SNDK Options History — November 2014

In November 2014, SNDK traded between $92.68 and $104.26. ATM implied volatility averaged 25.4%, placing in the 16.6% IV rank vs the trailing year. The 30-day expected move averaged 8.8%. IV traded below realized volatility by 4.8% (HV 20d: 30.2%). Max pain ranged from $95.00 to $95.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.78.

Notable Days

  • 2014-11-18: Highest Volume — 24,588 contracts
  • 2014-11-12: Largest IV drop — 3.8% change
  • 2014-11-04: Highest IV Rank — 23.3%
  • 2014-11-04: Largest Expected Move — 9.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$97.20$92.68$104.26$94.42$103.46
Max Pain$95.00$95.00$95.00$95.00$95.00
ATM IV25.4%23.8%27.3%27.1%26.2%
Expected Move8.8%8.6%9.0%8.8%8.9%
HV 20d30.2%22.4%42.9%42.9%22.9%
HV 60d31.9%31.4%32.7%31.7%32.4%
IV Rank16.6%10.9%23.3%22.7%19.4%
IV Percentile26.9%6.7%56.7%54.8%42.9%
Term Structure0.1%-0.6%0.8%-0.5%-0.2%
VWIV31.8%30.2%33.1%31.2%32.7%
Skew 25d2.0%0.9%3.0%2.2%1.2%
Skew 10d4.1%0.8%6.6%2.2%1.6%
Call IV 25d25.4%24.0%27.3%26.6%26.3%
Put IV 25d27.3%25.2%29.5%28.9%27.5%
Bid-Ask Spread %12.7210.8715.6112.4615.61
Gamma HHI0.090.080.120.080.10
Net GEX16.7M13.2M24.5M15.0M15.6M
Net DEX-500.7M-735.0M-299.8M-386.0M-669.6M
Net VEX-3.1M-3.3M-3.0M-3.2M-3.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.551.060.740.61
Total Volume17,014.2119,05824,58816,97313,603
Total OI242,915.895218,043257,956240,990243,799

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-11-03$94.42$95.0027.1%8.8%42.9%22.7%31.2%2.2%-0.5%15.0M-386.0M-3.2M0.7412.46N/AN/A9,7517,222134,865106,125
2014-11-04$93.28$95.0027.3%9.0%42.7%23.3%31.9%2.2%0.3%13.9M-335.0M-3.2M0.8812.87N/AN/A8,1757,181135,918106,508
2014-11-05$93.99$95.0027.3%8.8%42.2%23.3%32.0%2.2%-0.6%14.9M-369.9M-3.2M0.8712.41N/AN/A6,9456,068136,518107,040
2014-11-06$93.53$95.0026.5%9.0%39.9%20.7%33.1%1.9%0.6%14.0M-341.1M-3.1M0.9112.33N/AN/A7,3076,631136,804107,118
2014-11-07$92.83$95.0025.8%8.9%36.1%18.1%32.9%2.3%0.1%13.2M-299.8M-3.1M1.0613.57N/AN/A10,99911,620137,490106,782
2014-11-10$93.21$95.0025.8%8.9%32.5%18.1%32.3%3.0%0.1%14.6M-339.3M-3.1M0.9512.72N/AN/A7,5157,120135,625104,195
2014-11-11$92.68$95.0025.2%8.8%31.7%16.0%32.3%0.9%0.0%14.2M-325.6M-3.0M1.0412.82N/AN/A7,2727,588135,725102,312
2014-11-12$92.83$95.0024.3%8.7%31.5%12.6%31.4%3.0%0.4%15.5M-313.3M-3.0M0.6811.85N/AN/A9,7426,578136,364106,143
2014-11-13$95.04$95.0024.2%8.6%32.2%12.3%31.8%2.0%-0.1%19.1M-441.4M-3.0M0.7412.90N/AN/A11,2538,310138,160106,892
2014-11-14$96.19$95.0023.8%8.7%29.4%10.9%30.2%1.2%0.2%18.9M-501.9M-3.0M0.6612.94N/AN/A6,6224,359139,367108,008
2014-11-17$97.04$95.0024.3%8.6%29.1%12.5%30.6%1.8%0.8%16.8M-518.2M-3.0M0.7213.66N/AN/A9,3726,747138,009107,918
2014-11-18$99.80$95.0025.0%8.6%24.5%15.0%30.7%1.9%0.6%18.9M-675.2M-3.0M0.6411.13N/AN/A15,0269,562140,221109,906
2014-11-19$98.04$95.0025.3%8.8%22.7%16.3%30.3%2.0%-0.3%15.4M-578.5M-3.0M0.5510.87N/AN/A5,8393,219142,479112,535
2014-11-20$99.46$95.0024.6%8.7%22.4%13.8%31.3%2.3%0.3%19.1M-644.7M-3.0M0.8411.61N/AN/A8,7557,396142,646112,043
2014-11-21$100.73$95.0024.5%8.7%22.5%13.3%31.2%1.9%-0.6%19.6M-725.1M-3.0M0.6614.67N/AN/A14,5939,643143,917114,039
2014-11-24$102.91$95.0025.1%8.6%23.1%15.4%31.8%2.2%-0.4%15.6M-652.8M-3.0M0.7811.60N/AN/A13,02310,111118,97699,067
2014-11-25$103.11$95.0024.8%8.7%22.8%14.5%32.8%1.3%0.2%18.5M-661.6M-3.1M0.5812.60N/AN/A14,1118,158123,064102,658
2014-11-26$104.26$95.0025.3%8.7%22.8%16.4%32.8%2.3%0.1%24.5M-735.0M-3.1M1.0013.05N/AN/A7,9117,943130,697105,469
2014-11-28$103.46$95.0026.2%8.9%22.9%19.4%32.7%1.2%-0.2%15.6M-669.6M-3.3M0.6115.61N/AN/A8,4455,158132,386111,413