SNDK Options History — March 2013

In March 2013, SNDK traded between $50.29 and $55.33. ATM implied volatility averaged 32.4%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 13.3% (HV 20d: 19.1%). Max pain ranged from $45.00 to $48.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2013-03-12: Highest Volume — 25,933 contracts
2013-03-14: Largest IV spike — 28.6% change
2013-03-28: Highest IV Rank — 31.2%
2013-03-28: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$53.58	$50.29	$55.33	$50.29	$54.96
Max Pain	$46.20	$45.00	$48.00	$48.00	$47.00
ATM IV	32.4%	24.8%	38.2%	29.5%	38.2%
Expected Move	9.9%	8.3%	10.9%	8.3%	10.9%
HV 20d	19.1%	13.3%	22.4%	22.0%	13.7%
HV 60d	19.9%	18.9%	21.7%	21.7%	18.9%
IV Rank	17.7%	0.0%	31.2%	11.0%	31.2%
IV Percentile	35.0%	0.0%	69.8%	13.9%	69.8%
Term Structure	-2.2%	-5.4%	6.0%	6.0%	-5.4%
VWIV	35.0%	29.1%	39.0%	29.1%	38.7%
Skew 25d	3.9%	2.2%	4.4%	2.2%	4.4%
Skew 10d	7.7%	6.0%	8.9%	6.0%	8.6%
Call IV 25d	33.2%	28.4%	36.5%	28.4%	36.5%
Put IV 25d	37.1%	30.6%	40.9%	30.6%	40.9%
Bid-Ask Spread %	5.30	3.52	7.18	7.18	5.55
Gamma HHI	0.24	0.17	0.57	0.19	0.20
Net GEX	8.2M	4.7M	22.2M	6.3M	5.3M
Net DEX	-299.9M	-403.8M	-200.3M	-200.3M	-302.2M
Net VEX	-1.4M	-1.5M	-1.3M	-1.4M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.24	1.15	0.53	0.60
Total Volume	11,315.8	5,187	25,933	10,866	7,779
Total OI	189,985.8	173,162	210,574	192,076	185,688

Daily Data (20 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2013-03-01	$50.29	$48.00	29.5%	8.3%	22.0%	11.0%	29.1%	2.2%	6.0%	6.3M	-200.3M	-1.4M	0.53	7.18	N/A	N/A	7,121	3,745	113,840	78,236
2013-03-04	$50.41	$45.00	32.4%	10.1%	22.0%	17.7%	34.8%	4.4%	-1.9%	4.9M	-202.7M	-1.3M	0.59	5.83	N/A	N/A	4,114	2,408	109,394	77,102
2013-03-05	$50.93	$45.00	33.9%	10.0%	21.7%	21.2%	34.5%	4.4%	-2.2%	6.3M	-232.1M	-1.3M	0.50	6.87	N/A	N/A	10,800	5,451	110,508	77,998
2013-03-06	$51.19	$45.00	29.3%	10.1%	21.7%	10.6%	35.2%	4.1%	-2.0%	8.0M	-249.1M	-1.4M	0.65	5.99	N/A	N/A	8,791	5,708	113,978	78,834
2013-03-07	$51.35	$46.00	28.2%	9.8%	21.0%	7.9%	35.6%	4.3%	-1.5%	8.0M	-254.1M	-1.4M	0.48	5.74	N/A	N/A	5,326	2,544	113,998	81,924
2013-03-08	$51.85	$46.00	25.5%	9.6%	21.0%	1.5%	33.9%	4.1%	-1.3%	10.2M	-279.6M	-1.4M	0.51	3.52	N/A	N/A	9,389	4,801	115,521	82,959
2013-03-11	$52.62	$46.00	26.8%	9.5%	21.5%	4.5%	33.8%	3.7%	-1.5%	10.4M	-296.3M	-1.3M	0.81	5.06	N/A	N/A	5,749	4,660	111,364	80,530
2013-03-12	$53.76	$46.00	26.0%	9.2%	22.2%	2.8%	33.5%	3.7%	-1.2%	10.6M	-341.5M	-1.3M	0.83	4.85	N/A	N/A	14,142	11,791	111,484	82,076
2013-03-13	$54.44	$46.00	24.8%	9.3%	22.2%	0.0%	32.9%	3.6%	-1.5%	10.2M	-372.3M	-1.4M	0.38	6.33	N/A	N/A	8,651	3,247	116,736	86,593
2013-03-14	$55.10	$47.00	31.9%	9.1%	22.3%	16.6%	32.6%	3.5%	-1.3%	10.2M	-400.3M	-1.4M	0.57	3.97	N/A	N/A	10,453	5,941	117,907	86,454
2013-03-15	$55.11	$47.00	32.5%	9.3%	22.4%	17.9%	32.7%	3.5%	-1.5%	22.2M	-403.8M	-1.4M	0.24	5.12	N/A	N/A	16,910	4,123	120,583	89,991
2013-03-18	$54.41	$46.00	33.2%	9.5%	20.6%	19.7%	33.5%	3.7%	-2.3%	5.8M	-282.1M	-1.4M	0.50	4.34	N/A	N/A	7,424	3,748	103,604	69,558
2013-03-19	$54.64	$46.00	34.8%	10.0%	20.5%	23.3%	34.9%	4.1%	-2.7%	6.0M	-290.0M	-1.5M	0.72	5.80	N/A	N/A	4,969	3,567	107,045	72,011
2013-03-20	$55.23	$46.00	35.4%	10.1%	16.3%	24.7%	35.3%	3.9%	-3.1%	6.4M	-314.6M	-1.5M	0.28	3.58	N/A	N/A	4,183	1,175	108,541	73,190
2013-03-21	$54.63	$46.00	35.3%	10.1%	14.7%	24.4%	36.3%	3.5%	-3.2%	6.1M	-293.5M	-1.5M	0.63	5.56	N/A	N/A	4,765	2,982	109,980	73,648
2013-03-22	$55.19	$46.00	36.8%	10.6%	14.7%	28.1%	37.9%	4.0%	-3.8%	4.7M	-325.1M	-1.5M	0.42	5.69	N/A	N/A	8,799	3,718	110,981	75,145
2013-03-25	$55.33	$46.00	38.0%	10.9%	14.4%	30.9%	39.0%	4.4%	-4.5%	7.5M	-320.3M	-1.5M	0.43	5.24	N/A	N/A	4,261	1,831	108,899	72,605
2013-03-26	$55.27	$47.00	37.6%	10.8%	13.3%	29.9%	37.9%	4.3%	-4.7%	8.1M	-324.9M	-1.5M	1.15	5.33	N/A	N/A	2,818	3,245	111,041	73,370
2013-03-27	$54.98	$47.00	37.8%	10.8%	13.7%	30.4%	38.7%	4.1%	-5.0%	7.3M	-312.3M	-1.5M	1.01	4.41	N/A	N/A	2,575	2,612	111,667	74,733
2013-03-28	$54.96	$47.00	38.2%	10.9%	13.7%	31.2%	38.7%	4.4%	-5.4%	5.3M	-302.2M	-1.4M	0.60	5.55	N/A	N/A	4,853	2,926	109,859	75,829