SNDK Options History — July 2013

In July 2013, SNDK traded between $54.53 and $63.45. ATM implied volatility averaged 33.8%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 4.2% (HV 20d: 29.6%). Max pain ranged from $52.50 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.91.

Notable Days

2013-07-18: Highest Volume — 49,389 contracts
2013-07-10: Largest IV spike — 54.6% change
2013-07-10: Highest IV Rank — 68.9%
2013-07-03: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.03	$54.53	$63.45	$61.42	$55.12
Max Pain	$58.52	$52.50	$60.00	$52.50	$55.00
ATM IV	33.8%	24.8%	54.3%	29.4%	40.7%
Expected Move	9.9%	7.4%	12.5%	12.1%	9.2%
HV 20d	29.6%	25.1%	34.4%	30.7%	34.4%
HV 60d	29.2%	26.0%	32.0%	32.0%	29.5%
IV Rank	22.3%	0.0%	68.9%	10.7%	41.2%
IV Percentile	46.9%	0.4%	98.8%	23.0%	89.3%
Term Structure	-0.8%	-8.1%	6.3%	-6.7%	0.2%
VWIV	35.2%	26.3%	44.4%	43.2%	32.8%
Skew 25d	2.5%	-0.2%	4.5%	4.5%	-0.2%
Skew 10d	5.2%	-0.5%	9.3%	9.3%	-0.5%
Call IV 25d	33.9%	25.4%	42.6%	40.9%	33.0%
Put IV 25d	36.4%	27.1%	46.4%	45.3%	32.8%
Bid-Ask Spread %	5.36	3.20	8.34	6.65	5.95
Gamma HHI	0.22	0.13	0.67	0.25	0.13
Net GEX	10.0M	2.0M	39.5M	10.6M	4.8M
Net DEX	-283.2M	-538.6M	-2.8M	-385.4M	-35.4M
Net VEX	-1.6M	-1.7M	-1.5M	-1.7M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.91	0.23	2.49	0.80	0.45
Total Volume	21,646	3,858	49,389	13,961	15,626
Total OI	203,675.227	151,357	240,047	203,882	203,225

Daily Data (22 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
2013-07-01	$61.42	$52.50	29.4%	12.1%	30.7%	10.7%	43.2%	4.5%	-6.7%	10.6M	-385.4M	-1.7M	0.80	6.65	N/A	N/A	7,748	6,213	125,464	78,418
2013-07-02	$61.59	$55.00	24.8%	12.3%	30.3%	0.0%	44.4%	4.2%	-6.9%	10.6M	-395.7M	-1.7M	0.71	3.58	N/A	N/A	5,403	3,825	128,413	80,889
2013-07-03	$61.41	$55.00	27.7%	12.5%	30.0%	6.8%	44.3%	3.8%	-8.1%	10.6M	-388.0M	-1.7M	0.52	6.28	N/A	N/A	2,545	1,313	130,656	82,482
2013-07-05	$61.84	$60.00	28.7%	10.3%	29.6%	9.1%	36.2%	3.7%	-0.1%	12.3M	-410.7M	-1.7M	0.79	5.30	N/A	N/A	3,741	2,946	131,456	83,024
2013-07-08	$60.02	$60.00	34.5%	10.7%	31.7%	22.5%	37.5%	4.1%	-0.9%	9.7M	-322.7M	-1.7M	0.79	4.97	N/A	N/A	7,684	6,039	130,314	82,779
2013-07-09	$59.78	$60.00	35.1%	10.7%	30.4%	24.1%	37.6%	4.0%	-0.8%	9.7M	-313.2M	-1.7M	0.79	5.33	N/A	N/A	4,132	3,244	135,063	85,312
2013-07-10	$59.83	$60.00	54.3%	10.8%	30.2%	68.9%	39.1%	4.1%	-1.8%	10.2M	-318.5M	-1.7M	2.49	4.86	N/A	N/A	3,299	8,212	136,173	84,885
2013-07-11	$60.78	$60.00	37.4%	10.7%	30.6%	29.5%	37.0%	4.2%	-1.6%	10.7M	-370.0M	-1.7M	1.98	4.25	N/A	N/A	3,495	6,908	136,667	87,636
2013-07-12	$60.90	$60.00	37.3%	10.7%	30.5%	29.2%	37.8%	4.1%	-1.8%	7.9M	-375.6M	-1.6M	0.62	4.04	N/A	N/A	4,386	2,717	136,715	88,145
2013-07-15	$61.30	$60.00	37.0%	10.6%	30.2%	28.5%	38.5%	3.5%	-1.9%	11.7M	-398.3M	-1.6M	1.18	3.20	N/A	N/A	6,203	7,290	133,848	85,243
2013-07-16	$59.50	$60.00	37.6%	10.8%	28.7%	33.3%	38.2%	3.0%	-1.8%	11.6M	-323.9M	-1.5M	1.14	3.94	N/A	N/A	5,686	6,509	135,101	83,337
2013-07-17	$59.44	$57.50	38.1%	10.9%	26.3%	34.5%	38.7%	3.5%	-2.5%	11.5M	-318.0M	-1.5M	1.30	8.34	N/A	N/A	16,611	21,560	137,093	83,332
2013-07-18	$61.20	$57.50	28.4%	8.1%	27.5%	9.2%	28.8%	1.7%	4.1%	19.7M	-427.0M	-1.5M	0.68	5.71	N/A	N/A	29,426	19,963	140,550	93,429
2013-07-19	$62.71	$60.00	27.6%	7.9%	25.3%	7.1%	28.2%	1.5%	6.3%	39.5M	-538.6M	-1.6M	0.31	4.89	N/A	N/A	31,075	9,700	144,625	95,422
2013-07-22	$63.45	$60.00	27.3%	7.8%	25.1%	6.3%	27.7%	1.7%	1.8%	7.1M	-285.9M	-1.6M	0.57	4.82	N/A	N/A	11,017	6,305	94,243	57,114
2013-07-23	$62.18	$60.00	25.8%	7.4%	25.2%	2.5%	26.3%	1.7%	1.5%	6.2M	-247.2M	-1.6M	0.72	6.09	N/A	N/A	4,783	3,424	100,108	59,707
2013-07-24	$60.73	$60.00	28.5%	8.2%	26.8%	9.6%	28.6%	1.2%	1.2%	5.1M	-188.5M	-1.6M	1.59	4.90	N/A	N/A	11,524	18,327	100,361	61,571
2013-07-25	$60.54	$60.00	29.1%	8.3%	26.2%	11.1%	29.9%	0.2%	1.6%	4.1M	-166.5M	-1.7M	0.23	7.27	N/A	N/A	33,327	7,604	105,380	75,831
2013-07-26	$57.00	$60.00	33.2%	8.9%	33.2%	21.8%	31.7%	1.0%	1.2%	2.1M	-3.7M	-1.5M	0.75	7.31	N/A	N/A	27,942	20,860	98,777	80,466
2013-07-29	$55.40	$57.50	39.0%	9.2%	34.0%	36.9%	33.0%	-0.1%	-0.4%	2.0M	-15.6M	-1.5M	0.75	5.44	N/A	N/A	18,572	13,925	103,608	75,697
2013-07-30	$54.53	$57.50	42.8%	9.7%	34.0%	46.7%	34.7%	0.1%	-0.5%	2.6M	-2.8M	-1.5M	0.92	4.85	N/A	N/A	23,450	21,653	111,695	76,601
2013-07-31	$55.12	$55.00	40.7%	9.2%	34.4%	41.2%	32.8%	-0.2%	0.2%	4.8M	-35.4M	-1.6M	0.45	5.95	N/A	N/A	10,796	4,830	120,385	82,840