SNDK Options History — October 2014 In October 2014, SNDK traded between $82.80 and $95.63. ATM implied volatility averaged 36.2%, placing in the 62.1% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 0.7% (HV 20d: 36.9%). Max pain ranged from $95.00 to $97.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 7 of 23 days. Put/call ratio averaged 0.68.
Notable Days 2014-10-16 : Highest Volume — 60,166 contracts2014-10-17 : Largest IV drop — 24.7% change2014-10-10 : Highest IV Rank — 100.0%2014-10-16 : Largest Expected Move — 10.8%Monthly Statistics Metric Avg Min Max Open Close Price $89.24 $82.80 $95.63 $95.11 $94.07 Max Pain $95.22 $95.00 $97.50 $97.50 $95.00 ATM IV 36.2% 26.4% 48.4% 40.5% 26.4% Expected Move 9.5% 8.8% 10.8% 9.1% 8.8% HV 20d 36.9% 28.3% 44.0% 29.4% 44.0% HV 60d 31.9% 25.8% 38.3% 37.2% 31.7% IV Rank 62.1% 20.4% 100.0% 88.5% 20.4% IV Percentile 79.5% 44.8% 100.0% 98.0% 44.8% Term Structure -1.2% -3.3% 1.6% -3.2% 1.0% VWIV 33.0% 30.5% 37.1% 31.7% 31.4% Skew 25d 3.7% 0.8% 7.9% 3.2% 2.5% Skew 10d 6.4% 0.3% 15.9% 4.0% 5.9% Call IV 25d 34.8% 26.4% 45.7% 38.0% 26.9% Put IV 25d 38.5% 28.9% 51.8% 41.1% 29.4% Bid-Ask Spread % 12.68 8.98 22.73 10.24 11.91 Gamma HHI 0.07 0.06 0.11 0.08 0.08 Net GEX 8.7M 400.4K 15.9M 8.8M 15.9M Net DEX -150.5M -404.7M 156.9M -322.8M -404.7M Net VEX -3.2M -3.6M -2.8M -3.5M -3.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.42 1.40 0.84 0.74 Total Volume 24,725.696 9,090 60,166 11,285 28,264 Total OI 268,003.391 219,849 333,243 274,985 250,531
Daily Data (23 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 2014-10-01 $95.11 $97.50 40.5% 9.1% 29.4% 88.5% 31.7% 3.2% -3.2% 8.8M -322.8M -3.5M 0.84 10.24 N/A N/A 6,130 5,155 153,391 121,594 2014-10-02 $94.32 $97.50 40.8% 9.1% 29.5% 90.2% 31.5% 5.0% -2.0% 8.7M -281.8M -3.4M 0.46 9.33 N/A N/A 16,455 7,600 154,233 122,403 2014-10-03 $95.63 $95.00 39.0% 9.0% 28.3% 81.8% 31.3% 3.6% -2.0% 12.6M -365.2M -3.6M 0.67 11.68 N/A N/A 8,863 5,958 159,681 125,672 2014-10-06 $93.08 $95.00 40.5% 9.2% 29.2% 88.6% 32.2% 3.0% -1.6% 10.7M -266.2M -3.4M 0.73 9.88 N/A N/A 9,701 7,053 152,955 120,103 2014-10-07 $91.56 $95.00 40.5% 9.3% 29.5% 88.7% 32.4% 2.3% -1.7% 7.9M -199.4M -3.4M 0.78 8.98 N/A N/A 10,348 8,021 155,952 123,494 2014-10-08 $93.41 $95.00 39.5% 9.2% 30.7% 84.1% 31.5% 6.3% -2.4% 10.7M -272.5M -3.5M 0.65 10.81 N/A N/A 15,191 9,842 158,717 126,941 2014-10-09 $89.99 $95.00 41.0% 9.4% 33.0% 91.0% 32.5% 3.5% -3.2% 7.4M -116.9M -3.3M 0.69 9.84 N/A N/A 9,291 6,411 164,338 127,365 2014-10-10 $86.07 $95.00 45.1% 10.1% 35.8% 100.0% 35.1% 2.1% -2.5% 2.4M 68.8M -3.2M 0.72 19.17 N/A N/A 20,203 14,453 167,247 129,389 2014-10-13 $82.81 $95.00 47.2% 10.5% 37.4% 100.0% 36.5% 0.8% -1.3% 400.4K 137.9M -3.0M 0.65 14.93 N/A N/A 18,744 12,240 168,847 125,812 2014-10-14 $85.15 $95.00 45.8% 10.4% 37.5% 94.6% 35.6% 7.3% -2.4% 3.8M 44.1M -3.1M 0.73 13.49 N/A N/A 13,813 10,049 172,317 125,801 2014-10-15 $84.71 $95.00 45.4% 10.6% 37.3% 93.3% 36.8% 7.9% -3.3% 3.8M 57.0M -3.1M 0.61 13.59 N/A N/A 20,515 12,561 176,398 127,335 2014-10-16 $85.31 $95.00 48.4% 10.8% 35.1% 100.0% 37.1% 5.8% -2.9% 7.5M -27.9M -3.1M 0.64 22.73 N/A N/A 36,691 23,475 179,468 124,872 2014-10-17 $82.80 $95.00 36.4% 10.0% 35.6% 56.7% 35.4% 4.9% -0.9% 1.4M 156.9M -2.8M 0.58 13.46 N/A N/A 26,807 15,449 198,527 134,716 2014-10-20 $84.39 $95.00 32.6% 9.5% 36.7% 42.8% 33.0% 4.4% -0.4% 4.6M -28.6M -2.8M 0.42 9.80 N/A N/A 21,182 8,931 124,968 94,881 2014-10-21 $89.13 $95.00 28.8% 9.0% 42.8% 28.8% 31.6% 4.0% -0.8% 11.5M -200.5M -3.1M 0.48 11.75 N/A N/A 17,926 8,566 130,965 97,413 2014-10-22 $86.62 $95.00 30.7% 9.3% 43.1% 35.6% 32.7% 3.2% -1.3% 9.7M -113.7M -3.0M 0.60 12.41 N/A N/A 13,488 8,103 136,584 99,281 2014-10-23 $88.34 $95.00 27.8% 9.1% 43.2% 25.1% 32.1% 3.0% 0.6% 13.4M -186.7M -3.1M 0.72 12.33 N/A N/A 13,014 9,394 138,626 101,114 2014-10-24 $88.66 $95.00 27.1% 9.1% 42.2% 22.9% 31.9% 3.1% 0.4% 9.7M -196.0M -3.1M 0.67 12.62 N/A N/A 9,822 6,605 139,693 103,694 2014-10-27 $89.25 $95.00 28.0% 9.0% 42.2% 25.8% 32.3% 2.3% 0.7% 10.7M -198.2M -3.1M 0.90 12.68 N/A N/A 4,780 4,310 131,348 98,697 2014-10-28 $90.87 $95.00 27.0% 8.9% 42.8% 22.4% 31.7% 2.2% 0.3% 13.2M -263.9M -3.1M 0.56 13.25 N/A N/A 8,408 4,723 134,016 101,174 2014-10-29 $90.89 $95.00 26.7% 9.0% 41.7% 21.1% 30.5% 3.4% 1.6% 13.3M -261.1M -3.2M 0.48 12.84 N/A N/A 13,786 6,645 137,289 104,264 2014-10-30 $90.35 $95.00 27.7% 9.1% 41.6% 24.8% 31.8% 2.0% 0.3% 12.2M -220.4M -3.2M 1.40 13.96 N/A N/A 12,376 17,349 136,872 105,100 2014-10-31 $94.07 $95.00 26.4% 8.8% 44.0% 20.4% 31.4% 2.5% 1.0% 15.9M -404.7M -3.3M 0.74 11.91 N/A N/A 16,216 12,048 138,671 111,860
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