SNDK Options History — February 2014

In February 2014, SNDK traded between $67.39 and $76.54. ATM implied volatility averaged 26.8%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.9% (HV 20d: 25.9%). Max pain ranged from $62.50 to $70.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 0.64.

Notable Days

  • 2014-02-28: Highest Volume — 34,393 contracts
  • 2014-02-07: Largest IV drop — 8.5% change
  • 2014-02-03: Highest IV Rank — 19.6%
  • 2014-02-03: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$73.12$67.39$76.54$67.39$74.30
Max Pain$65.13$62.50$70.00$62.50$70.00
ATM IV26.8%25.1%30.3%30.3%26.3%
Expected Move8.9%8.7%9.3%9.3%8.8%
HV 20d25.9%21.4%32.6%32.3%23.5%
HV 60d24.8%24.0%25.8%25.0%24.7%
IV Rank8.6%3.4%19.6%19.6%7.1%
IV Percentile22.4%5.6%53.6%53.6%18.7%
Term Structure0.1%-0.9%0.7%-0.4%-0.1%
VWIV30.8%29.3%32.8%32.7%30.8%
Skew 25d2.1%1.6%2.7%1.8%1.8%
Skew 10d4.6%2.7%6.6%2.7%4.8%
Call IV 25d26.1%24.3%30.0%30.0%25.5%
Put IV 25d28.2%26.4%31.8%31.8%27.3%
Bid-Ask Spread %3.462.505.293.795.29
Gamma HHI0.090.060.160.060.10
Net GEX5.4M-1.2M11.8M-1.1M3.9M
Net DEX-180.6M-321.2M45.0M45.0M-122.3M
Net VEX-1.4M-1.4M-1.3M-1.4M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.191.340.700.48
Total Volume11,835.2634,29634,39310,49534,393
Total OI149,006.316121,357167,134153,340135,319

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-02-03$67.39$62.5030.3%9.3%32.3%19.6%32.7%1.8%-0.4%-1.1M45.0M-1.4M0.703.79N/AN/A6,1904,30575,07678,264
2014-02-04$68.24$62.5029.2%9.3%32.6%16.3%32.0%2.2%-0.3%-1.2M17.7M-1.4M0.433.47N/AN/A5,7842,49376,77580,069
2014-02-05$68.78$62.5029.5%9.1%32.3%17.0%30.4%2.2%-0.9%1.7M-15.5M-1.4M0.194.77N/AN/A9,6141,82780,47680,775
2014-02-06$70.24$62.5028.6%9.1%25.2%14.4%29.7%2.2%-0.1%2.0M-99.5M-1.4M0.373.93N/AN/A7,9112,89282,38980,989
2014-02-07$71.61$62.5026.2%8.9%26.1%6.8%31.8%1.9%0.3%8.8M-187.2M-1.4M0.482.82N/AN/A10,2384,87085,53781,597
2014-02-10$71.67$65.0027.4%9.0%26.1%10.6%30.9%2.7%-0.5%7.7M-178.2M-1.4M0.814.09N/AN/A3,1362,55381,22273,524
2014-02-11$72.29$65.0026.7%9.0%25.3%8.4%29.3%2.3%-0.1%7.2M-196.4M-1.4M0.572.82N/AN/A4,6192,62678,89674,486
2014-02-12$72.08$65.0026.2%8.9%24.8%6.9%31.1%2.1%0.1%7.0M-187.2M-1.4M0.752.78N/AN/A2,4581,83879,37974,511
2014-02-13$74.40$65.0025.7%8.8%27.2%5.3%29.6%1.6%-0.1%9.7M-289.1M-1.4M0.383.79N/AN/A13,7985,28780,35575,384
2014-02-14$74.59$65.0025.1%8.8%27.1%3.4%32.1%1.9%-0.1%11.8M-321.2M-1.4M0.613.46N/AN/A7,6534,64485,37478,039
2014-02-18$74.59$65.0025.8%8.8%27.0%5.7%32.8%2.2%0.6%5.7M-244.4M-1.3M1.072.84N/AN/A3,6503,91174,91672,212
2014-02-19$74.53$65.0026.0%8.8%25.3%6.2%29.6%2.0%0.5%5.5M-244.3M-1.3M0.463.97N/AN/A8,3693,81975,68072,272
2014-02-20$75.31$65.0026.7%8.8%25.4%8.3%30.0%1.9%0.2%6.1M-281.0M-1.4M0.563.03N/AN/A8,1744,58077,52172,663
2014-02-21$74.80$65.0026.9%8.8%25.6%8.9%30.1%2.1%0.1%4.6M-266.6M-1.4M0.983.97N/AN/A5,3645,26480,63973,332
2014-02-24$75.81$65.0025.6%8.7%21.6%5.1%30.6%2.4%0.3%7.0M-210.6M-1.4M1.022.76N/AN/A6,9737,12164,37556,982
2014-02-25$75.85$67.5025.8%8.8%21.6%5.7%30.7%2.4%0.7%4.8M-206.3M-1.4M1.342.50N/AN/A3,6894,95366,27960,706
2014-02-26$76.54$67.5025.3%8.7%21.6%4.0%30.6%2.2%0.4%6.0M-227.1M-1.4M0.572.87N/AN/A5,4063,09967,64763,278
2014-02-27$76.28$70.0025.3%8.7%21.4%4.1%30.6%2.4%0.7%4.8M-217.1M-1.4M0.472.85N/AN/A7,7483,62169,40464,778
2014-02-28$74.30$70.0026.3%8.8%23.5%7.1%30.8%1.8%-0.1%3.9M-122.3M-1.4M0.485.29N/AN/A23,16911,22469,12166,198