SNDK Options History — October 2013 In October 2013, SNDK traded between $60.07 and $70.80. ATM implied volatility averaged 32.5%, placing in the 22.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 8.1% (HV 20d: 24.5%). Max pain ranged from $55.00 to $67.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.70.
Notable Days 2013-10-17 : Highest Volume — 69,221 contracts2013-10-03 : Largest IV spike — 27.8% change2013-10-09 : Highest IV Rank — 47.7%2013-10-08 : Largest Expected Move — 10.1%Monthly Statistics Metric Avg Min Max Open Close Price $65.53 $60.07 $70.80 $60.07 $69.50 Max Pain $56.52 $55.00 $67.50 $67.50 $57.50 ATM IV 32.5% 25.6% 43.0% 29.6% 26.9% Expected Move 9.7% 9.2% 10.1% 9.9% 9.2% HV 20d 24.5% 15.2% 34.4% 17.5% 34.4% HV 60d 29.7% 27.7% 33.1% 29.8% 27.7% IV Rank 22.3% 3.7% 47.7% 13.2% 7.7% IV Percentile 46.7% 2.8% 95.6% 32.5% 9.1% Term Structure -1.7% -5.2% 0.5% 0.0% 0.2% VWIV 34.2% 32.0% 36.4% 34.5% 32.8% Skew 25d 2.0% 1.0% 3.2% 2.5% 1.5% Skew 10d 4.2% 1.1% 6.7% 6.5% 2.7% Call IV 25d 32.4% 24.9% 42.6% 34.1% 26.3% Put IV 25d 34.4% 26.7% 45.2% 36.6% 27.8% Bid-Ask Spread % 2.73 1.50 13.21 2.22 2.05 Gamma HHI 0.16 0.08 0.56 0.17 0.10 Net GEX 11.5M 5.0M 39.1M 10.4M 6.5M Net DEX -358.8M -743.3M -189.1M -189.1M -237.6M Net VEX -1.6M -1.8M -1.2M -1.7M -1.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.20 1.22 0.41 0.38 Total Volume 23,969.043 6,575 69,221 9,624 11,162 Total OI 246,097.565 197,394 291,155 236,624 218,133
Daily Data (23 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 2013-10-01 $60.07 $67.50 29.6% 9.9% 17.5% 13.2% 34.5% 2.5% 0.0% 10.4M -189.1M -1.7M 0.41 2.22 N/A N/A 6,805 2,819 127,020 109,604 2013-10-02 $61.48 $60.00 29.9% 9.9% 15.7% 14.1% 33.9% 2.1% -1.3% 12.7M -279.6M -1.8M 0.32 1.94 N/A N/A 15,585 5,044 130,190 110,991 2013-10-03 $61.54 $57.50 38.3% 9.9% 15.2% 35.5% 36.3% 1.1% -2.5% 13.6M -284.2M -1.8M 0.82 2.27 N/A N/A 9,242 7,564 131,888 113,259 2013-10-04 $62.69 $57.50 38.1% 9.9% 16.2% 35.1% 35.7% 2.6% -2.8% 12.9M -359.5M -1.7M 0.77 2.51 N/A N/A 25,722 19,878 134,700 117,338 2013-10-07 $62.28 $55.00 40.2% 10.0% 15.8% 40.4% 36.4% 2.5% -3.5% 10.2M -297.4M -1.8M 0.76 2.57 N/A N/A 3,727 2,848 135,929 124,140 2013-10-08 $61.16 $55.00 41.5% 10.1% 16.1% 43.7% 34.4% 2.8% -3.3% 9.0M -228.0M -1.8M 1.00 2.50 N/A N/A 4,535 4,519 137,178 125,098 2013-10-09 $61.48 $55.00 43.0% 10.0% 16.1% 47.7% 36.4% 2.6% -5.2% 9.3M -245.9M -1.8M 1.22 2.10 N/A N/A 3,577 4,378 138,481 126,828 2013-10-10 $62.26 $55.00 39.2% 10.0% 16.1% 38.0% 34.8% 3.0% -2.6% 10.7M -298.7M -1.7M 0.29 2.40 N/A N/A 10,537 3,076 139,177 128,869 2013-10-11 $62.17 $55.00 35.9% 9.8% 15.6% 29.4% 34.8% 2.7% -2.2% 8.6M -295.3M -1.7M 0.96 2.85 N/A N/A 13,570 13,043 140,040 129,485 2013-10-14 $63.03 $55.00 36.0% 9.9% 16.1% 29.7% 35.3% 3.2% -4.0% 12.0M -339.8M -1.6M 0.80 2.24 N/A N/A 7,304 5,836 136,142 128,310 2013-10-15 $62.69 $55.00 35.8% 9.8% 16.2% 35.9% 33.7% 2.9% -4.2% 12.0M -320.3M -1.6M 0.95 2.04 N/A N/A 6,594 6,270 138,356 129,969 2013-10-16 $62.94 $55.00 35.1% 9.7% 16.2% 33.8% 33.1% 2.6% -4.5% 13.5M -339.6M -1.6M 1.12 3.57 N/A N/A 24,571 27,458 141,273 132,144 2013-10-17 $68.50 $55.00 25.6% 9.4% 33.2% 3.7% 32.6% 1.8% 0.5% 13.5M -743.3M -1.2M 0.37 2.67 N/A N/A 50,507 18,714 145,145 139,651 2013-10-18 $68.73 $55.00 26.6% 9.5% 32.8% 6.7% 32.5% 1.7% 0.1% 15.0M -738.0M -1.3M 0.69 1.80 N/A N/A 26,220 18,104 147,741 143,414 2013-10-21 $69.71 $55.00 27.3% 9.4% 32.7% 9.1% 32.5% 1.8% -0.5% 5.0M -381.4M -1.3M 0.51 1.86 N/A N/A 11,553 5,885 87,785 109,609 2013-10-22 $69.32 $55.00 27.7% 9.4% 33.0% 10.4% 35.8% 1.3% -0.6% 7.0M -376.4M -1.4M 1.10 1.50 N/A N/A 12,481 13,774 92,930 112,823 2013-10-23 $68.24 $55.00 29.1% 9.5% 34.0% 14.8% 32.8% 1.1% -1.1% 5.4M -327.7M -1.5M 0.49 2.05 N/A N/A 16,147 7,859 97,119 115,660 2013-10-24 $69.41 $57.50 30.6% 9.6% 34.0% 19.5% 33.3% 1.8% -0.7% 12.6M -406.5M -1.5M 0.87 2.02 N/A N/A 15,466 13,515 104,793 118,403 2013-10-25 $69.02 $57.50 28.8% 9.4% 34.2% 13.9% 33.7% 1.5% -0.7% 39.1M -364.8M -1.5M 0.78 2.12 N/A N/A 13,471 10,521 106,449 126,160 2013-10-28 $70.22 $57.50 28.9% 9.4% 33.9% 14.1% 35.7% 1.5% -0.3% 7.1M -385.6M -1.5M 0.47 13.21 N/A N/A 8,125 3,844 99,522 123,813 2013-10-29 $70.80 $55.00 27.6% 9.3% 33.9% 9.9% 33.3% 1.0% 0.0% 9.1M -430.4M -1.5M 0.90 2.23 N/A N/A 10,520 9,495 103,657 125,192 2013-10-30 $69.86 $57.50 26.8% 9.2% 34.2% 7.2% 32.0% 1.2% 0.1% 8.7M -382.5M -1.6M 0.20 2.01 N/A N/A 32,797 6,626 106,675 129,161 2013-10-31 $69.50 $57.50 26.9% 9.2% 34.4% 7.7% 32.8% 1.5% 0.2% 6.5M -237.6M -1.5M 0.38 2.05 N/A N/A 8,090 3,072 86,688 131,445
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