SNDK Options History — April 2014 In April 2014, SNDK traded between $73.65 and $85.19. ATM implied volatility averaged 33.0%, placing in the 29.0% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 3.0% (HV 20d: 36.0%). Max pain ranged from $72.50 to $72.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 1.03.
Notable Days 2014-04-17 : Highest Volume — 60,426 contracts2014-04-17 : Largest IV drop — 25.7% change2014-04-11 : Highest IV Rank — 56.4%2014-04-11 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $80.88 $73.65 $85.19 $83.12 $84.97 Max Pain $72.50 $72.50 $72.50 $72.50 $72.50 ATM IV 33.0% 26.0% 41.1% 35.7% 26.2% Expected Move 8.9% 8.6% 9.3% 8.7% 8.7% HV 20d 36.0% 25.6% 44.5% 25.9% 42.2% HV 60d 28.4% 23.9% 32.3% 26.4% 30.4% IV Rank 29.0% 6.6% 56.4% 36.5% 7.2% IV Percentile 59.6% 17.5% 96.0% 79.0% 19.4% Term Structure -1.0% -2.5% 0.5% -1.6% 0.3% VWIV 31.8% 28.6% 36.6% 32.0% 28.6% Skew 25d 4.1% 2.6% 5.8% 5.4% 3.1% Skew 10d 8.0% 4.5% 12.6% 10.2% 6.2% Call IV 25d 31.4% 25.0% 39.4% 32.9% 25.2% Put IV 25d 35.5% 28.0% 44.8% 38.2% 28.3% Bid-Ask Spread % 5.35 3.47 17.26 3.47 4.57 Gamma HHI 0.10 0.07 0.34 0.08 0.10 Net GEX 3.9M -8.8M 9.8M 8.0M 8.6M Net DEX -230.8M -507.7M 27.2M -360.8M -301.1M Net VEX -1.8M -1.9M -1.8M -1.8M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.03 0.47 2.22 1.73 0.56 Total Volume 17,541.429 3,267 60,426 14,785 3,993 Total OI 168,220.095 141,942 202,298 167,985 147,916
Daily Data (21 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Wall Put Wall Call Vol Put Vol Call OI Put OI 2014-04-01 $83.12 $72.50 35.7% 8.7% 25.9% 36.5% 32.0% 5.4% -1.6% 8.0M -360.8M -1.8M 1.73 3.47 N/A N/A 5,423 9,362 82,086 85,899 2014-04-02 $82.36 $72.50 35.8% 8.6% 26.3% 36.9% 31.2% 5.1% -1.1% 6.1M -315.5M -1.8M 2.22 3.52 N/A N/A 3,727 8,267 84,240 91,872 2014-04-03 $82.22 $72.50 36.9% 8.7% 25.6% 40.3% 30.7% 4.9% -1.7% 3.7M -299.0M -1.8M 2.09 4.46 N/A N/A 3,961 8,287 85,082 96,122 2014-04-04 $80.95 $72.50 38.1% 8.8% 25.7% 44.0% 31.0% 3.7% -2.1% -8.8M -229.5M -1.8M 2.02 5.44 N/A N/A 12,202 24,625 87,231 100,216 2014-04-07 $77.54 $72.50 39.3% 9.0% 30.7% 47.9% 31.4% 4.3% -1.9% 733.9K -103.7M -1.8M 1.33 4.82 N/A N/A 9,603 12,785 81,384 91,541 2014-04-08 $78.74 $72.50 38.3% 9.0% 31.1% 44.6% 32.2% 4.7% -1.6% 1.3M -154.4M -1.8M 0.69 4.12 N/A N/A 5,694 3,935 84,024 94,394 2014-04-09 $78.66 $72.50 37.9% 9.0% 31.1% 43.3% 33.4% 4.7% -1.5% 1.4M -154.9M -1.9M 0.61 4.29 N/A N/A 3,518 2,145 86,181 95,116 2014-04-10 $75.69 $72.50 39.3% 9.1% 33.6% 50.6% 32.1% 4.5% -1.6% -1.6M -29.1M -1.8M 1.12 4.54 N/A N/A 9,648 10,853 88,023 95,760 2014-04-11 $73.65 $72.50 41.1% 9.3% 35.1% 56.4% 32.1% 5.3% -2.5% -671.4K 27.2M -1.8M 1.67 6.38 N/A N/A 8,063 13,431 89,994 93,716 2014-04-14 $74.65 $72.50 37.5% 9.1% 34.7% 44.7% 36.6% 5.8% -1.0% 2.2M -60.8M -1.8M 0.95 5.78 N/A N/A 8,319 7,910 83,604 86,374 2014-04-15 $75.34 $72.50 36.4% 9.1% 31.5% 40.9% 32.7% 4.9% -0.9% 2.9M -91.9M -1.8M 0.47 6.68 N/A N/A 7,109 3,310 87,740 89,155 2014-04-16 $75.85 $72.50 37.4% 9.2% 31.2% 44.1% 34.3% 4.7% -1.9% 4.2M -123.5M -1.8M 0.97 17.26 N/A N/A 24,214 23,491 88,497 87,321 2014-04-17 $82.99 $72.50 27.8% 8.8% 44.4% 12.4% 30.6% 2.6% 0.5% 9.8M -507.7M -1.8M 0.61 5.51 N/A N/A 37,494 22,932 101,959 100,339 2014-04-21 $83.65 $72.50 27.3% 8.9% 44.3% 10.7% 30.8% 3.8% -0.6% 5.3M -275.6M -1.9M 0.58 4.85 N/A N/A 8,373 4,838 74,395 67,547 2014-04-22 $84.80 $72.50 26.2% 8.8% 44.5% 7.4% 31.9% 2.7% -0.5% 7.0M -324.9M -1.9M 0.51 4.08 N/A N/A 12,063 6,154 78,015 70,539 2014-04-23 $84.65 $72.50 26.0% 8.8% 44.5% 6.6% 33.0% 3.3% -0.0% 5.3M -317.4M -1.9M 0.81 4.28 N/A N/A 3,156 2,556 80,197 73,819 2014-04-24 $85.19 $72.50 26.1% 8.8% 44.2% 6.8% 30.3% 2.9% -0.2% 6.9M -343.7M -1.9M 0.58 4.63 N/A N/A 5,901 3,399 80,992 74,747 2014-04-25 $84.35 $72.50 26.7% 8.8% 43.9% 8.9% 30.3% 2.9% -0.3% 6.1M -312.2M -1.9M 0.80 4.37 N/A N/A 7,708 6,161 82,008 75,540 2014-04-28 $84.38 $72.50 27.2% 8.8% 43.0% 10.7% 30.7% 2.8% 0.1% 6.6M -280.0M -1.9M 0.50 4.50 N/A N/A 6,987 3,506 75,784 66,483 2014-04-29 $84.66 $72.50 26.6% 8.8% 43.0% 8.6% 31.8% 3.0% 0.1% 7.8M -289.4M -1.9M 0.82 4.81 N/A N/A 1,794 1,473 78,688 68,082 2014-04-30 $84.97 $72.50 26.2% 8.7% 42.2% 7.2% 28.6% 3.1% 0.3% 8.6M -301.1M -1.9M 0.56 4.57 N/A N/A 2,557 1,436 79,321 68,595
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