SNDK Options History — May 2014

In May 2014, SNDK traded between $85.05 and $96.63. ATM implied volatility averaged 25.3%, placing in the 4.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 2.8% (HV 20d: 28.2%). Max pain ranged from $72.50 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-05-08: Highest Volume — 25,189 contracts
  • 2014-05-27: Largest IV spike — 7.7% change
  • 2014-05-15: Highest IV Rank — 7.2%
  • 2014-05-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.83$85.05$96.63$85.05$96.63
Max Pain$74.40$72.50$75.00$72.50$75.00
ATM IV25.3%23.7%26.2%25.8%24.6%
Expected Move8.6%8.5%8.8%8.7%8.5%
HV 20d28.2%18.1%42.1%42.1%18.2%
HV 60d30.3%29.9%30.8%30.3%30.1%
IV Rank4.6%0.0%7.2%5.9%2.8%
IV Percentile12.0%0.0%23.0%15.1%2.8%
Term Structure0.2%-0.4%1.3%0.2%-0.4%
VWIV31.2%29.1%33.7%32.4%29.8%
Skew 25d2.8%2.5%3.2%2.9%2.7%
Skew 10d5.8%4.7%6.6%6.1%6.1%
Call IV 25d24.3%22.7%25.2%24.7%23.9%
Put IV 25d27.1%25.3%27.9%27.6%26.7%
Bid-Ask Spread %4.403.735.214.235.04
Gamma HHI0.110.080.160.110.10
Net GEX12.6M6.7M19.8M9.3M14.9M
Net DEX-477.0M-672.7M-280.6M-280.6M-672.7M
Net VEX-2.1M-2.4M-1.9M-1.9M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.341.730.480.42
Total Volume13,978.0485,83325,1899,39016,921
Total OI163,845.571143,568190,952146,042190,952

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-05-01$85.05$72.5025.8%8.7%42.1%5.9%32.4%2.9%0.2%9.3M-280.6M-1.9M0.484.23N/AN/A6,3603,03076,51069,532
2014-05-02$85.64$72.5025.0%8.8%42.1%3.4%31.0%2.5%0.4%8.3M-306.6M-1.9M0.343.73N/AN/A10,6323,57578,52970,405
2014-05-05$86.86$72.5025.5%8.7%41.7%4.8%31.6%2.9%0.5%10.8M-342.1M-1.9M0.654.19N/AN/A7,2694,75677,77565,793
2014-05-06$86.26$72.5026.0%8.7%38.2%6.5%30.8%2.9%0.1%9.5M-323.1M-2.0M0.783.83N/AN/A7,9946,20980,37968,680
2014-05-07$86.96$72.5025.7%8.7%38.1%5.6%29.1%3.0%0.1%11.5M-357.6M-2.0M0.544.64N/AN/A8,7614,75283,86670,594
2014-05-08$88.61$75.0025.7%8.8%38.3%5.7%30.6%2.8%0.1%17.4M-445.9M-2.0M0.624.26N/AN/A15,5819,60887,35271,349
2014-05-09$88.84$75.0025.7%8.7%34.6%5.6%30.0%2.7%0.1%8.2M-454.3M-2.1M0.484.10N/AN/A8,4414,06293,14576,508
2014-05-12$90.93$75.0025.8%8.7%32.3%5.9%29.2%2.7%0.5%12.0M-497.0M-2.1M0.604.35N/AN/A7,0994,26089,78470,040
2014-05-13$91.09$75.0025.4%8.7%32.4%4.4%32.1%2.8%0.4%12.0M-503.7M-2.1M1.734.31N/AN/A4,0997,10292,46772,392
2014-05-14$89.89$75.0025.4%8.6%33.5%4.5%29.7%2.7%-0.0%7.4M-449.5M-2.2M0.844.00N/AN/A6,5385,48793,79875,988
2014-05-15$88.32$75.0026.2%8.7%34.7%7.2%30.6%2.5%0.0%6.7M-358.7M-2.2M1.214.30N/AN/A5,4486,56693,64677,665
2014-05-16$90.99$75.0026.0%8.6%18.7%6.7%32.1%3.0%0.2%19.8M-504.7M-2.2M0.774.89N/AN/A11,8209,08295,35277,806
2014-05-19$91.61$75.0025.0%8.5%18.7%3.2%33.0%2.7%0.8%14.8M-479.7M-2.2M0.713.96N/AN/A4,5803,23391,00565,454
2014-05-20$91.37$75.0025.0%8.5%18.5%3.2%30.4%2.7%0.9%15.4M-476.1M-2.2M1.333.88N/AN/A2,5083,32593,72967,188
2014-05-21$92.72$75.0024.8%8.5%18.8%2.6%33.7%2.8%0.4%15.8M-528.9M-2.2M1.485.21N/AN/A4,3606,46294,55968,382
2014-05-22$93.20$75.0025.1%8.5%18.8%3.5%32.2%2.8%0.3%14.3M-549.5M-2.2M0.614.84N/AN/A8,6215,26996,12271,132
2014-05-23$94.27$75.0023.7%8.5%18.1%0.0%32.1%2.6%1.3%16.5M-613.5M-2.2M1.354.75N/AN/A4,4355,966100,20273,110
2014-05-27$95.50$75.0025.6%8.5%18.2%6.0%31.5%3.1%-0.2%12.5M-589.5M-2.1M0.454.41N/AN/A12,4375,55394,58370,329
2014-05-28$96.03$75.0025.6%8.5%18.1%6.1%31.3%3.2%-0.4%12.6M-618.6M-2.2M0.594.83N/AN/A10,9876,50299,28273,156
2014-05-29$96.61$75.0024.9%8.5%18.1%4.0%31.9%2.8%-0.4%14.5M-664.3M-2.3M0.394.73N/AN/A17,2056,644105,05777,160
2014-05-30$96.63$75.0024.6%8.5%18.2%2.8%29.8%2.7%-0.4%14.9M-672.7M-2.4M0.425.04N/AN/A11,9085,013110,84580,107