SNDK Options History — March 2014

In March 2014, SNDK traded between $73.28 and $81.19. ATM implied volatility averaged 30.3%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 8.1% (HV 20d: 22.2%). Max pain ranged from $70.00 to $72.50. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 1.20.

Notable Days

  • 2014-03-20: Highest Volume — 44,072 contracts
  • 2014-03-20: Largest IV spike — 8.8% change
  • 2014-03-27: Highest IV Rank — 38.1%
  • 2014-03-14: Largest Expected Move — 8.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$77.24$73.28$81.19$75.12$81.19
Max Pain$70.36$70.00$72.50$70.00$72.50
ATM IV30.3%24.7%36.2%26.7%36.0%
Expected Move8.7%8.6%8.9%8.8%8.7%
HV 20d22.2%17.3%26.0%23.2%25.2%
HV 60d24.9%23.5%26.4%24.7%26.1%
IV Rank19.7%2.0%38.1%8.4%37.6%
IV Percentile45.8%3.2%81.0%24.2%81.0%
Term Structure1.2%-1.9%7.8%0.0%-1.2%
VWIV30.9%28.6%32.8%31.1%32.5%
Skew 25d3.4%2.1%5.8%3.1%5.8%
Skew 10d6.4%4.5%11.0%5.2%11.0%
Call IV 25d28.9%23.8%34.4%25.4%32.6%
Put IV 25d32.3%25.9%39.3%28.5%38.4%
Bid-Ask Spread %3.572.565.342.984.18
Gamma HHI0.120.070.300.150.09
Net GEX5.8M-2.6M12.6M12.5M6.5M
Net DEX-218.6M-402.9M-40.0M-194.8M-286.8M
Net VEX-1.6M-1.9M-1.5M-1.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.200.562.280.561.45
Total Volume15,064.3814,71444,07217,6899,862
Total OI158,478.762140,998188,515140,998159,216

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$75.12$70.0026.7%8.8%23.2%8.4%31.1%3.1%0.0%12.5M-194.8M-1.5M0.562.98N/AN/A11,3546,33576,97564,023
2014-03-04$76.26$70.0024.9%8.7%19.4%2.8%31.6%2.1%0.0%12.5M-239.3M-1.5M0.722.70N/AN/A8,0975,84575,98766,921
2014-03-05$76.49$70.0024.7%8.7%19.3%2.0%31.2%2.1%0.3%11.7M-245.5M-1.5M0.602.56N/AN/A4,0182,42276,92369,258
2014-03-06$75.45$70.0025.4%8.7%20.4%4.4%28.6%2.5%-0.1%12.6M-189.8M-1.5M1.683.81N/AN/A6,63311,14879,11670,472
2014-03-07$74.41$70.0025.4%8.6%20.5%4.2%30.4%2.9%0.3%-209.8K-110.5M-1.6M1.053.13N/AN/A7,2367,58780,93174,606
2014-03-10$74.44$70.0025.3%8.7%19.5%4.1%30.5%3.0%6.4%5.2M-134.3M-1.6M2.283.38N/AN/A2,3165,27474,39668,830
2014-03-11$74.84$70.0024.9%8.7%19.6%2.9%29.8%2.6%6.9%3.7M-146.8M-1.6M1.433.24N/AN/A4,1905,99875,63172,310
2014-03-12$75.01$70.0025.1%8.7%19.4%3.3%28.7%2.6%7.3%2.0M-147.3M-1.6M1.922.93N/AN/A1,6133,10176,52574,709
2014-03-13$73.63$70.0027.3%8.9%20.7%10.1%32.0%2.5%7.6%-2.6M-69.1M-1.5M1.202.98N/AN/A4,9665,96376,71375,735
2014-03-14$73.28$70.0029.0%8.9%17.3%15.5%31.6%3.0%7.8%-843.5K-40.0M-1.6M1.194.20N/AN/A5,2126,22178,16579,036
2014-03-17$74.74$70.0031.5%8.8%18.7%23.3%31.6%3.6%-0.3%2.8M-136.7M-1.6M1.473.33N/AN/A4,6776,89075,54775,007
2014-03-18$77.82$70.0031.9%8.7%23.6%24.8%30.8%3.5%-0.7%8.4M-280.4M-1.6M0.944.24N/AN/A19,19518,08277,89576,865
2014-03-19$78.79$70.0032.1%8.6%23.8%25.3%31.0%2.9%-0.7%9.7M-333.8M-1.7M0.813.32N/AN/A9,7097,88785,11483,888
2014-03-20$80.72$70.0034.9%8.7%24.9%34.2%32.8%3.5%-0.9%10.5M-402.9M-1.6M0.754.48N/AN/A25,25218,82086,32384,510
2014-03-21$80.10$70.0034.4%8.8%24.9%32.6%31.5%3.8%-0.4%12.4M-365.9M-1.7M1.435.34N/AN/A13,54219,35993,30095,215
2014-03-24$80.10$70.0034.4%8.7%24.7%32.4%28.7%3.9%-1.1%2.4M-253.2M-1.8M1.773.29N/AN/A3,9977,08777,84385,280
2014-03-25$80.73$70.0034.9%8.8%24.7%34.1%31.0%4.2%-1.5%4.2M-283.6M-1.8M0.942.81N/AN/A3,7883,54379,62385,873
2014-03-26$79.86$70.0035.4%8.7%25.1%35.6%30.8%4.3%-1.3%3.0M-254.3M-1.8M0.674.45N/AN/A6,5774,38181,63087,216
2014-03-27$78.48$72.5036.2%8.8%26.0%38.1%30.9%4.1%-1.8%-221.9K-186.8M-1.9M1.303.67N/AN/A3,5864,64884,93989,877
2014-03-28$80.61$72.5035.9%8.8%25.3%37.1%31.2%5.0%-1.9%5.8M-289.1M-1.8M1.103.95N/AN/A4,7275,21485,25490,377
2014-03-31$81.19$72.5036.0%8.7%25.2%37.6%32.5%5.8%-1.2%6.5M-286.8M-1.8M1.454.18N/AN/A4,0185,84478,91580,301