SNDK Options History — September 2014

In September 2014, SNDK traded between $95.64 and $103.22. ATM implied volatility averaged 31.1%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 9.5% (HV 20d: 21.6%). Max pain ranged from $95.00 to $100.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.88.

Notable Days

  • 2014-09-18: Highest Volume — 35,541 contracts
  • 2014-09-15: Largest IV spike — 17.7% change
  • 2014-09-25: Highest IV Rank — 82.0%
  • 2014-09-30: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$98.95$95.64$103.22$95.64$97.95
Max Pain$98.45$95.00$100.00$97.50$97.50
ATM IV31.1%23.0%39.0%24.3%38.9%
Expected Move8.5%8.3%8.8%8.6%8.8%
HV 20d21.6%17.5%28.0%19.6%27.3%
HV 60d35.6%34.5%36.9%35.5%36.9%
IV Rank46.3%9.6%82.0%15.6%81.4%
IV Percentile56.0%4.8%94.4%6.7%94.0%
Term Structure1.3%-1.8%7.4%0.1%-1.8%
VWIV30.2%27.7%32.9%30.6%30.8%
Skew 25d2.7%-0.1%6.9%2.1%1.0%
Skew 10d5.6%2.3%10.2%2.9%4.2%
Call IV 25d30.1%22.7%40.3%23.5%37.8%
Put IV 25d32.8%23.5%42.7%25.6%38.8%
Bid-Ask Spread %9.316.8110.836.818.99
Gamma HHI0.100.080.130.090.10
Net GEX20.0M9.8M31.3M15.2M16.0M
Net DEX-607.5M-876.2M-414.2M-431.7M-501.7M
Net VEX-3.7M-3.9M-3.5M-3.8M-3.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.880.371.990.711.19
Total Volume15,592.6676,55935,54115,5917,661
Total OI277,916.571260,754292,340261,998272,993

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-09-02$95.64$97.5024.3%8.6%19.6%15.6%30.6%2.1%0.1%15.2M-431.7M-3.8M0.716.81N/AN/A9,1436,448149,248112,750
2014-09-03$95.73$97.5023.5%8.6%18.9%11.8%31.4%2.1%0.1%16.2M-446.1M-3.8M0.409.80N/AN/A7,5433,036153,214114,609
2014-09-04$96.23$95.0023.0%8.6%18.9%9.6%30.2%0.8%0.3%19.6M-489.3M-3.8M0.378.22N/AN/A9,9073,653156,145116,481
2014-09-05$98.79$95.0023.6%8.4%18.2%12.4%28.9%2.1%-0.2%31.3M-689.3M-3.8M0.948.24N/AN/A11,31410,649159,927117,566
2014-09-08$99.87$97.5025.7%8.5%18.3%21.7%29.0%2.2%5.7%26.5M-719.7M-3.9M0.707.06N/AN/A14,54710,188156,754116,773
2014-09-09$100.08$100.0025.1%8.5%18.2%19.4%29.8%0.9%7.0%25.3M-731.4M-3.9M0.829.03N/AN/A13,43811,034161,215121,744
2014-09-10$100.00$100.0024.8%8.4%17.5%17.7%29.1%2.7%7.4%28.4M-744.8M-3.9M0.659.39N/AN/A8,0535,262165,740125,035
2014-09-11$99.09$100.0026.1%8.4%17.5%23.6%28.2%2.8%7.2%22.2M-647.4M-3.8M0.509.04N/AN/A4,3812,178163,907126,882
2014-09-12$98.97$100.0027.4%8.5%17.6%29.6%32.9%2.5%7.4%22.0M-645.2M-3.8M1.039.91N/AN/A4,3994,552165,237127,103
2014-09-15$97.34$100.0032.2%8.7%18.7%51.4%32.1%3.4%0.1%14.7M-507.2M-3.7M1.489.11N/AN/A3,9445,829155,524120,232
2014-09-16$100.04$100.0032.4%8.5%20.8%52.3%31.3%4.0%0.8%22.6M-676.3M-3.8M1.359.59N/AN/A5,0866,885156,676123,624
2014-09-17$100.22$100.0032.9%8.5%20.6%54.5%29.0%4.4%0.7%24.8M-694.6M-3.8M0.8810.33N/AN/A4,4703,944158,160125,641
2014-09-18$103.22$100.0033.5%8.3%21.4%56.9%27.7%4.4%0.9%27.0M-876.2M-3.6M0.409.45N/AN/A25,44410,097156,707125,656
2014-09-19$101.12$100.0034.6%8.4%22.9%62.0%29.8%3.8%-0.5%24.1M-730.9M-3.6M0.6110.05N/AN/A11,1706,777156,475129,811
2014-09-22$98.78$100.0036.1%8.5%24.6%68.8%31.4%2.7%-1.4%14.5M-525.5M-3.5M1.218.90N/AN/A7,3518,924147,265113,489
2014-09-23$98.98$97.5036.8%8.5%24.3%72.0%30.2%3.0%-1.6%14.0M-541.6M-3.5M1.9910.63N/AN/A3,5597,069151,206119,025
2014-09-24$99.98$97.5037.2%8.6%24.5%73.7%28.3%4.1%-0.8%13.9M-592.4M-3.6M0.5410.69N/AN/A8,3404,467152,811122,251
2014-09-25$96.99$97.5039.0%8.8%26.8%82.0%30.7%-0.1%-1.7%9.8M-414.2M-3.5M1.0710.83N/AN/A11,96512,831155,738124,440
2014-09-26$99.21$97.5038.3%8.6%28.0%78.8%30.7%0.7%-1.7%14.3M-565.6M-3.6M0.969.91N/AN/A10,98110,511160,940129,003
2014-09-29$99.68$97.5038.1%8.7%28.0%78.1%31.5%6.9%-1.8%18.0M-585.8M-3.6M0.709.45N/AN/A6,1324,284150,342117,909
2014-09-30$97.95$97.5038.9%8.8%27.3%81.4%30.8%1.0%-1.8%16.0M-501.7M-3.5M1.198.99N/AN/A3,4994,162153,189119,804