SNDK Options History — September 2013

In September 2013, SNDK traded between $55.31 and $60.87. ATM implied volatility averaged 31.9%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 5.8% (HV 20d: 26.2%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2013-09-04: Highest Volume — 27,683 contracts
  • 2013-09-12: Largest IV spike — 28.5% change
  • 2013-09-04: Highest IV Rank — 37.0%
  • 2013-09-06: Largest Expected Move — 10.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.53$55.31$60.87$55.31$59.51
Max Pain$60.79$55.00$70.00$55.00$55.00
ATM IV31.9%24.5%39.1%34.1%28.6%
Expected Move9.7%8.6%10.1%8.7%9.9%
HV 20d26.2%17.4%30.5%28.0%17.4%
HV 60d31.7%30.4%33.8%33.2%30.4%
IV Rank18.6%0.0%37.0%24.1%10.7%
IV Percentile42.7%0.0%84.9%55.6%25.0%
Term Structure-0.2%-3.1%5.8%5.8%-0.8%
VWIV33.7%30.9%35.8%31.0%31.1%
Skew 25d2.3%1.1%3.2%1.1%3.2%
Skew 10d4.9%2.0%7.4%2.0%7.4%
Call IV 25d32.7%30.3%34.8%30.8%34.4%
Put IV 25d35.0%31.4%37.6%31.9%37.6%
Bid-Ask Spread %5.272.018.527.832.48
Gamma HHI0.190.140.260.160.18
Net GEX10.2M2.9M14.4M2.9M8.7M
Net DEX-207.2M-304.6M-25.1M-25.1M-151.1M
Net VEX-1.8M-1.9M-1.7M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.231.600.230.25
Total Volume13,457.73,73027,6834,0668,224
Total OI249,485.75219,151270,171235,865231,933

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$55.31$55.0034.1%8.7%28.0%24.1%31.0%1.1%5.8%2.9M-25.1M-1.7M0.237.83N/AN/A3,295771132,236103,629
2013-09-04$57.14$55.0039.1%9.1%30.4%37.0%32.2%2.3%4.5%6.4M-121.4M-1.8M0.396.51N/AN/A19,9837,700132,282103,796
2013-09-05$57.97$55.0031.8%8.6%30.5%18.2%30.9%1.1%5.6%9.9M-178.1M-1.9M0.537.85N/AN/A8,7714,678136,584105,678
2013-09-06$58.34$57.5029.8%10.1%29.8%13.0%35.2%2.5%-1.9%11.5M-209.8M-1.9M1.608.35N/AN/A9,18314,726139,221106,933
2013-09-09$59.31$57.5032.9%9.9%30.3%21.0%35.2%2.1%-2.3%9.4M-217.0M-1.9M1.367.52N/AN/A6,1548,375135,465115,850
2013-09-10$60.48$57.5032.4%10.0%30.4%19.6%35.1%1.9%-3.1%10.8M-283.8M-1.9M0.588.40N/AN/A16,2749,423137,433121,142
2013-09-11$60.69$57.5025.7%9.5%29.7%2.3%33.4%2.4%-1.8%12.4M-294.9M-1.9M1.188.52N/AN/A7,0868,344139,293123,262
2013-09-12$60.08$57.5033.0%9.5%29.7%21.4%33.5%2.5%-1.8%12.2M-253.5M-1.9M1.578.11N/AN/A5,4978,653140,798126,454
2013-09-13$60.87$57.5032.1%9.2%26.8%19.0%32.3%2.4%-0.7%14.4M-304.6M-1.9M0.597.67N/AN/A12,5947,416139,426130,745
2013-09-16$60.65$0.0033.7%10.0%26.9%23.1%33.7%1.8%-2.1%12.5M-282.1M-1.8M0.428.09N/AN/A10,8364,562137,074126,486
2013-09-17$60.45$70.0033.5%10.0%26.4%22.5%34.7%2.2%-1.9%13.1M-270.6M-1.8M0.963.39N/AN/A1,9061,824141,789128,094
2013-09-18$60.34$70.0033.2%10.0%26.5%21.8%34.5%2.2%-2.2%13.3M-264.6M-1.8M0.624.29N/AN/A3,4392,132140,543128,518
2013-09-19$60.02$70.0032.5%9.9%26.7%20.0%34.6%2.1%-1.4%13.6M-232.1M-1.8M0.602.01N/AN/A9,3645,643139,156127,524
2013-09-20$59.55$70.0032.1%9.9%26.3%19.1%32.1%2.4%-1.1%6.5M-156.2M-1.8M0.912.28N/AN/A3,9483,586140,071129,653
2013-09-23$59.44$70.0032.7%9.9%26.3%20.4%0.0%2.5%0.5%7.1M-149.6M-1.7M1.252.23N/AN/A6,0147,512116,237102,914
2013-09-24$60.10$70.0032.3%9.9%26.4%19.6%35.5%2.3%0.3%8.6M-188.7M-1.7M0.602.31N/AN/A6,2413,724119,879106,432
2013-09-25$60.29$60.0032.1%9.9%18.6%18.9%34.2%2.4%0.7%9.0M-198.6M-1.7M0.562.03N/AN/A8,4934,720122,037108,243
2013-09-26$60.07$55.0032.5%9.9%18.2%20.1%34.8%3.0%0.4%7.8M-180.6M-1.8M0.292.12N/AN/A6,9462,004126,003110,187
2013-09-27$59.94$55.0024.5%9.9%17.9%0.0%35.8%2.9%0.1%14.3M-181.4M-1.8M1.073.50N/AN/A4,3954,718126,199110,516
2013-09-30$59.51$55.0028.6%9.9%17.4%10.7%31.1%3.2%-0.8%8.7M-151.1M-1.7M0.252.48N/AN/A6,5581,666124,371107,562