SNDK Options History — January 2013

In January 2013, SNDK traded between $44.68 and $49.99. ATM implied volatility averaged 34.8%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 14.4% (HV 20d: 20.5%). Max pain ranged from $40.00 to $46.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.68.

Notable Days

  • 2013-01-23: Highest Volume — 93,917 contracts
  • 2013-01-24: Largest IV drop — 38.9% change
  • 2013-01-23: Highest IV Rank — 46.1%
  • 2013-01-23: Largest Expected Move — 12.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$47.27$44.68$49.99$44.74$49.99
Max Pain$43.24$40.00$46.00$41.00$46.00
ATM IV34.8%27.1%45.2%30.0%28.0%
Expected Move10.2%7.4%12.9%9.1%7.8%
HV 20d20.5%17.8%24.5%24.5%17.8%
HV 60d28.5%25.4%30.2%30.2%25.4%
IV Rank21.3%2.7%46.1%9.7%4.9%
IV Percentile42.6%1.6%92.5%9.5%4.4%
Term Structure-2.0%-8.9%6.9%6.9%0.5%
VWIV36.3%26.0%45.5%32.9%29.0%
Skew 25d3.0%0.5%4.3%1.0%2.5%
Skew 10d6.6%1.7%8.7%2.3%5.6%
Call IV 25d34.9%25.6%44.0%32.2%26.9%
Put IV 25d37.8%27.8%47.5%33.2%29.4%
Bid-Ask Spread %6.133.489.677.296.59
Gamma HHI0.150.080.210.150.10
Net GEX12.6M3.7M18.4M15.9M5.6M
Net DEX-303.9M-558.8M-136.6M-236.5M-255.7M
Net VEX-1.0M-1.2M-915.5K-963.4K-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.251.370.251.37
Total Volume30,469.9058,35693,91720,02341,704
Total OI255,324.476156,687339,020264,271186,719

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$44.74$41.0030.0%9.1%24.5%9.7%32.9%1.0%6.9%15.9M-236.5M-963.4K0.257.29N/AN/A15,9624,061156,727107,544
2013-01-03$44.68$41.0032.1%9.2%24.1%14.9%32.7%0.5%6.8%15.6M-227.9M-953.5K0.846.63N/AN/A14,52812,190158,876108,404
2013-01-04$45.46$44.0031.4%11.0%23.5%13.1%41.9%3.7%-1.6%15.2M-290.0M-995.3K0.699.03N/AN/A9,3466,449165,177113,801
2013-01-07$45.29$40.0033.7%11.1%20.8%18.7%39.1%3.5%-2.0%13.5M-271.7M-952.3K0.526.97N/AN/A7,8334,089162,832115,225
2013-01-08$45.11$40.0034.5%11.2%19.9%20.5%38.9%3.2%-2.2%13.5M-260.5M-944.5K0.526.72N/AN/A12,1646,312163,710116,016
2013-01-09$45.31$40.0028.3%11.0%19.6%5.7%37.9%3.7%-2.1%15.2M-284.0M-965.4K0.446.32N/AN/A9,2334,093169,433118,875
2013-01-10$45.60$41.0037.8%10.8%19.5%28.5%38.0%3.3%-2.7%16.2M-310.8M-954.7K0.575.91N/AN/A9,8885,646171,619120,730
2013-01-11$46.53$42.0038.8%11.1%20.5%30.9%39.0%3.2%-3.6%17.7M-391.0M-999.6K0.823.48N/AN/A24,38019,882174,206124,069
2013-01-14$46.95$43.0042.0%12.0%20.4%38.5%42.3%3.1%-5.9%16.1M-412.6M-982.9K0.624.54N/AN/A15,5119,673178,264126,165
2013-01-15$47.03$43.0040.2%11.5%19.6%34.2%39.9%3.2%-4.8%17.6M-432.3M-961.4K0.414.53N/AN/A15,2756,277183,503130,522
2013-01-16$47.07$44.0039.8%11.4%19.6%33.3%39.8%3.2%-4.5%17.9M-447.2M-945.2K0.324.17N/AN/A11,9243,843187,514133,235
2013-01-17$48.39$44.0040.6%11.7%19.4%35.3%41.7%4.0%-5.6%18.4M-516.8M-915.5K0.575.83N/AN/A40,82623,368181,282131,434
2013-01-18$48.46$44.0044.1%12.6%19.3%43.6%44.2%4.3%-8.9%9.7M-558.8M-948.5K0.667.61N/AN/A32,49721,602194,639144,381
2013-01-22$47.95$45.0042.5%12.2%20.0%39.7%42.3%3.5%-7.3%4.0M-142.9M-1.0M0.727.43N/AN/A25,09118,13388,83567,852
2013-01-23$47.65$45.0045.2%12.9%20.3%46.1%45.5%3.5%-8.5%3.7M-136.6M-1.2M0.719.67N/AN/A54,93638,981103,19581,661
2013-01-24$48.85$45.0027.6%7.9%21.5%4.0%28.4%2.9%0.2%15.3M-244.4M-1.2M0.624.87N/AN/A37,39523,114128,35599,984
2013-01-25$49.66$45.0027.1%7.7%20.6%2.7%29.2%2.8%0.5%12.4M-300.2M-1.1M1.165.46N/AN/A9,86311,428124,689101,838
2013-01-28$49.53$45.0029.1%7.6%20.2%7.5%27.4%2.5%0.6%7.8M-237.4M-1.1M1.135.29N/AN/A5,3506,053104,66272,783
2013-01-29$49.19$45.0029.1%7.4%19.6%7.6%26.0%2.2%1.2%6.5M-213.9M-1.1M0.435.34N/AN/A5,8302,526104,98775,161
2013-01-30$49.18$45.0029.5%7.6%19.2%8.6%26.6%2.2%1.1%6.7M-211.3M-1.1M0.985.00N/AN/A6,3846,228107,06075,850
2013-01-31$49.99$46.0028.0%7.8%17.8%4.9%29.0%2.5%0.5%5.6M-255.7M-1.1M1.376.59N/AN/A17,62524,079107,19879,521