SNDK Options History — August 2014 In August 2014, SNDK traded between $90.79 and $99.03. ATM implied volatility averaged 23.6%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 10.4% (HV 20d: 34.0%). Max pain ranged from $72.50 to $100.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2014-08-20 : Highest Volume — 29,045 contracts2014-08-20 : Largest IV spike — 8.5% change2014-08-05 : Highest IV Rank — 16.3%2014-08-07 : Largest Expected Move — 9.3%Monthly Statistics Metric Avg Min Max Open Close Price $94.97 $90.79 $99.03 $92.76 $97.96 Max Pain $87.00 $72.50 $100.00 $72.50 $97.50 ATM IV 23.6% 20.8% 26.9% 26.8% 22.1% Expected Move 8.8% 8.4% 9.3% 9.1% 8.5% HV 20d 34.0% 17.5% 55.1% 54.4% 17.8% HV 60d 35.4% 35.1% 35.8% 35.7% 35.2% IV Rank 6.9% 0.0% 16.3% 16.0% 5.7% IV Percentile 12.9% 0.0% 43.7% 42.1% 2.4% Term Structure 0.3% -0.7% 1.6% 0.1% 0.3% VWIV 31.2% 27.2% 34.5% 30.6% 34.5% Skew 25d 2.0% 0.7% 3.5% 1.0% 1.5% Skew 10d 4.1% 0.3% 7.3% 1.9% 1.8% Call IV 25d 23.1% 20.0% 27.0% 26.5% 21.6% Put IV 25d 25.1% 22.0% 28.5% 27.5% 23.1% Bid-Ask Spread % 6.31 3.54 8.69 5.90 8.69 Gamma HHI 0.12 0.08 0.25 0.11 0.09 Net GEX 13.7M -1.5M 30.0M 5.4M 22.7M Net DEX -398.2M -653.3M -122.8M -224.7M -593.3M Net VEX -3.8M -3.9M -3.6M -3.6M -3.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.23 1.27 0.97 0.65 Total Volume 11,733.476 5,216 29,045 14,598 8,463 Total OI 265,638.19 241,421 280,018 264,175 270,371
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 2014-08-01 $92.76 $72.50 26.8% 9.1% 54.4% 16.0% 30.6% 1.0% 0.1% 5.4M -224.7M -3.6M 0.97 5.90 N/A N/A 7,397 7,201 150,367 113,808 2014-08-04 $94.07 $72.50 26.4% 8.9% 54.9% 13.6% 32.0% 3.5% -0.2% 9.6M -324.4M -3.6M 1.27 4.97 N/A N/A 7,361 9,330 145,539 110,721 2014-08-05 $92.85 $75.00 26.9% 9.0% 54.7% 16.3% 32.8% 0.7% -0.7% 5.9M -238.1M -3.8M 1.04 5.19 N/A N/A 5,020 5,245 147,740 118,124 2014-08-06 $93.03 $80.00 26.3% 9.1% 54.7% 13.4% 30.6% 2.1% 0.2% 7.1M -255.8M -3.8M 0.23 5.39 N/A N/A 9,177 2,140 149,610 120,372 2014-08-07 $90.79 $80.00 26.7% 9.3% 55.1% 15.4% 33.5% 1.3% 0.5% -1.5M -122.8M -3.8M 0.49 6.50 N/A N/A 11,323 5,586 153,297 121,339 2014-08-08 $91.43 $80.00 26.4% 9.2% 54.9% 13.7% 34.0% 1.4% 0.3% 2.3M -163.7M -3.8M 0.72 6.24 N/A N/A 9,304 6,655 156,510 123,508 2014-08-11 $92.38 $80.00 25.7% 9.1% 55.1% 10.1% 30.0% 2.3% -0.6% 5.3M -228.5M -3.8M 0.44 4.98 N/A N/A 6,838 3,006 151,242 121,728 2014-08-12 $91.40 $80.00 24.2% 9.0% 55.0% 2.4% 29.3% 3.1% -0.4% -1.5M -173.9M -3.8M 0.52 5.09 N/A N/A 5,349 2,781 153,149 121,317 2014-08-13 $92.94 $80.00 23.1% 9.0% 54.8% 0.0% 32.6% 3.4% -0.2% 9.8M -275.3M -3.9M 0.94 5.61 N/A N/A 4,162 3,895 156,300 122,003 2014-08-14 $93.21 $80.00 22.7% 8.9% 18.2% 0.0% 32.9% 1.2% 0.7% 13.1M -296.8M -3.8M 0.50 6.09 N/A N/A 6,352 3,153 154,898 121,261 2014-08-15 $94.03 $80.00 22.3% 8.8% 17.7% 0.0% 31.1% 2.3% -0.4% 30.0M -347.0M -3.8M 0.94 5.90 N/A N/A 5,542 5,200 156,487 121,848 2014-08-18 $94.27 $0.00 21.6% 8.7% 17.5% 0.0% 30.4% 2.0% 1.0% 12.1M -375.9M -3.8M 0.76 4.01 N/A N/A 3,752 2,838 138,000 103,421 2014-08-19 $95.30 $100.00 20.8% 8.6% 17.5% 0.0% 30.1% 2.1% 1.6% 14.8M -436.8M -3.8M 0.67 3.54 N/A N/A 10,374 6,907 139,443 104,828 2014-08-20 $97.68 $97.50 22.6% 8.7% 19.5% 8.0% 30.5% 2.1% 0.6% 19.0M -582.6M -3.8M 0.53 8.09 N/A N/A 19,007 10,038 142,583 107,353 2014-08-21 $97.65 $97.50 21.8% 8.5% 19.2% 4.4% 29.6% 1.6% 0.8% 21.5M -582.8M -3.9M 0.79 6.46 N/A N/A 5,446 4,275 149,057 112,602 2014-08-22 $98.00 $97.50 21.9% 8.5% 19.0% 4.6% 29.3% 1.9% 0.3% 28.5M -610.7M -3.9M 0.50 7.67 N/A N/A 8,323 4,122 150,437 114,236 2014-08-25 $99.03 $97.50 22.0% 8.4% 18.9% 5.3% 32.5% 2.6% 0.4% 21.9M -653.3M -3.9M 1.05 7.76 N/A N/A 5,370 5,639 147,058 111,172 2014-08-26 $98.54 $97.50 21.9% 8.5% 19.2% 4.8% 27.2% 1.6% 0.3% 20.1M -621.1M -3.9M 0.88 7.49 N/A N/A 2,771 2,445 148,936 114,302 2014-08-27 $98.84 $97.50 22.1% 8.4% 19.1% 5.9% 32.7% 1.9% 0.4% 21.0M -640.0M -3.9M 0.36 8.37 N/A N/A 5,452 1,978 150,495 115,250 2014-08-28 $98.30 $97.50 22.1% 8.5% 17.9% 5.7% 28.6% 2.3% 0.4% 20.6M -613.9M -3.9M 0.61 8.52 N/A N/A 4,459 2,727 151,497 116,193 2014-08-29 $97.96 $97.50 22.1% 8.5% 17.8% 5.7% 34.5% 1.5% 0.3% 22.7M -593.3M -3.9M 0.65 8.69 N/A N/A 5,139 3,324 153,343 117,028
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