SNDK Options History — June 2013

In June 2013, SNDK traded between $57.50 and $63.04. ATM implied volatility averaged 35.1%, placing in the 24.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 9.5% (HV 20d: 25.6%). Max pain ranged from $52.50 to $57.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 0.60.

Notable Days

2013-06-24: Highest Volume — 26,279 contracts
2013-06-13: Largest IV spike — 36.6% change
2013-06-24: Highest IV Rank — 39.4%
2013-06-24: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.42	$57.50	$63.04	$58.76	$61.10
Max Pain	$53.50	$52.50	$57.50	$57.50	$52.50
ATM IV	35.1%	26.4%	41.7%	31.0%	26.4%
Expected Move	10.5%	7.5%	12.0%	7.7%	11.7%
HV 20d	25.6%	20.6%	31.9%	21.1%	30.8%
HV 60d	30.0%	28.4%	32.2%	28.5%	32.0%
IV Rank	24.1%	3.7%	39.4%	14.4%	3.7%
IV Percentile	54.2%	4.0%	86.5%	29.0%	4.0%
Term Structure	-1.0%	-5.4%	9.5%	7.5%	-5.0%
VWIV	36.7%	26.5%	41.7%	27.5%	40.2%
Skew 25d	2.9%	1.5%	4.2%	2.0%	4.2%
Skew 10d	5.4%	3.9%	8.1%	4.7%	8.1%
Call IV 25d	35.7%	26.0%	40.4%	27.2%	38.5%
Put IV 25d	38.5%	27.9%	43.7%	29.2%	42.7%
Bid-Ask Spread %	6.31	4.49	8.89	5.71	7.63
Gamma HHI	0.30	0.24	0.37	0.32	0.27
Net GEX	9.5M	6.9M	11.5M	8.1M	10.4M
Net DEX	-323.7M	-501.3M	-222.1M	-282.8M	-384.3M
Net VEX	-1.6M	-1.8M	-1.5M	-1.6M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.60	0.33	1.16	0.51	0.69
Total Volume	12,215	4,356	26,279	13,178	7,889
Total OI	199,399.6	172,761	213,417	180,463	205,113

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
2013-06-03	$58.76	$57.50	31.0%	7.7%	21.1%	14.4%	27.5%	2.0%	7.5%	8.1M	-282.8M	-1.6M	0.51	5.71	N/A	N/A	8,741	4,437	109,958	70,505
2013-06-04	$58.14	$57.50	32.6%	7.6%	21.5%	18.1%	26.5%	1.5%	8.6%	8.7M	-265.5M	-1.6M	0.96	4.49	N/A	N/A	5,219	5,003	116,255	72,533
2013-06-05	$57.50	$57.50	33.2%	7.5%	21.6%	19.6%	26.7%	1.9%	9.5%	8.3M	-238.8M	-1.6M	0.79	5.49	N/A	N/A	3,970	3,135	119,204	75,026
2013-06-06	$58.50	$57.50	28.6%	7.8%	22.2%	8.9%	26.8%	2.0%	8.6%	9.5M	-286.3M	-1.7M	0.39	5.45	N/A	N/A	5,500	2,162	120,089	75,987
2013-06-07	$58.31	$52.50	27.3%	10.3%	20.6%	5.9%	34.9%	3.0%	-1.3%	9.7M	-283.9M	-1.7M	0.39	6.88	N/A	N/A	6,114	2,394	122,063	76,929
2013-06-10	$59.83	$52.50	29.7%	10.4%	22.2%	11.5%	36.5%	2.9%	-1.6%	10.2M	-346.4M	-1.6M	0.53	8.89	N/A	N/A	11,024	5,831	117,943	75,480
2013-06-11	$59.27	$52.50	30.9%	10.5%	22.2%	14.3%	37.3%	2.8%	-1.7%	10.3M	-328.5M	-1.7M	0.59	6.52	N/A	N/A	9,888	5,858	122,459	79,023
2013-06-12	$58.93	$52.50	27.2%	10.8%	22.1%	5.5%	37.9%	2.5%	-2.3%	9.2M	-304.1M	-1.7M	0.39	6.35	N/A	N/A	4,102	1,606	124,172	81,673
2013-06-13	$59.42	$52.50	37.1%	10.6%	22.1%	28.8%	38.0%	2.9%	-2.1%	11.1M	-334.0M	-1.7M	0.74	6.72	N/A	N/A	2,508	1,848	125,867	82,214
2013-06-14	$58.81	$52.50	37.3%	10.7%	22.2%	29.2%	37.7%	2.3%	-2.2%	9.0M	-298.0M	-1.6M	0.74	5.07	N/A	N/A	2,535	1,871	125,745	82,985
2013-06-17	$61.23	$52.50	38.9%	11.1%	25.2%	32.9%	39.6%	2.9%	-3.3%	10.4M	-423.8M	-1.6M	1.16	6.29	N/A	N/A	8,931	10,355	123,788	82,630
2013-06-18	$63.04	$52.50	39.2%	11.2%	25.2%	33.6%	40.0%	2.7%	-3.6%	10.6M	-501.3M	-1.5M	0.33	6.03	N/A	N/A	16,468	5,501	124,163	82,672
2013-06-19	$61.56	$52.50	38.3%	11.0%	26.9%	31.4%	39.1%	2.8%	-2.8%	11.5M	-444.4M	-1.6M	0.44	5.57	N/A	N/A	9,862	4,340	129,472	83,945
2013-06-20	$59.38	$52.50	40.7%	11.7%	30.1%	37.0%	41.1%	2.9%	-4.4%	8.2M	-320.0M	-1.6M	0.60	6.58	N/A	N/A	8,964	5,383	128,014	82,763
2013-06-21	$58.86	$52.50	40.0%	11.5%	30.3%	35.5%	40.7%	3.1%	-3.8%	7.8M	-294.8M	-1.6M	0.57	6.52	N/A	N/A	8,449	4,801	128,533	82,621
2013-06-24	$57.70	$52.50	41.7%	12.0%	31.2%	39.4%	41.7%	3.3%	-5.4%	6.9M	-222.1M	-1.5M	0.45	6.36	N/A	N/A	18,091	8,188	106,272	66,489
2013-06-25	$58.34	$52.50	41.5%	11.9%	31.4%	39.1%	40.9%	3.9%	-5.0%	8.7M	-255.6M	-1.7M	0.71	6.35	N/A	N/A	7,188	5,117	118,125	71,896
2013-06-26	$59.35	$52.50	40.2%	11.5%	31.9%	35.9%	40.6%	3.8%	-4.6%	9.7M	-304.9M	-1.7M	0.59	6.56	N/A	N/A	6,560	3,850	120,197	74,218
2013-06-27	$60.47	$52.50	40.6%	11.6%	31.1%	36.8%	40.4%	4.2%	-4.9%	11.2M	-354.9M	-1.7M	0.47	6.82	N/A	N/A	7,240	3,377	123,934	77,037
2013-06-28	$61.10	$52.50	26.4%	11.7%	30.8%	3.7%	40.2%	4.2%	-5.0%	10.4M	-384.3M	-1.8M	0.69	7.63	N/A	N/A	4,656	3,233	126,616	78,497