SNDK Options History — November 2012

In November 2012, SNDK traded between $38.84 and $44.81. ATM implied volatility averaged 34.4%, placing in the 18.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 1.8% (HV 20d: 36.2%). Max pain ranged from $41.00 to $43.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.65.

Notable Days

  • 2012-11-08: Highest Volume — 32,190 contracts
  • 2012-11-05: Largest IV spike — 16.6% change
  • 2012-11-06: Highest IV Rank — 34.6%
  • 2012-11-15: Largest Expected Move — 10.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$40.94$38.84$44.81$44.16$39.10
Max Pain$42.00$41.00$43.00$43.00$41.00
ATM IV34.4%30.4%41.1%33.7%30.4%
Expected Move9.8%8.7%10.9%9.4%8.9%
HV 20d36.2%29.4%40.7%34.3%29.4%
HV 60d33.7%32.1%34.9%32.1%33.8%
IV Rank18.5%9.2%34.6%9.2%10.6%
IV Percentile35.0%10.3%69.0%32.1%10.3%
Term Structure1.9%0.4%2.8%0.8%2.8%
VWIV34.0%30.7%37.0%33.4%30.7%
Skew 25d2.7%1.6%3.7%1.6%2.2%
Skew 10d5.7%3.3%8.0%3.3%4.4%
Call IV 25d33.1%29.8%36.6%32.6%30.1%
Put IV 25d35.8%31.9%39.6%34.2%32.4%
Bid-Ask Spread %6.634.619.587.039.58
Gamma HHI0.110.080.320.100.32
Net GEX3.6M-6.1M11.3M7.8M-6.1M
Net DEX-30.9M-200.8M62.9M-145.4M33.6M
Net VEX-1.2M-1.5M-1.0M-1.5M-1.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.650.131.350.271.05
Total Volume14,838.1435,00832,19023,27313,475
Total OI279,215.19249,903311,015266,934269,240

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$44.16$43.0033.7%9.4%34.3%9.2%33.4%1.6%0.8%7.8M-145.4M-1.5M0.277.03N/AN/A18,3354,938156,217110,717
2012-11-02$43.46$43.0035.2%9.8%34.4%11.0%34.3%1.8%0.4%6.9M-126.4M-1.5M1.086.94N/AN/A6,2496,763166,677111,820
2012-11-05$44.31$43.0041.1%10.3%34.1%17.9%35.5%3.2%1.3%9.1M-165.4M-1.5M0.264.61N/AN/A10,8652,806167,213114,334
2012-11-06$44.81$43.0040.4%10.0%34.0%34.6%35.1%3.2%1.4%11.3M-200.8M-1.5M0.635.58N/AN/A7,6864,870172,124114,169
2012-11-07$43.40$43.0035.3%10.2%35.8%22.4%36.4%3.2%1.6%7.6M-116.7M-1.5M1.354.62N/AN/A2,7523,722175,842116,017
2012-11-08$41.09$43.0035.7%10.4%40.7%23.4%35.4%3.6%1.4%1.3M4.6M-1.3M0.906.14N/AN/A16,98015,210176,312117,270
2012-11-09$41.22$43.0034.0%10.3%40.2%19.3%35.5%3.6%1.7%1.5M17.5M-1.3M0.977.58N/AN/A6,1165,946179,691123,556
2012-11-12$40.47$43.0037.8%10.6%40.6%28.3%36.5%3.7%1.3%158.4K30.2M-1.2M0.425.47N/AN/A11,6524,845175,228118,153
2012-11-13$40.46$42.0034.4%10.5%40.6%20.2%35.9%2.9%1.2%155.8K28.3M-1.2M0.566.56N/AN/A11,4536,470178,712120,263
2012-11-14$39.82$42.0034.7%10.6%38.6%20.9%36.7%2.9%1.4%-367.8K45.5M-1.2M0.695.92N/AN/A5,6853,947185,018119,500
2012-11-15$39.28$42.0037.9%10.9%37.1%28.6%37.0%3.0%1.2%-1.9M62.9M-1.1M0.397.03N/AN/A15,2685,889185,021116,446
2012-11-16$39.46$42.0036.4%10.4%37.3%25.1%36.0%2.7%1.9%1.7M45.0M-1.2M0.776.30N/AN/A12,0189,309193,309117,706
2012-11-19$39.30$42.0033.8%9.7%35.7%18.8%32.5%3.4%2.5%2.9M9.6M-1.1M0.136.22N/AN/A18,9212,412149,733100,170
2012-11-20$38.84$41.0033.1%9.5%33.9%17.1%33.0%3.1%2.5%2.6M20.8M-1.1M0.557.19N/AN/A9,7185,320153,57999,912
2012-11-21$39.47$41.0032.4%9.3%34.7%15.6%32.0%2.4%2.8%6.9M-13.4M-1.1M0.415.61N/AN/A7,7443,156156,122102,566
2012-11-23$40.13$41.0031.6%9.1%35.5%13.6%32.1%2.5%2.8%4.7M-43.2M-1.2M0.756.41N/AN/A6,8845,183156,123103,845
2012-11-26$40.67$41.0031.4%9.0%36.0%13.0%32.1%2.0%2.7%4.6M-52.6M-1.2M0.437.14N/AN/A6,5782,833154,064106,322
2012-11-27$40.14$41.0031.6%9.1%35.8%13.6%31.6%1.9%2.6%4.4M-30.2M-1.1M0.467.39N/AN/A6,3532,896157,163108,049
2012-11-28$40.44$41.0031.6%9.1%36.0%13.5%32.5%2.2%2.5%5.4M-44.9M-1.1M1.266.97N/AN/A2,2202,788158,204109,364
2012-11-29$39.79$41.0030.4%8.7%36.2%10.8%30.8%2.0%2.7%4.3M-7.6M-1.1M0.268.98N/AN/A12,2273,119158,491109,257
2012-11-30$39.10$41.0030.4%8.9%29.4%10.6%30.7%2.2%2.8%-6.1M33.6M-1.0M1.059.58N/AN/A6,5606,915157,857111,383