SNDK Options History — February 2013

In February 2013, SNDK traded between $49.07 and $51.71. ATM implied volatility averaged 28.7%, placing in the 8.0% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 8.7% (HV 20d: 20.0%). Max pain ranged from $47.00 to $48.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.87.

Notable Days

  • 2013-02-15: Highest Volume — 34,264 contracts
  • 2013-02-25: Largest IV spike — 34.6% change
  • 2013-02-25: Highest IV Rank — 30.3%
  • 2013-02-25: Largest Expected Move — 9.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.13$49.07$51.71$50.25$50.41
Max Pain$47.84$47.00$48.00$48.00$48.00
ATM IV28.7%24.8%37.8%28.2%29.8%
Expected Move7.9%7.1%9.2%7.9%8.0%
HV 20d20.0%17.6%23.8%17.6%22.7%
HV 60d22.0%20.4%25.2%25.1%21.7%
IV Rank8.0%0.0%30.3%5.4%11.7%
IV Percentile13.4%0.0%67.9%6.0%14.3%
Term Structure5.4%4.1%6.6%4.7%6.6%
VWIV27.9%25.3%31.8%27.8%29.2%
Skew 25d2.2%0.8%2.8%2.5%2.3%
Skew 10d4.4%1.4%5.4%5.1%4.4%
Call IV 25d27.0%24.4%31.2%26.7%27.8%
Put IV 25d29.2%26.6%33.8%29.2%30.1%
Bid-Ask Spread %6.484.367.986.857.98
Gamma HHI0.170.130.270.140.15
Net GEX5.8M2.6M8.6M6.2M7.7M
Net DEX-225.8M-341.9M-126.9M-276.1M-206.7M
Net VEX-1.1M-1.3M-970.8K-1.2M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.181.941.180.52
Total Volume13,158.5264,70934,26412,54713,790
Total OI187,965.789148,683205,131205,131189,897

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-02-01$50.25$48.0028.2%7.9%17.6%5.4%27.8%2.5%4.7%6.2M-276.1M-1.2M1.186.85N/AN/A5,7606,787112,39592,736
2013-02-04$49.62$48.0032.7%8.0%18.3%16.2%28.4%2.8%4.4%3.6M-205.7M-1.2M1.147.56N/AN/A5,2766,005104,84189,432
2013-02-05$49.79$48.0031.3%7.8%18.0%12.8%28.2%2.6%4.8%3.6M-219.1M-1.1M0.336.22N/AN/A6,8122,257107,36991,074
2013-02-06$50.60$48.0026.3%7.8%18.1%0.7%27.2%2.5%4.9%5.0M-268.4M-1.1M1.946.79N/AN/A2,3344,529109,29691,699
2013-02-07$50.23$48.0027.1%7.8%18.7%2.7%27.4%2.5%5.4%3.3M-252.1M-1.1M0.906.84N/AN/A3,9103,529110,35393,728
2013-02-08$50.21$48.0027.1%7.8%18.8%2.7%27.7%2.7%5.1%6.6M-270.7M-1.1M1.036.81N/AN/A6,1056,301111,08993,902
2013-02-11$49.86$48.0026.8%7.7%18.3%2.1%27.3%2.5%5.2%8.6M-254.0M-1.1M1.225.19N/AN/A3,2633,977111,34287,172
2013-02-12$49.62$48.0026.2%7.5%18.4%0.7%26.7%2.3%5.6%8.6M-234.7M-1.1M1.534.62N/AN/A1,8632,846111,61188,282
2013-02-13$49.69$48.0024.8%7.1%18.4%0.0%25.6%2.3%6.6%8.3M-249.6M-1.1M1.516.95N/AN/A2,2833,451112,31289,520
2013-02-14$50.03$48.0025.0%7.2%18.5%0.4%25.3%1.9%6.5%8.0M-261.5M-1.0M0.754.36N/AN/A3,5752,698109,19389,602
2013-02-15$51.71$48.0026.0%7.4%19.5%2.6%26.6%1.3%5.8%5.8M-341.9M-987.0K0.206.39N/AN/A28,4665,798110,27890,834
2013-02-19$51.65$47.0025.5%7.3%19.6%1.5%26.4%0.8%5.9%5.8M-223.0M-970.8K0.386.05N/AN/A9,1123,49584,43364,250
2013-02-20$50.06$47.0026.9%7.7%22.6%4.9%27.3%1.6%5.6%4.0M-160.3M-1.0M0.626.00N/AN/A9,5375,91985,69965,730
2013-02-21$49.07$48.0028.0%8.0%23.8%7.3%28.5%2.1%5.3%3.8M-126.9M-1.0M0.186.24N/AN/A21,3883,89189,33266,911
2013-02-22$49.47$47.0028.1%8.0%22.3%7.6%29.4%1.7%5.6%2.6M-161.0M-1.3M0.426.22N/AN/A12,7155,346106,60268,342
2013-02-25$49.31$48.0037.8%9.2%21.5%30.3%31.8%2.6%4.1%3.8M-158.2M-1.3M0.387.10N/AN/A15,5645,938104,09169,678
2013-02-26$50.39$48.0034.7%8.9%22.9%23.2%31.0%2.2%4.5%6.8M-208.2M-1.3M1.637.58N/AN/A4,9278,015109,37172,810
2013-02-27$50.49$48.0033.1%8.3%22.7%19.3%28.9%2.5%6.2%7.5M-212.2M-1.3M0.617.44N/AN/A7,8014,749110,28975,855
2013-02-28$50.41$48.0029.8%8.0%22.7%11.7%29.2%2.3%6.6%7.7M-206.7M-1.3M0.527.98N/AN/A9,0854,705112,77477,123