SNDK Options History — November 2013

In November 2013, SNDK traded between $65.85 and $70.16. ATM implied volatility averaged 25.6%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded below realized volatility by 1.6% (HV 20d: 27.2%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.97.

Notable Days

  • 2013-11-01: Highest Volume — 14,519 contracts
  • 2013-11-08: Largest IV drop — 3.6% change
  • 2013-11-06: Highest IV Rank — 9.7%
  • 2013-11-20: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.27$65.85$70.16$68.97$68.15
Max Pain$55.75$55.00$60.00$57.50$55.00
ATM IV25.6%24.0%27.5%26.7%24.6%
Expected Move9.3%9.1%9.4%9.2%9.1%
HV 20d27.2%19.2%35.4%34.4%22.6%
HV 60d26.6%25.3%27.7%27.6%25.3%
IV Rank3.9%0.0%9.7%6.9%2.0%
IV Percentile4.7%0.0%16.7%7.5%2.4%
Term Structure0.4%-0.2%1.3%0.4%0.0%
VWIV33.5%30.0%37.4%31.8%31.3%
Skew 25d1.3%0.9%1.7%1.3%1.4%
Skew 10d2.5%1.4%3.5%2.8%1.9%
Call IV 25d25.1%23.6%27.0%26.2%24.0%
Put IV 25d26.5%24.8%28.5%27.5%25.4%
Bid-Ask Spread %2.221.913.172.093.17
Gamma HHI0.150.060.510.310.22
Net GEX620.9K-17.1M9.7M-8.5M9.7M
Net DEX-189.1M-287.4M-95.5M-209.1M-210.0M
Net VEX-1.5M-1.6M-1.4M-1.6M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.491.640.770.55
Total Volume9,648.054,95114,51914,5195,828
Total OI206,216.65185,654221,131221,131207,536

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$68.97$57.5026.7%9.2%34.4%6.9%31.8%1.3%0.4%-8.5M-209.1M-1.6M0.772.09N/AN/A8,1876,33288,593132,538
2013-11-04$69.78$60.0026.8%9.3%34.3%7.3%35.4%1.5%-0.2%4.3M-242.6M-1.5M0.502.26N/AN/A4,3922,18181,654125,500
2013-11-05$68.98$60.0026.9%9.2%33.7%7.6%34.4%1.6%-0.2%3.3M-212.5M-1.6M1.422.15N/AN/A2,6743,80783,809126,706
2013-11-06$68.12$57.5027.5%9.3%34.4%9.7%35.4%1.4%-0.0%1.5M-174.2M-1.6M1.382.12N/AN/A4,7356,55184,253126,593
2013-11-07$66.90$55.0027.2%9.3%35.2%8.6%32.7%1.3%-0.0%-1.5M-105.4M-1.6M1.642.16N/AN/A5,2708,65185,135129,591
2013-11-08$68.05$55.0026.2%9.3%35.4%5.5%32.8%1.3%0.5%-17.1M-158.3M-1.5M0.982.24N/AN/A3,6933,63085,735132,170
2013-11-11$68.95$55.0026.2%9.3%35.4%5.5%35.4%1.3%0.0%3.0M-217.0M-1.5M0.992.29N/AN/A3,3453,32582,513126,226
2013-11-12$69.09$55.0026.4%9.3%35.3%6.2%32.3%1.1%0.1%3.5M-224.3M-1.5M0.572.12N/AN/A5,3473,05384,164127,010
2013-11-13$69.90$55.0025.9%9.3%35.3%4.4%32.4%1.2%0.1%5.0M-267.3M-1.4M0.532.30N/AN/A3,2461,70585,385128,452
2013-11-14$70.16$55.0025.5%9.3%19.2%3.1%32.5%1.7%0.2%3.9M-279.3M-1.4M0.862.40N/AN/A6,0765,24483,948127,353
2013-11-15$70.05$55.0025.3%9.3%19.2%2.5%36.1%1.5%0.4%-13.3M-287.4M-1.4M0.732.21N/AN/A5,9724,38985,941129,010
2013-11-18$68.66$55.0025.1%9.3%19.9%2.2%37.4%1.6%1.0%2.7M-196.6M-1.4M0.492.04N/AN/A8,3494,12876,048109,606
2013-11-19$67.81$55.0025.1%9.4%20.3%2.0%31.8%1.4%1.1%1.9M-163.9M-1.4M1.161.98N/AN/A4,2244,89279,455111,515
2013-11-20$66.25$55.0025.2%9.4%21.2%2.3%31.4%1.4%0.9%30.4K-95.5M-1.5M0.692.14N/AN/A8,0525,54280,854113,912
2013-11-21$67.40$55.0024.4%9.3%21.2%0.0%33.1%1.3%0.4%2.4M-151.6M-1.4M1.042.01N/AN/A5,5655,77783,920116,045
2013-11-22$67.40$55.0024.2%9.3%21.1%0.0%33.3%1.2%-0.1%4.7M-154.2M-1.4M1.531.91N/AN/A2,4983,81285,343117,686
2013-11-25$65.85$55.0024.6%9.1%21.3%1.2%30.0%1.2%1.3%262.3K-97.0M-1.4M1.372.62N/AN/A5,4137,44280,432112,427
2013-11-26$67.02$55.0024.3%9.2%22.2%0.4%36.0%0.9%1.0%1.8M-146.3M-1.5M0.631.96N/AN/A5,5483,52184,013118,080
2013-11-27$67.88$55.0024.0%9.2%22.5%0.0%0.0%1.2%0.3%4.7M-190.4M-1.5M1.532.24N/AN/A4,1786,38785,891119,291
2013-11-29$68.15$55.0024.6%9.1%22.6%2.0%31.3%1.4%0.0%9.7M-210.0M-1.5M0.553.17N/AN/A3,7562,07286,542120,994