged 32.8%, placing in the 8.1% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 3.5% (HV 20d: 36.2%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 23 of 23 days. Put/call ratio averaged 0.80.

Notable Days

2012-08-21: Highest Volume — 30,546 contracts
2012-08-08: Largest IV drop — 18.4% change
2012-08-01: Highest IV Rank — 24.0%
2012-08-01: Largest Expected Move — 10.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$41.90	$40.53	$43.54	$41.43	$41.22
Max Pain	$40.61	$38.00	$41.00	$38.00	$41.00
ATM IV	32.8%	27.2%	46.2%	46.2%	27.5%
Expected Move	9.4%	8.7%	10.4%	10.4%	9.0%
HV 20d	36.2%	23.3%	49.4%	49.1%	24.4%
HV 60d	41.7%	37.4%	44.3%	44.2%	37.4%
IV Rank	8.1%	1.5%	24.0%	24.0%	1.9%
IV Percentile	20.4%	2.4%	67.1%	67.1%	3.2%
Term Structure	5.0%	0.2%	7.9%	0.2%	7.9%
VWIV	33.1%	30.1%	37.0%	36.3%	30.8%
Skew 25d	4.0%	3.0%	5.3%	3.9%	3.5%
Skew 10d	7.8%	5.5%	11.2%	7.3%	6.7%
Call IV 25d	31.4%	28.8%	35.0%	34.8%	30.0%
Put IV 25d	35.4%	32.6%	38.9%	38.7%	33.6%
Bid-Ask Spread %	5.90	4.85	8.12	6.27	8.12
Gamma HHI	0.13	0.09	0.29	0.09	0.12
Net GEX	8.0M	5.0M	16.4M	5.9M	6.3M
Net DEX	-208.8M	-299.9M	-118.5M	-207.0M	-129.6M
Net VEX	-1.7M	-1.8M	-1.6M	-1.8M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.80	0.23	1.56	0.32	0.49
Total Volume	11,569.087	3,711	30,546	8,828	8,739
Total OI	304,413.652	268,876	328,341	306,343	307,496

Daily Data (23 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
2012-08-01	$41.43	$38.00	46.2%	10.4%	49.1%	24.0%	36.3%	3.9%	0.2%	5.9M	-207.0M	-1.8M	0.32	6.27	N/A	N/A	6,705	2,123	167,414	138,929
2012-08-02	$40.75	$38.00	37.8%	10.3%	49.3%	14.0%	37.0%	4.0%	0.6%	5.0M	-172.3M	-1.8M	0.53	5.64	N/A	N/A	7,260	3,823	170,276	139,512
2012-08-03	$41.37	$38.00	35.5%	9.9%	49.4%	11.4%	34.7%	4.5%	1.5%	6.6M	-208.9M	-1.8M	0.89	6.20	N/A	N/A	5,931	5,265	171,690	139,596
2012-08-06	$41.48	$41.00	39.7%	10.1%	48.8%	16.3%	35.8%	5.1%	4.0%	7.0M	-213.6M	-1.8M	1.21	4.85	N/A	N/A	1,698	2,054	170,737	137,823
2012-08-07	$42.08	$41.00	37.5%	9.6%	45.2%	13.6%	33.6%	5.3%	4.2%	8.0M	-250.1M	-1.8M	0.64	5.46	N/A	N/A	5,421	3,458	171,141	138,654
2012-08-08	$41.70	$41.00	30.6%	9.4%	44.4%	5.5%	33.0%	5.0%	4.6%	7.9M	-226.4M	-1.8M	1.18	5.26	N/A	N/A	2,199	2,591	173,198	139,430
2012-08-09	$41.59	$41.00	29.4%	9.3%	43.5%	4.1%	33.6%	4.9%	4.8%	7.8M	-219.3M	-1.7M	0.99	4.85	N/A	N/A	1,869	1,842	173,770	140,148
2012-08-10	$41.40	$41.00	28.1%	9.3%	43.7%	2.6%	32.2%	4.5%	4.8%	8.0M	-209.7M	-1.7M	1.56	6.02	N/A	N/A	3,765	5,871	174,085	140,590
2012-08-13	$40.90	$41.00	30.2%	9.2%	43.2%	5.1%	31.5%	4.6%	4.9%	7.2M	-180.9M	-1.6M	0.68	5.36	N/A	N/A	3,868	2,637	174,481	141,467
2012-08-14	$40.53	$41.00	29.3%	9.1%	43.7%	4.0%	31.8%	4.3%	5.1%	6.4M	-155.0M	-1.6M	0.35	5.31	N/A	N/A	6,316	2,196	175,343	142,564
2012-08-15	$41.56	$41.00	27.2%	9.0%	43.6%	1.5%	31.7%	4.2%	5.3%	9.8M	-226.8M	-1.6M	0.71	6.34	N/A	N/A	15,089	10,783	177,946	142,647
2012-08-16	$42.70	$41.00	32.1%	9.2%	43.8%	7.3%	33.4%	4.1%	5.6%	11.7M	-299.9M	-1.7M	0.57	4.91	N/A	N/A	19,054	10,840	178,262	143,599
2012-08-17	$42.55	$41.00	30.8%	8.8%	28.9%	5.8%	31.4%	3.9%	6.3%	8.1M	-289.8M	-1.7M	0.23	5.67	N/A	N/A	18,416	4,284	179,881	148,460
2012-08-20	$42.27	$41.00	30.3%	8.7%	27.6%	5.2%	30.1%	3.8%	7.0%	6.5M	-184.1M	-1.7M	0.98	6.28	N/A	N/A	4,171	4,080	152,119	116,757
2012-08-21	$42.98	$41.00	32.0%	9.2%	27.8%	7.2%	31.6%	3.1%	5.8%	7.0M	-219.5M	-1.7M	0.41	6.02	N/A	N/A	21,610	8,936	154,283	119,186
2012-08-22	$43.54	$41.00	31.8%	9.1%	27.9%	7.0%	32.5%	3.5%	5.8%	9.4M	-263.5M	-1.8M	0.83	6.22	N/A	N/A	6,154	5,117	167,377	122,117
2012-08-23	$42.27	$41.00	33.5%	9.6%	26.4%	8.9%	33.4%	3.4%	5.8%	7.5M	-189.2M	-1.8M	1.23	6.56	N/A	N/A	3,246	3,985	169,708	124,648
2012-08-24	$43.04	$41.00	32.5%	9.3%	26.0%	7.8%	33.0%	3.3%	6.2%	16.4M	-238.9M	-1.8M	0.64	5.45	N/A	N/A	5,548	3,551	170,584	124,573
2012-08-27	$42.95	$41.00	32.8%	9.4%	23.3%	8.1%	32.8%	3.3%	6.1%	8.9M	-229.2M	-1.7M	1.24	6.91	N/A	N/A	2,686	3,334	168,484	123,301
2012-08-28	$42.31	$41.00	33.1%	9.5%	24.1%	8.5%	33.2%	3.3%	6.4%	8.1M	-192.7M	-1.7M	0.66	6.54	N/A	N/A	2,428	1,594	169,563	124,764
2012-08-29	$42.04	$41.00	32.6%	9.3%	24.1%	7.8%	33.3%	3.0%	6.4%	7.8M	-177.0M	-1.7M	1.35	5.71	N/A	N/A	2,296	3,092	170,990	125,386
2012-08-30	$41.03	$41.00	33.3%	9.6%	25.0%	8.8%	33.7%	3.7%	6.8%	5.4M	-118.5M	-1.7M	0.83	5.65	N/A	N/A	11,006	9,158	171,083	127,452
2012-08-31	$41.22	$41.00	27.5%	9.0%	24.4%	1.9%	30.8%	3.5%	7.9%	6.3M	-129.6M	-1.7M	0.49	8.12	N/A	N/A	5,863	2,876	175,489	132,007