SNDK Options History — June 2014 In June 2014, SNDK traded between $97.14 and $104.43. ATM implied volatility averaged 30.8%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 11.3% (HV 20d: 19.6%). Max pain ranged from $70.00 to $75.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.87.
Notable Days 2014-06-10 : Highest Volume — 36,729 contracts2014-06-16 : Largest IV spike — 18.1% change2014-06-19 : Highest IV Rank — 42.0%2014-06-20 : Largest Expected Move — 9.0%Monthly Statistics Metric Avg Min Max Open Close Price $100.63 $97.14 $104.43 $97.15 $104.43 Max Pain $72.02 $70.00 $75.00 $75.00 $72.50 ATM IV 30.8% 24.5% 36.6% 24.5% 35.7% Expected Move 8.7% 8.5% 9.0% 8.5% 8.5% HV 20d 19.6% 17.3% 20.8% 18.2% 20.8% HV 60d 29.5% 28.6% 30.1% 29.9% 28.7% IV Rank 23.2% 2.6% 42.0% 2.6% 39.3% IV Percentile 51.6% 2.8% 82.9% 2.8% 81.0% Term Structure 1.2% -2.8% 8.3% -0.1% -1.3% VWIV 31.4% 29.2% 42.3% 29.6% 30.4% Skew 25d 3.1% 1.7% 4.0% 2.6% 3.8% Skew 10d 6.6% 3.0% 10.0% 6.1% 10.0% Call IV 25d 29.9% 23.6% 35.2% 23.6% 34.0% Put IV 25d 33.0% 26.3% 39.2% 26.3% 37.8% Bid-Ask Spread % 5.66 4.65 10.32 4.65 5.25 Gamma HHI 0.14 0.08 0.73 0.10 0.10 Net GEX 20.3M 10.2M 79.8M 14.3M 15.8M Net DEX -820.0M -994.5M -656.7M -656.7M -872.0M Net VEX -2.8M -3.3M -2.4M -2.4M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.87 0.24 2.01 0.57 0.70 Total Volume 16,505.429 7,970 36,729 7,970 17,032 Total OI 219,469.571 180,173 243,347 180,173 214,442
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 2014-06-02 $97.15 $75.00 24.5% 8.5% 18.2% 2.6% 29.6% 2.6% -0.1% 14.3M -656.7M -2.4M 0.57 4.65 N/A N/A 5,070 2,900 106,453 73,720 2014-06-03 $97.50 $75.00 25.2% 8.6% 17.9% 4.7% 42.3% 2.1% 0.1% 15.0M -677.9M -2.4M 0.50 5.03 N/A N/A 16,780 8,335 109,765 75,238 2014-06-04 $97.81 $70.00 25.2% 8.5% 17.3% 4.7% 30.5% 2.3% -0.2% 12.2M -707.6M -2.5M 0.39 4.91 N/A N/A 7,387 2,908 117,005 80,366 2014-06-05 $99.88 $70.00 25.3% 8.5% 18.1% 5.1% 30.6% 3.0% 0.1% 15.5M -805.8M -2.5M 0.48 5.36 N/A N/A 15,248 7,334 119,105 82,101 2014-06-06 $100.01 $70.00 25.5% 8.5% 17.6% 5.9% 29.2% 2.6% -0.1% 79.8M -839.7M -2.6M 0.24 5.55 N/A N/A 17,268 4,143 125,791 85,839 2014-06-09 $98.17 $70.00 25.7% 8.7% 19.7% 6.4% 32.5% 2.3% 7.4% 18.3M -748.3M -2.7M 1.63 5.31 N/A N/A 5,934 9,683 127,268 79,301 2014-06-10 $97.14 $70.00 25.6% 8.7% 19.2% 6.0% 30.0% 3.7% 7.1% 17.3M -688.8M -2.8M 0.32 5.53 N/A N/A 27,904 8,825 129,243 82,669 2014-06-11 $99.66 $70.00 25.8% 8.8% 20.7% 6.8% 30.8% 3.4% 7.6% 20.5M -845.8M -2.9M 1.26 5.78 N/A N/A 13,875 17,485 135,464 85,732 2014-06-12 $98.62 $72.50 27.0% 8.8% 20.4% 10.6% 31.5% 2.4% 8.3% 10.2M -745.8M -3.0M 0.75 5.11 N/A N/A 5,599 4,185 137,613 95,389 2014-06-13 $98.47 $72.50 28.4% 8.8% 18.8% 15.2% 33.0% 1.7% 8.2% 17.7M -757.8M -3.0M 0.74 4.76 N/A N/A 6,495 4,832 139,968 96,607 2014-06-16 $102.00 $72.50 33.5% 8.9% 19.8% 32.0% 31.5% 3.4% -1.3% 18.4M -919.1M -2.9M 0.62 4.87 N/A N/A 14,123 8,697 135,626 89,091 2014-06-17 $103.24 $72.50 33.4% 8.8% 20.0% 31.7% 30.9% 3.4% 0.2% 19.3M -994.5M -2.9M 0.59 6.11 N/A N/A 9,399 5,573 140,602 91,984 2014-06-18 $102.31 $72.50 36.3% 8.9% 20.4% 41.0% 30.5% 3.5% -2.8% 20.2M -955.9M -2.9M 0.91 6.48 N/A N/A 7,218 6,552 143,664 94,483 2014-06-19 $102.20 $72.50 36.6% 8.9% 20.3% 42.0% 33.7% 3.9% -1.1% 21.1M -921.5M -3.0M 1.26 5.16 N/A N/A 4,347 5,476 142,814 95,049 2014-06-20 $101.98 $72.50 35.9% 9.0% 20.4% 39.7% 30.9% 3.2% -0.3% 18.1M -931.0M -2.9M 1.89 10.32 N/A N/A 3,773 7,137 144,463 98,884 2014-06-23 $102.13 $72.50 36.2% 8.9% 20.3% 40.9% 31.7% 4.0% -1.4% 15.6M -797.1M -2.9M 1.75 5.18 N/A N/A 3,334 5,841 127,698 87,203 2014-06-24 $102.13 $72.50 35.4% 8.7% 20.1% 38.0% 30.3% 3.6% -1.1% 16.1M -799.5M -2.9M 0.68 5.57 N/A N/A 10,838 7,394 129,322 90,204 2014-06-25 $103.01 $72.50 35.3% 8.5% 20.1% 38.0% 29.4% 3.6% -1.1% 17.2M -840.5M -3.0M 0.39 6.36 N/A N/A 10,388 4,098 131,446 94,038 2014-06-26 $102.64 $72.50 35.5% 8.6% 20.3% 38.6% 30.9% 3.4% -1.0% 19.6M -859.6M -3.3M 0.53 5.84 N/A N/A 7,686 4,102 140,212 96,011 2014-06-27 $102.74 $72.50 35.4% 8.5% 20.3% 38.2% 29.6% 4.0% -1.7% 23.3M -854.8M -3.2M 2.01 5.64 N/A N/A 3,798 7,618 139,934 97,054 2014-06-30 $104.43 $72.50 35.7% 8.5% 20.8% 39.3% 30.4% 3.8% -1.3% 15.8M -872.0M -3.1M 0.70 5.25 N/A N/A 9,991 7,041 129,607 84,835
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