SNDK Options History — August 2013

In August 2013, SNDK traded between $54.03 and $58.42. ATM implied volatility averaged 30.2%, placing in the 13.9% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 7.3% (HV 20d: 37.5%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2013-08-01: Highest Volume — 58,936 contracts
2013-08-07: Largest IV drop — 20.1% change
2013-08-06: Highest IV Rank — 35.7%
2013-08-07: Largest Expected Move — 9.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.72	$54.03	$58.42	$58.42	$55.18
Max Pain	$55.91	$55.00	$57.50	$55.00	$55.00
ATM IV	30.2%	27.2%	38.6%	32.5%	28.9%
Expected Move	8.6%	7.8%	9.3%	8.5%	8.5%
HV 20d	37.5%	28.1%	41.1%	41.1%	28.3%
HV 60d	31.9%	31.2%	33.3%	31.6%	33.1%
IV Rank	13.9%	6.1%	35.7%	19.9%	10.7%
IV Percentile	31.0%	9.5%	82.1%	42.1%	25.8%
Term Structure	4.6%	0.9%	5.9%	0.9%	5.7%
VWIV	30.4%	27.4%	33.0%	30.9%	30.0%
Skew 25d	1.3%	-0.8%	2.5%	-0.1%	1.2%
Skew 10d	2.2%	-1.3%	4.4%	0.3%	2.6%
Call IV 25d	30.2%	27.1%	32.8%	31.1%	30.0%
Put IV 25d	31.5%	28.8%	34.2%	31.0%	31.1%
Bid-Ask Spread %	7.60	5.00	10.89	5.00	8.22
Gamma HHI	0.15	0.11	0.44	0.15	0.20
Net GEX	6.1M	155.4K	31.2M	8.7M	155.4K
Net DEX	-89.9M	-189.1M	36.5M	-189.1M	-17.1M
Net VEX	-1.9M	-2.1M	-1.7M	-1.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.18	1.11	0.76	0.33
Total Volume	17,515.773	4,994	58,936	58,936	11,905
Total OI	238,170.909	208,170	265,209	208,170	239,684

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
2013-08-01	$58.42	$55.00	32.5%	8.5%	41.1%	19.9%	30.9%	-0.1%	0.9%	8.7M	-189.1M	-1.7M	0.76	5.00	N/A	N/A	33,562	25,374	123,634	84,536
2013-08-02	$58.30	$55.00	33.1%	8.7%	41.0%	21.4%	30.8%	-0.8%	1.3%	6.7M	-182.9M	-1.9M	0.40	7.54	N/A	N/A	19,923	8,055	132,952	99,430
2013-08-05	$57.42	$57.50	37.0%	9.0%	40.0%	31.6%	31.6%	1.1%	3.7%	5.0M	-105.2M	-1.9M	1.11	9.39	N/A	N/A	8,362	9,318	129,647	98,514
2013-08-06	$57.76	$57.50	38.6%	9.1%	40.1%	35.7%	31.7%	0.6%	3.9%	4.5M	-120.4M	-2.0M	0.23	6.31	N/A	N/A	12,990	2,967	132,415	103,517
2013-08-07	$57.03	$57.50	30.8%	9.3%	40.3%	15.6%	33.0%	1.4%	3.8%	3.4M	-93.2M	-2.0M	0.52	9.38	N/A	N/A	19,250	10,037	139,837	104,697
2013-08-08	$58.15	$57.50	29.4%	9.1%	40.5%	12.0%	32.2%	1.4%	4.5%	7.2M	-165.0M	-2.1M	0.79	9.47	N/A	N/A	7,671	6,086	142,259	110,749
2013-08-09	$58.01	$57.50	27.4%	8.8%	40.5%	6.8%	31.3%	1.5%	4.7%	31.2M	-163.9M	-2.1M	0.88	7.96	N/A	N/A	8,228	7,260	144,294	111,639
2013-08-12	$57.18	$57.50	28.3%	8.6%	40.6%	9.1%	30.8%	1.9%	5.3%	3.4M	-96.6M	-2.0M	0.59	10.02	N/A	N/A	7,705	4,576	139,854	109,810
2013-08-13	$58.38	$57.50	28.5%	8.7%	40.2%	9.5%	30.4%	1.0%	5.6%	6.5M	-177.9M	-2.1M	0.18	6.60	N/A	N/A	17,175	3,087	143,308	111,714
2013-08-14	$57.86	$57.50	27.9%	8.6%	40.3%	8.0%	32.4%	1.1%	5.6%	7.3M	-162.2M	-2.1M	0.28	7.31	N/A	N/A	11,094	3,089	151,589	112,539
2013-08-15	$55.94	$55.00	30.4%	8.7%	40.2%	14.6%	30.4%	2.1%	4.1%	3.4M	-35.2M	-2.0M	0.38	8.07	N/A	N/A	21,881	8,347	151,571	112,644
2013-08-16	$55.81	$55.00	29.4%	8.4%	38.7%	11.8%	29.1%	2.5%	4.8%	7.8M	-11.4M	-1.9M	1.01	7.12	N/A	N/A	7,784	7,834	149,408	115,801
2013-08-19	$55.20	$55.00	29.4%	8.4%	38.2%	11.9%	30.0%	2.2%	4.9%	3.1M	-21.3M	-1.8M	0.80	6.26	N/A	N/A	8,730	7,022	120,641	95,271
2013-08-20	$55.64	$55.00	29.0%	8.3%	38.2%	10.8%	29.3%	1.5%	5.0%	4.3M	-44.4M	-1.9M	0.68	5.84	N/A	N/A	4,295	2,930	125,816	99,278
2013-08-21	$56.03	$55.00	29.1%	8.3%	37.8%	11.2%	28.9%	1.7%	5.3%	5.1M	-64.0M	-1.9M	0.55	6.70	N/A	N/A	4,389	2,401	126,124	99,434
2013-08-22	$57.06	$55.00	27.7%	7.9%	38.6%	7.5%	28.0%	2.3%	5.8%	6.7M	-110.8M	-1.9M	0.36	10.89	N/A	N/A	3,683	1,311	126,485	100,120
2013-08-23	$56.82	$55.00	27.2%	7.8%	32.2%	6.1%	27.4%	1.7%	5.9%	6.1M	-101.2M	-1.9M	0.27	9.28	N/A	N/A	9,558	2,599	126,805	100,612
2013-08-26	$56.64	$55.00	27.9%	8.0%	30.5%	7.9%	28.6%	1.8%	5.6%	5.2M	-80.7M	-1.8M	0.76	7.18	N/A	N/A	3,375	2,550	126,262	99,242
2013-08-27	$54.03	$55.00	30.4%	8.7%	34.5%	14.6%	31.7%	1.4%	5.0%	1.2M	36.5M	-1.7M	0.37	6.55	N/A	N/A	14,603	5,391	127,852	100,416
2013-08-28	$55.02	$55.00	30.5%	8.7%	34.9%	14.8%	30.5%	0.8%	5.5%	2.3M	-10.8M	-1.8M	0.20	6.30	N/A	N/A	10,579	2,165	131,462	102,254
2013-08-29	$55.85	$55.00	30.1%	8.6%	28.1%	13.7%	30.1%	1.0%	5.3%	4.3M	-62.0M	-1.8M	0.47	5.76	N/A	N/A	11,018	5,188	133,637	102,007
2013-08-30	$55.18	$55.00	28.9%	8.5%	28.3%	10.7%	30.0%	1.2%	5.7%	155.4K	-17.1M	-1.8M	0.33	8.22	N/A	N/A	8,978	2,927	134,150	105,534