SNDK Options History — December 2012

In December 2012, SNDK traded between $39.53 and $44.32. ATM implied volatility averaged 35.2%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 9.7% (HV 20d: 25.5%). Max pain ranged from $40.00 to $41.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.51.

Notable Days

  • 2012-12-21: Highest Volume — 28,266 contracts
  • 2012-12-10: Largest IV spike — 18.3% change
  • 2012-12-31: Highest IV Rank — 31.9%
  • 2012-12-31: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$42.72$39.53$44.32$39.53$43.50
Max Pain$40.55$40.00$41.00$41.00$41.00
ATM IV35.2%31.7%39.3%34.6%39.3%
Expected Move9.8%9.0%10.4%9.0%10.4%
HV 20d25.5%23.2%31.3%29.7%23.2%
HV 60d30.8%29.7%33.9%33.9%29.8%
IV Rank22.1%13.8%31.9%20.8%31.9%
IV Percentile46.4%21.4%75.4%40.5%75.4%
Term Structure4.3%0.9%7.0%2.0%5.5%
VWIV34.8%31.8%37.0%31.8%37.0%
Skew 25d2.1%1.6%2.6%2.0%2.1%
Skew 10d4.6%2.9%5.9%3.9%4.3%
Call IV 25d33.8%31.2%36.4%31.2%36.4%
Put IV 25d36.0%33.2%38.5%33.2%38.5%
Bid-Ask Spread %6.724.3210.507.716.65
Gamma HHI0.140.080.200.080.15
Net GEX8.9M2.2M14.9M2.2M10.4M
Net DEX-147.3M-262.7M8.6M8.6M-151.4M
Net VEX-1.1M-1.2M-992.5K-1.0M-992.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.131.091.090.13
Total Volume14,839.757,17528,2669,62322,266
Total OI277,795.55249,938298,645268,076258,931

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-12-03$39.53$41.0034.6%9.0%29.7%20.8%31.8%2.0%2.0%2.2M8.6M-1.0M1.097.71N/AN/A4,6035,020157,809110,267
2012-12-04$40.30$41.0039.2%9.5%29.7%31.7%33.1%1.8%0.9%3.7M-25.6M-1.1M0.648.45N/AN/A6,5254,201159,913113,996
2012-12-05$39.80$41.0036.3%9.3%29.2%24.9%32.4%1.7%1.7%2.2M3.1M-1.1M0.358.67N/AN/A7,2572,576160,644116,027
2012-12-06$41.32$41.0032.3%9.2%31.3%15.1%32.6%1.6%1.7%6.6M-92.4M-1.2M0.467.59N/AN/A10,7234,920164,325117,001
2012-12-07$42.25$40.0032.5%9.5%25.7%15.7%34.0%2.2%4.7%8.1M-149.7M-1.2M0.246.39N/AN/A11,9952,907165,233117,309
2012-12-10$42.79$40.0038.5%10.0%26.0%30.1%36.0%2.3%3.9%9.0M-165.5M-1.2M0.657.46N/AN/A13,0908,456162,383114,772
2012-12-11$43.10$40.0038.5%9.6%24.9%30.0%34.8%2.4%4.4%9.6M-178.7M-1.2M0.956.05N/AN/A6,4226,130164,916119,587
2012-12-12$43.28$40.0031.7%9.6%24.9%13.8%35.3%2.6%4.4%8.4M-182.9M-1.2M1.025.64N/AN/A5,0875,167165,375122,698
2012-12-13$43.17$40.0034.7%10.0%24.0%21.0%34.8%2.6%4.0%8.7M-181.3M-1.2M0.326.30N/AN/A9,9703,168166,857122,016
2012-12-14$42.67$40.0034.0%9.7%23.8%19.3%35.5%2.1%5.0%9.9M-147.6M-1.2M0.2610.50N/AN/A16,2094,279170,575122,492
2012-12-17$42.67$40.0034.3%9.8%23.8%20.0%35.0%2.3%4.7%10.0M-147.9M-1.1M0.525.39N/AN/A8,4484,402167,878119,269
2012-12-18$43.92$40.0034.1%9.8%25.2%19.5%34.9%2.1%5.0%13.5M-227.9M-1.1M0.285.95N/AN/A8,7512,431169,128120,747
2012-12-19$43.86$40.0033.5%9.6%24.5%18.2%34.7%2.0%5.1%13.9M-230.5M-1.1M0.395.25N/AN/A6,4882,526170,535121,363
2012-12-20$44.23$41.0034.4%9.9%24.2%20.4%35.2%2.0%4.4%14.9M-247.4M-1.1M0.297.93N/AN/A21,8306,253167,965120,924
2012-12-21$44.32$41.0035.4%10.2%23.9%22.8%36.0%1.9%3.7%14.5M-262.7M-1.1M0.585.48N/AN/A17,88510,381174,440124,205
2012-12-24$44.18$41.0034.8%10.0%23.9%21.3%35.5%2.2%6.2%9.4M-185.0M-1.1M0.584.32N/AN/A4,5272,648146,469103,469
2012-12-26$43.57$41.0033.7%9.7%23.9%18.6%34.4%2.0%7.0%8.9M-150.4M-1.0M0.615.92N/AN/A6,2633,845149,199104,888
2012-12-27$43.22$41.0035.4%10.1%24.3%22.6%36.0%2.6%6.3%7.9M-130.7M-1.0M0.425.49N/AN/A14,3015,960153,055107,118
2012-12-28$42.68$41.0036.3%10.2%23.9%24.8%36.0%2.3%6.0%6.8M-99.6M-996.0K0.417.18N/AN/A6,2892,596153,299108,834
2012-12-31$43.50$41.0039.3%10.4%23.2%31.9%37.0%2.1%5.5%10.4M-151.4M-992.5K0.136.65N/AN/A19,6262,640151,638107,293