SNDK Options History — April 2013

In April 2013, SNDK traded between $52.02 and $58.62. ATM implied volatility averaged 33.2%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 10.1%. IV traded above realized volatility by 6.7% (HV 20d: 26.5%). Max pain ranged from $47.00 to $55.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 1.02.

Notable Days

  • 2013-04-17: Highest Volume — 99,806 contracts
  • 2013-04-10: Largest IV spike — 101.3% change
  • 2013-04-10: Highest IV Rank — 72.9%
  • 2013-04-03: Largest Expected Move — 13.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$54.83$52.02$58.62$54.55$52.44
Max Pain$52.41$47.00$55.00$47.00$52.50
ATM IV33.2%26.5%56.0%30.1%34.2%
Expected Move10.1%7.4%13.2%11.9%8.4%
HV 20d26.5%14.1%39.7%14.1%39.7%
HV 60d22.4%18.3%27.2%18.3%27.2%
IV Rank19.7%3.8%72.9%12.3%22.0%
IV Percentile34.3%3.6%99.2%15.9%43.3%
Term Structure-2.8%-10.3%3.8%-7.8%-1.0%
VWIV35.9%26.8%46.5%44.1%30.4%
Skew 25d3.6%2.1%5.4%4.7%3.4%
Skew 10d8.0%4.6%11.0%9.2%8.3%
Call IV 25d34.2%26.1%42.9%40.2%28.9%
Put IV 25d37.8%28.3%47.9%44.9%32.3%
Bid-Ask Spread %5.002.6611.384.705.42
Gamma HHI0.230.170.550.200.17
Net GEX6.1M-13.9M10.1M7.7M4.6M
Net DEX-271.6M-477.8M-105.8M-291.8M-112.4M
Net VEX-1.5M-1.6M-1.4M-1.4M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.202.512.511.10
Total Volume23,252.4096,34499,8068,45214,348
Total OI204,793.864168,603284,732184,140188,836

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$54.55$47.0030.1%11.9%14.1%12.3%44.1%4.7%-7.8%7.7M-291.8M-1.4M2.514.70N/AN/A2,4086,044110,12074,020
2013-04-02$54.42$47.0029.5%11.9%14.3%11.0%42.7%4.9%-7.8%7.3M-285.5M-1.4M1.546.97N/AN/A5,7668,904110,76276,202
2013-04-03$53.65$47.0034.4%13.2%15.4%22.4%45.6%5.4%-10.3%6.7M-252.7M-1.4M2.252.89N/AN/A3,2497,294112,55375,766
2013-04-04$54.78$47.0026.5%13.0%16.7%3.8%46.5%5.0%-10.1%9.9M-300.0M-1.4M1.335.84N/AN/A6,5218,672113,43477,644
2013-04-05$54.76$55.0027.2%10.2%16.8%5.5%36.8%4.7%-2.0%6.7M-295.5M-1.5M0.713.06N/AN/A7,2185,134117,33679,292
2013-04-08$55.59$52.5030.8%10.6%17.2%14.1%36.7%4.9%-2.9%8.1M-336.8M-1.4M0.742.82N/AN/A9,0196,653115,87676,078
2013-04-09$56.31$52.5027.8%10.1%17.0%7.0%36.5%4.6%-2.6%8.7M-372.5M-1.5M0.742.66N/AN/A5,4293,994122,08177,720
2013-04-10$58.32$52.5056.0%10.4%19.4%72.9%36.3%4.4%-3.2%9.0M-458.6M-1.5M1.083.56N/AN/A16,23717,513124,23478,983
2013-04-11$58.62$55.0037.0%10.6%19.2%28.5%36.4%4.4%-3.8%9.2M-477.8M-1.5M0.794.75N/AN/A8,2666,493130,31087,740
2013-04-12$57.71$55.0037.3%10.7%20.1%29.3%37.9%3.6%-3.5%10.1M-455.7M-1.5M1.514.17N/AN/A8,36912,671134,09291,268
2013-04-15$55.99$55.0040.9%11.7%23.2%37.6%40.0%2.9%-5.1%6.8M-358.2M-1.6M0.426.43N/AN/A15,9116,739130,66990,713
2013-04-16$57.49$55.0039.6%11.3%24.3%34.5%39.4%2.8%-4.9%9.1M-430.7M-1.6M0.496.14N/AN/A12,6196,203139,18893,091
2013-04-17$55.72$55.0041.8%12.0%27.1%39.8%41.5%2.1%-5.1%8.0M-345.2M-1.6M0.6411.38N/AN/A60,92438,882143,53595,491
2013-04-18$52.02$55.0034.0%9.8%36.4%21.5%34.5%2.5%2.4%-2.5M-119.8M-1.5M0.613.55N/AN/A50,94330,846170,518107,280
2013-04-19$52.31$55.0030.8%8.8%36.4%14.0%31.0%2.9%3.8%-13.9M-105.8M-1.5M1.025.95N/AN/A18,96819,266175,157109,575
2013-04-22$52.13$52.5029.0%8.3%36.1%9.7%29.0%4.2%-0.1%4.0M-106.5M-1.4M0.584.16N/AN/A9,5015,476111,76556,838
2013-04-23$53.42$52.5030.0%8.6%37.3%12.2%30.1%2.6%-0.3%6.3M-154.9M-1.5M0.376.18N/AN/A13,2324,949115,75758,039
2013-04-24$54.26$52.5028.2%8.1%37.8%8.0%29.5%2.7%0.3%7.9M-189.5M-1.6M0.204.58N/AN/A8,9901,812122,13459,757
2013-04-25$53.69$52.5027.7%7.9%38.0%6.8%27.5%2.2%0.5%7.3M-172.7M-1.5M0.484.65N/AN/A9,3464,510123,20160,566
2013-04-26$53.90$52.5026.7%7.4%38.0%4.5%26.8%2.3%1.3%7.0M-175.9M-1.5M1.975.22N/AN/A2,1354,209122,34863,132
2013-04-29$54.17$52.5031.3%8.1%38.0%15.3%29.7%3.0%-0.4%6.9M-177.3M-1.5M1.324.81N/AN/A6,8409,050120,38961,975
2013-04-30$52.44$52.5034.2%8.4%39.7%22.0%30.4%3.4%-1.0%4.6M-112.4M-1.5M1.105.42N/AN/A6,8317,517124,87763,959