SNDK Options History — October 2012

In October 2012, SNDK traded between $41.78 and $44.82. ATM implied volatility averaged 39.6%, placing in the 16.1% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 9.8% (HV 20d: 29.7%). Max pain ranged from $41.00 to $44.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2012-10-18: Highest Volume — 136,345 contracts
  • 2012-10-10: Largest IV spike — 68.7% change
  • 2012-10-10: Highest IV Rank — 44.3%
  • 2012-10-02: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$43.33$41.78$44.82$43.01$41.78
Max Pain$42.76$41.00$44.00$41.00$43.00
ATM IV39.6%31.6%63.3%36.1%37.3%
Expected Move11.9%9.5%13.7%12.9%9.5%
HV 20d29.7%25.4%37.5%36.0%29.7%
HV 60d33.5%30.0%37.8%37.6%30.0%
IV Rank16.1%6.7%44.3%12.1%13.5%
IV Percentile54.9%17.9%98.8%42.1%51.2%
Term Structure-3.4%-6.9%1.1%-4.5%1.1%
VWIV41.4%33.4%47.7%45.8%33.4%
Skew 25d3.0%1.1%4.2%2.6%2.8%
Skew 10d5.9%2.1%8.3%5.9%5.2%
Call IV 25d40.3%32.6%46.1%44.0%32.6%
Put IV 25d43.2%35.2%49.6%46.6%35.4%
Bid-Ask Spread %5.723.8310.426.288.42
Gamma HHI0.110.080.130.100.08
Net GEX7.1M2.2M12.5M7.2M2.6M
Net DEX-180.7M-310.5M-31.0M-184.8M-31.0M
Net VEX-1.5M-1.6M-1.3M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.241.540.930.97
Total Volume28,481.0488,400136,34512,4898,400
Total OI322,364.381244,722437,389309,295264,736

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$43.01$41.0036.1%12.9%36.0%12.1%45.8%2.6%-4.5%7.2M-184.8M-1.5M0.936.28N/AN/A6,4576,032174,439134,856
2012-10-02$44.31$41.0038.1%13.7%37.1%14.4%47.7%3.5%-6.4%9.3M-264.2M-1.6M0.495.93N/AN/A10,4285,068178,312136,902
2012-10-03$43.63$41.0034.9%13.5%37.5%10.6%47.2%2.9%-6.2%9.1M-230.8M-1.5M0.866.85N/AN/A5,9365,094183,311138,902
2012-10-04$44.64$41.0035.8%13.2%25.5%11.7%46.1%1.1%-4.7%11.0M-301.0M-1.6M0.3110.42N/AN/A21,3226,706185,900141,474
2012-10-05$44.09$43.0031.6%11.8%25.8%6.7%40.7%4.1%-3.5%12.5M-272.6M-1.6M0.615.89N/AN/A15,5169,404192,710143,238
2012-10-08$43.73$43.0037.7%12.3%25.9%13.9%42.5%4.2%-4.8%9.3M-244.6M-1.5M1.543.83N/AN/A4,6227,098192,316139,865
2012-10-09$43.39$43.0037.5%12.3%25.6%13.7%42.8%4.2%-4.8%8.0M-211.2M-1.5M0.245.54N/AN/A12,7233,006194,166144,090
2012-10-10$42.56$43.0063.3%12.6%26.0%44.3%44.3%4.1%-5.3%6.4M-148.3M-1.5M0.505.77N/AN/A7,3343,635193,984145,827
2012-10-11$42.28$43.0043.9%12.6%25.6%21.3%45.2%3.6%-5.0%6.6M-131.9M-1.4M1.024.67N/AN/A11,78312,046196,298147,076
2012-10-12$42.28$43.0044.6%12.8%25.4%22.1%44.6%3.1%-5.9%6.4M-124.1M-1.4M1.325.45N/AN/A6,0467,979198,674155,627
2012-10-15$43.73$43.0044.5%12.7%28.7%21.9%44.8%2.5%-6.9%9.0M-235.7M-1.4M0.674.50N/AN/A13,6869,226196,803152,817
2012-10-16$44.82$43.0043.7%12.5%29.9%21.0%44.0%2.8%-5.6%10.4M-310.5M-1.4M0.404.92N/AN/A18,8467,620197,587155,357
2012-10-17$44.34$43.0043.4%12.4%28.9%20.6%43.3%2.3%-5.5%10.0M-283.0M-1.4M0.764.16N/AN/A13,14010,048203,908159,289
2012-10-18$42.86$44.0044.5%12.8%31.1%22.0%43.9%3.7%-5.5%7.5M-168.9M-1.3M0.528.70N/AN/A89,45646,889206,964161,438
2012-10-19$44.02$43.0033.5%9.6%32.5%9.0%33.4%2.3%0.7%2.2M-251.4M-1.3M0.865.88N/AN/A66,64657,127245,931191,458
2012-10-22$43.43$44.0035.8%10.3%32.8%11.6%35.8%2.2%-0.1%4.4M-103.0M-1.4M0.574.34N/AN/A17,4109,896144,091100,631
2012-10-23$43.36$44.0036.5%10.5%31.2%12.6%36.6%2.2%-0.1%5.2M-110.1M-1.5M1.244.51N/AN/A8,46610,508153,389104,199
2012-10-24$43.11$43.0035.8%10.3%29.5%11.7%35.4%2.8%0.2%4.2M-91.9M-1.5M0.434.98N/AN/A9,9654,294156,446108,188
2012-10-25$42.39$43.0036.0%10.3%29.7%12.0%35.8%2.8%0.4%3.9M-56.1M-1.4M0.994.04N/AN/A5,7995,769161,379110,418
2012-10-26$42.23$43.0036.2%10.2%29.7%12.1%35.4%2.9%0.2%3.6M-40.6M-1.4M1.035.05N/AN/A8,2098,467163,102113,554
2012-10-31$41.78$43.0037.3%9.5%29.7%13.5%33.4%2.8%1.1%2.6M-31.0M-1.3M0.978.42N/AN/A4,2734,127155,864108,872