SNDK Options History — September 2012

In September 2012, SNDK traded between $40.60 and $46.18. ATM implied volatility averaged 37.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.6% (HV 20d: 34.9%). Max pain ranged from $38.00 to $41.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.76.

Notable Days

  • 2012-09-06: Highest Volume — 44,430 contracts
  • 2012-09-28: Largest IV drop — 25.8% change
  • 2012-09-26: Highest IV Rank — 21.5%
  • 2012-09-26: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$44.26$40.60$46.18$40.89$43.43
Max Pain$39.53$38.00$41.00$41.00$41.00
ATM IV37.5%30.5%44.1%35.6%32.4%
Expected Move11.1%9.3%12.6%9.5%12.6%
HV 20d34.9%24.0%37.6%24.6%35.8%
HV 60d38.3%37.1%39.8%37.4%37.5%
IV Rank13.7%5.4%21.5%11.5%7.6%
IV Percentile46.0%11.1%73.4%36.5%22.2%
Term Structure-1.0%-3.5%7.0%6.9%-3.5%
VWIV39.2%33.0%44.4%33.8%43.8%
Skew 25d2.9%1.0%4.0%2.9%2.4%
Skew 10d5.6%2.4%7.6%6.0%5.4%
Call IV 25d37.8%31.7%43.6%32.3%42.8%
Put IV 25d40.7%33.6%45.9%35.2%45.2%
Bid-Ask Spread %5.183.627.206.955.71
Gamma HHI0.130.100.230.110.11
Net GEX10.9M5.7M14.3M5.9M10.1M
Net DEX-314.7M-456.6M-104.7M-115.6M-238.9M
Net VEX-1.6M-1.7M-1.5M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.760.321.710.530.58
Total Volume18,395.5263,46944,43011,06624,988
Total OI314,840.579279,495334,531303,464324,927

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-09-04$40.89$41.0035.6%9.5%24.6%11.5%33.8%2.9%6.9%5.9M-115.6M-1.6M0.536.95N/AN/A7,2393,827172,576130,888
2012-09-05$40.60$41.0036.3%9.3%24.0%12.3%33.0%3.2%7.0%5.7M-104.7M-1.6M1.235.44N/AN/A1,5571,912176,458132,857
2012-09-06$44.01$41.0033.5%9.3%37.6%8.9%33.2%1.4%6.7%11.2M-312.2M-1.7M1.027.20N/AN/A21,96322,467176,781133,629
2012-09-07$44.26$38.0030.5%11.0%37.6%5.4%40.4%3.8%-0.6%12.8M-335.8M-1.7M0.684.51N/AN/A10,3967,086184,342138,688
2012-09-10$43.99$38.0035.5%11.0%37.6%11.3%38.9%3.7%-1.3%12.6M-313.1M-1.6M0.324.18N/AN/A13,4894,367180,516133,438
2012-09-11$44.52$38.0036.1%11.0%37.3%12.0%39.1%3.3%-1.0%13.6M-347.9M-1.6M1.714.52N/AN/A4,0306,878181,794134,221
2012-09-12$44.97$38.0030.9%11.2%37.0%5.8%39.1%4.0%-2.1%13.5M-375.1M-1.6M0.454.08N/AN/A12,7555,707181,510135,493
2012-09-13$45.37$39.0038.6%11.1%36.3%15.0%38.9%4.0%-2.1%14.3M-408.0M-1.6M1.045.07N/AN/A5,1075,315184,159138,077
2012-09-14$45.69$39.0038.0%10.9%35.3%14.2%38.3%3.8%-2.3%12.6M-429.5M-1.6M0.654.43N/AN/A11,2107,240184,868140,091
2012-09-17$45.75$39.0038.6%11.1%35.3%15.0%39.1%4.0%-2.9%12.9M-423.3M-1.5M0.975.33N/AN/A2,7472,673183,336139,117
2012-09-18$45.19$39.0038.9%11.2%35.5%15.4%39.2%3.3%-2.7%13.3M-388.3M-1.5M0.735.47N/AN/A4,6523,376184,152139,779
2012-09-19$46.18$39.0039.1%11.2%35.8%15.6%39.2%2.3%-3.2%13.2M-456.6M-1.5M0.394.73N/AN/A17,1206,616184,404140,760
2012-09-20$45.95$39.0038.3%11.0%35.8%14.7%38.5%2.8%-2.8%11.6M-443.5M-1.5M0.485.10N/AN/A15,6687,521186,789143,284
2012-09-21$45.24$39.0038.5%11.0%34.4%14.9%39.2%2.4%-2.6%13.3M-399.3M-1.5M0.615.69N/AN/A13,4288,227189,931144,600
2012-09-24$45.16$39.0040.9%11.7%34.0%17.8%41.0%2.0%-2.4%8.6M-300.4M-1.5M1.185.28N/AN/A8,4629,971160,314119,181
2012-09-25$43.89$41.0042.7%12.3%35.7%19.9%42.8%1.0%-3.3%6.8M-224.2M-1.5M0.873.62N/AN/A8,0727,024163,538126,422
2012-09-26$42.66$41.0044.1%12.6%36.8%21.5%44.4%2.3%-3.5%5.8M-157.4M-1.5M0.475.27N/AN/A20,8849,854166,591130,591
2012-09-27$43.24$41.0043.6%12.5%37.0%20.9%43.3%3.0%-3.2%10.2M-205.6M-1.6M0.495.79N/AN/A17,2498,438178,635135,234
2012-09-28$43.43$41.0032.4%12.6%35.8%7.6%43.8%2.4%-3.5%10.1M-238.9M-1.6M0.585.71N/AN/A15,8059,183184,822140,105