SNDK Options History — December 2013

In December 2013, SNDK traded between $65.58 and $70.54. ATM implied volatility averaged 27.8%, placing in the 11.8% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 6.0% (HV 20d: 21.8%). Max pain ranged from $55.00 to $57.50. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.97.

Notable Days

  • 2013-12-20: Highest Volume — 20,891 contracts
  • 2013-12-23: Largest IV spike — 19.6% change
  • 2013-12-27: Highest IV Rank — 33.4%
  • 2013-12-12: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$68.55$65.58$70.54$68.24$70.54
Max Pain$56.67$55.00$57.50$55.00$57.50
ATM IV27.8%24.3%34.7%25.0%34.6%
Expected Move9.3%9.2%9.4%9.2%9.2%
HV 20d21.8%19.2%24.4%22.4%19.4%
HV 60d26.0%25.0%26.6%25.3%26.0%
IV Rank11.8%1.1%33.4%3.2%33.1%
IV Percentile26.0%1.2%74.6%4.4%74.6%
Term Structure1.4%-3.2%10.3%0.7%-3.2%
VWIV32.5%30.2%35.8%30.9%33.5%
Skew 25d2.3%1.1%4.5%1.1%4.0%
Skew 10d4.0%1.5%8.0%2.0%6.7%
Call IV 25d26.9%23.0%33.1%24.6%32.6%
Put IV 25d29.2%24.9%37.6%25.7%36.6%
Bid-Ask Spread %4.742.148.212.145.59
Gamma HHI0.190.130.250.170.22
Net GEX5.4M-1.3M9.9M4.0M8.4M
Net DEX-229.6M-325.9M-66.8M-203.2M-325.9M
Net VEX-1.4M-1.5M-1.1M-1.4M-1.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.970.492.750.750.53
Total Volume9,090.8573,56720,8914,9458,428
Total OI213,685.143202,925226,314202,925212,482

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$68.24$55.0025.0%9.2%22.4%3.2%0.0%1.1%0.7%4.0M-203.2M-1.4M0.752.14N/AN/A2,8202,12584,572118,353
2013-12-03$67.90$55.0025.3%9.2%22.0%3.9%30.9%1.2%0.6%3.4M-188.6M-1.4M1.105.84N/AN/A3,1423,46786,099119,712
2013-12-04$67.40$55.0025.2%9.3%21.8%3.8%30.2%1.3%0.5%2.0M-164.0M-1.5M0.574.51N/AN/A3,5322,00787,123121,085
2013-12-05$66.86$55.0025.1%9.3%21.5%3.5%31.1%1.1%0.6%367.6K-135.8M-1.5M0.942.50N/AN/A1,8351,73287,983122,292
2013-12-06$67.97$55.0024.3%9.4%21.4%1.1%32.6%1.1%0.7%5.1M-201.5M-1.4M1.445.47N/AN/A2,7894,01388,334122,502
2013-12-09$69.07$55.0025.2%9.3%21.3%3.7%30.8%1.5%0.8%5.5M-248.9M-1.4M0.773.02N/AN/A9,4557,31186,424120,347
2013-12-10$68.96$55.0024.8%9.3%20.8%2.5%31.6%1.1%0.8%6.2M-252.9M-1.4M0.603.10N/AN/A3,4132,03990,251124,160
2013-12-11$67.37$57.5025.2%9.4%22.4%3.9%31.7%1.5%0.9%1.9M-169.5M-1.5M0.673.11N/AN/A4,4642,98390,712124,919
2013-12-12$65.58$57.5026.7%9.4%23.6%8.3%33.6%1.5%-0.2%-1.3M-66.8M-1.5M0.756.56N/AN/A8,2376,19291,829125,481
2013-12-13$66.27$57.5026.1%9.4%23.9%6.5%33.7%1.7%0.2%334.6K-109.1M-1.5M0.492.92N/AN/A5,4842,71393,494126,371
2013-12-16$66.97$57.5026.5%9.4%24.4%7.9%35.8%1.8%5.9%2.5M-157.6M-1.4M0.874.43N/AN/A2,7492,39291,542123,600
2013-12-17$68.12$57.5026.7%9.4%24.4%8.3%32.4%2.8%5.8%6.0M-225.6M-1.4M1.045.24N/AN/A7,5597,89592,547123,351
2013-12-18$68.77$57.5024.9%9.3%24.2%2.7%32.7%2.8%7.1%8.8M-269.7M-1.3M1.045.93N/AN/A3,2533,39096,732127,076
2013-12-19$68.66$57.5025.5%9.3%22.5%4.7%31.8%2.5%10.3%9.5M-266.5M-1.3M0.965.47N/AN/A4,8704,68695,895126,607
2013-12-20$69.51$57.5025.8%9.3%22.1%5.7%33.5%2.3%9.7%9.9M-313.5M-1.3M0.744.43N/AN/A11,9848,90797,946128,368
2013-12-23$70.26$57.5030.9%9.2%22.3%21.5%32.1%3.0%-3.0%8.9M-308.1M-1.3M2.755.02N/AN/A4,66212,83088,830119,619
2013-12-24$70.34$57.5032.3%9.2%20.2%25.8%34.2%3.8%-3.2%7.8M-309.9M-1.2M0.805.21N/AN/A3,7953,03290,330120,432
2013-12-26$70.49$57.5034.2%9.2%19.5%31.9%33.9%4.4%-1.8%7.2M-313.5M-1.2M1.868.21N/AN/A1,8043,35391,549122,651
2013-12-27$70.24$57.5034.7%9.2%19.2%33.4%32.8%4.5%-1.3%8.6M-297.5M-1.2M1.115.90N/AN/A4,8365,35092,032123,711
2013-12-30$70.07$57.5034.5%9.2%19.3%33.0%32.0%3.8%-3.0%7.9M-293.2M-1.2M0.665.03N/AN/A3,2352,14589,911120,134
2013-12-31$70.54$57.5034.6%9.2%19.4%33.1%33.5%4.0%-3.2%8.4M-325.9M-1.1M0.535.59N/AN/A5,5122,91691,182121,300