SNDK Options History — January 2014

In January 2014, SNDK traded between $68.35 and $73.69. ATM implied volatility averaged 34.1%, placing in the 31.4% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 7.5% (HV 20d: 26.6%). Max pain ranged from $57.50 to $65.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2014-01-08: Highest Volume — 65,341 contracts
  • 2014-01-23: Largest IV drop — 27.1% change
  • 2014-01-15: Highest IV Rank — 55.9%
  • 2014-01-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.99$68.35$73.69$69.38$69.55
Max Pain$60.95$57.50$65.00$57.50$62.50
ATM IV34.1%25.9%41.9%34.9%27.4%
Expected Move9.2%9.0%9.3%9.2%9.2%
HV 20d26.6%20.0%30.8%20.3%30.4%
HV 60d25.1%23.3%28.9%26.2%24.3%
IV Rank31.4%5.9%55.9%34.0%10.4%
IV Percentile62.8%13.1%97.2%76.2%30.2%
Term Structure-2.6%-7.1%0.9%-0.9%-0.1%
VWIV32.3%30.8%33.8%31.9%33.4%
Skew 25d2.8%1.0%4.7%3.9%2.1%
Skew 10d5.0%2.1%7.8%7.2%3.9%
Call IV 25d32.8%25.8%40.8%33.5%26.6%
Put IV 25d35.6%26.9%43.3%37.4%28.6%
Bid-Ask Spread %5.613.3711.075.464.26
Gamma HHI0.130.050.300.200.07
Net GEX2.5M-10.4M13.2M6.6M1.1M
Net DEX-211.4M-509.0M60.3M-254.7M-10.8M
Net VEX-1.3M-1.4M-1.1M-1.2M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.431.651.171.65
Total Volume19,362.6673,44165,34115,6939,726
Total OI212,642.714145,927277,810216,940165,891

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$69.38$57.5034.9%9.2%20.3%34.0%31.9%3.9%-0.9%6.6M-254.7M-1.2M1.175.46N/AN/A7,2218,47294,193122,747
2014-01-03$68.86$60.0033.8%9.2%20.3%30.5%31.8%3.3%-1.3%12.3M-228.7M-1.2M1.565.02N/AN/A4,4156,88997,735126,468
2014-01-06$68.35$60.0034.5%9.2%20.3%32.8%31.6%3.3%-2.6%6.9M-212.0M-1.1M1.055.69N/AN/A9,3929,87895,408125,155
2014-01-07$69.28$60.0034.7%9.1%20.0%33.5%32.6%3.0%-3.1%9.7M-277.5M-1.2M1.003.39N/AN/A7,5847,561102,403132,701
2014-01-08$73.45$60.0038.5%9.3%28.2%45.1%32.5%4.7%-4.3%13.2M-509.0M-1.1M1.2811.07N/AN/A28,68236,659105,168136,419
2014-01-09$72.66$60.0040.1%9.2%28.6%50.2%30.8%4.5%-5.5%4.8M-437.7M-1.3M1.294.11N/AN/A8,31810,729110,277156,498
2014-01-10$72.60$60.0039.9%9.1%27.0%49.6%33.3%4.0%-4.7%2.4M-431.9M-1.3M0.867.17N/AN/A4,9334,236112,893163,266
2014-01-13$71.18$60.0041.1%9.2%26.0%53.5%31.8%2.6%-6.4%2.3M-296.2M-1.3M1.104.49N/AN/A8,5539,397102,573152,783
2014-01-14$72.25$60.0040.1%9.2%26.2%50.2%33.8%2.9%-5.8%1.6M-352.0M-1.3M1.016.86N/AN/A5,7195,790104,104156,830
2014-01-15$72.46$60.0041.9%9.2%26.1%55.9%31.2%2.5%-7.1%-425.4K-353.5M-1.3M0.543.94N/AN/A11,2806,076104,634158,624
2014-01-16$73.07$60.0038.5%9.3%25.7%45.3%30.8%3.3%-2.7%-784.4K-403.3M-1.4M0.497.56N/AN/A7,1543,486111,694160,441
2014-01-17$73.69$60.0037.9%9.2%25.7%43.5%33.2%3.4%-2.2%2.7M-444.6M-1.4M0.793.37N/AN/A13,10510,369114,736163,074
2014-01-21$71.89$60.0037.9%9.2%27.5%43.4%32.6%2.6%-4.6%115.2K-72.2M-1.4M1.067.79N/AN/A9,51810,08967,34778,580
2014-01-22$72.19$60.0035.5%9.2%27.3%36.0%31.5%2.7%-4.0%694.0K-96.3M-1.4M1.244.71N/AN/A18,85723,37972,25982,159
2014-01-23$72.02$62.5025.9%9.0%27.1%5.9%31.6%1.0%0.9%-469.9K-93.5M-1.4M1.058.64N/AN/A17,17718,00983,26194,167
2014-01-24$69.48$65.0026.1%9.1%30.1%6.5%32.8%1.0%-0.0%-10.4M60.3M-1.4M0.953.77N/AN/A14,84314,13285,52096,188
2014-01-27$69.54$65.0026.8%9.2%30.1%8.6%33.4%2.2%0.2%-490.2K-1.1M-1.4M0.876.84N/AN/A4,7014,09474,74480,491
2014-01-28$69.60$62.5026.6%9.1%30.1%8.1%32.7%2.7%0.1%-116.9K-2.9M-1.4M0.826.34N/AN/A1,8921,54975,57681,042
2014-01-29$69.05$62.5026.9%9.1%30.2%9.0%33.0%1.5%-0.2%-1.1M21.0M-1.4M1.283.42N/AN/A3,0943,95076,08781,645
2014-01-30$70.23$62.5026.5%9.2%30.8%7.6%32.4%1.5%0.5%1.6M-43.4M-1.4M0.433.84N/AN/A11,0224,68676,58183,135
2014-01-31$69.55$62.5027.4%9.2%30.4%10.4%33.4%2.1%-0.1%1.1M-10.8M-1.4M1.654.26N/AN/A3,6676,05980,63285,259