SNDK Options History — December 2014

In December 2014, SNDK traded between $96.81 and $105.92. ATM implied volatility averaged 31.3%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 8.2% (HV 20d: 23.0%). Max pain ranged from $95.00 to $97.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 1.13.

Notable Days

2014-12-12: Highest Volume — 38,044 contracts
2014-12-12: Largest IV spike — 7.8% change
2014-12-31: Highest IV Rank — 64.0%
2014-12-16: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$101.02	$96.81	$105.92	$102.76	$97.98
Max Pain	$96.67	$95.00	$97.50	$95.00	$97.50
ATM IV	31.3%	25.3%	38.5%	26.3%	38.5%
Expected Move	9.6%	8.9%	10.3%	8.9%	9.9%
HV 20d	23.0%	19.6%	26.1%	19.6%	22.7%
HV 60d	31.8%	30.2%	32.6%	32.0%	30.2%
IV Rank	37.9%	16.4%	64.0%	19.7%	64.0%
IV Percentile	63.0%	25.0%	89.7%	43.7%	89.7%
Term Structure	1.6%	-2.5%	9.0%	0.5%	-1.8%
VWIV	34.4%	31.7%	36.4%	32.7%	34.8%
Skew 25d	2.7%	0.8%	4.2%	2.4%	4.0%
Skew 10d	5.8%	0.7%	11.7%	2.3%	4.9%
Call IV 25d	30.9%	24.4%	38.1%	26.0%	37.6%
Put IV 25d	33.6%	26.8%	41.6%	28.3%	41.6%
Bid-Ask Spread %	14.21	10.29	17.36	15.09	13.35
Gamma HHI	0.09	0.06	0.17	0.11	0.08
Net GEX	11.9M	1.7M	27.1M	15.4M	12.0M
Net DEX	-494.1M	-749.3M	-252.6M	-615.3M	-356.9M
Net VEX	-3.2M	-3.3M	-2.9M	-3.2M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.13	0.48	2.39	1.33	0.53
Total Volume	20,091.182	3,985	38,044	14,569	8,588
Total OI	249,982.818	228,959	265,715	238,064	245,607

Daily Data (22 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
2014-12-01	$102.76	$95.00	26.3%	8.9%	19.6%	19.7%	32.7%	2.4%	0.5%	15.4M	-615.3M	-3.2M	1.33	15.09	N/A	N/A	6,257	8,312	127,786	110,278
2014-12-02	$101.17	$95.00	27.1%	9.1%	20.9%	22.6%	33.7%	2.2%	-0.5%	14.2M	-548.6M	-3.2M	1.47	13.57	N/A	N/A	7,836	11,503	128,567	110,933
2014-12-03	$103.39	$95.00	27.1%	9.0%	21.0%	22.9%	34.3%	3.5%	-0.0%	17.4M	-645.2M	-3.2M	1.39	14.81	N/A	N/A	11,925	16,611	130,193	113,812
2014-12-04	$102.64	$95.00	26.4%	9.0%	21.4%	20.2%	31.7%	1.0%	0.2%	16.2M	-607.9M	-3.3M	0.48	12.30	N/A	N/A	6,572	3,157	133,724	121,308
2014-12-05	$104.17	$95.00	25.3%	9.0%	21.4%	16.4%	33.7%	2.4%	-0.6%	27.1M	-705.6M	-3.2M	0.96	12.77	N/A	N/A	12,848	12,343	135,808	122,825
2014-12-08	$105.92	$95.00	26.4%	9.3%	21.2%	20.1%	34.3%	1.8%	2.1%	16.9M	-749.3M	-3.2M	2.35	10.29	N/A	N/A	8,544	20,056	130,394	119,657
2014-12-09	$104.82	$97.50	26.6%	9.3%	22.0%	21.0%	34.6%	3.1%	1.3%	12.8M	-660.1M	-3.3M	1.83	10.75	N/A	N/A	7,379	13,497	132,163	124,955
2014-12-10	$102.18	$97.50	28.3%	9.8%	24.4%	27.0%	34.1%	1.0%	3.4%	8.8M	-533.6M	-3.3M	1.74	13.20	N/A	N/A	7,538	13,093	131,993	124,337
2014-12-11	$101.45	$97.50	28.4%	9.8%	24.7%	27.5%	35.0%	0.8%	2.3%	6.5M	-476.9M	-3.3M	1.01	12.03	N/A	N/A	10,187	10,338	133,072	126,735
2014-12-12	$98.88	$97.50	30.6%	10.0%	25.9%	35.6%	35.3%	1.5%	1.4%	5.0M	-314.9M	-3.2M	2.39	14.64	N/A	N/A	11,219	26,825	132,708	128,784
2014-12-15	$97.79	$97.50	32.1%	10.3%	26.0%	40.9%	36.4%	3.2%	5.0%	2.5M	-287.8M	-3.2M	1.23	16.09	N/A	N/A	9,329	11,479	128,767	124,659
2014-12-16	$96.81	$97.50	33.2%	10.3%	26.1%	45.0%	36.4%	4.1%	7.7%	4.2M	-252.6M	-3.2M	1.40	14.73	N/A	N/A	9,745	13,650	130,966	124,062
2014-12-17	$98.96	$97.50	31.6%	10.0%	25.3%	39.3%	35.0%	4.2%	9.0%	2.7M	-342.3M	-3.2M	1.50	15.60	N/A	N/A	8,804	13,245	133,370	126,281
2014-12-18	$99.38	$97.50	31.5%	9.9%	24.4%	38.6%	34.8%	2.6%	2.5%	1.7M	-382.9M	-3.1M	0.84	15.17	N/A	N/A	14,801	12,467	133,508	125,812
2014-12-19	$99.99	$97.50	32.3%	9.9%	24.0%	41.5%	34.2%	4.1%	5.0%	7.0M	-408.6M	-3.1M	0.99	15.77	N/A	N/A	9,258	9,179	137,550	128,165
2014-12-22	$101.04	$0.00	34.3%	9.7%	23.9%	49.0%	35.7%	2.6%	-0.0%	12.7M	-498.4M	-3.1M	0.69	13.21	N/A	N/A	12,594	8,653	123,700	105,259
2014-12-23	$100.56	$95.00	33.8%	9.6%	22.5%	46.9%	34.1%	2.4%	2.4%	13.2M	-483.0M	-3.1M	0.51	13.57	N/A	N/A	10,021	5,148	129,642	107,839
2014-12-24	$100.65	$97.50	36.2%	9.6%	22.5%	55.7%	34.3%	3.1%	-0.6%	15.2M	-501.7M	-3.1M	0.59	14.95	N/A	N/A	11,616	6,804	132,755	108,329
2014-12-26	$101.45	$97.50	35.9%	9.7%	22.3%	54.7%	33.0%	3.2%	0.7%	22.1M	-550.9M	-3.1M	0.48	16.87	N/A	N/A	14,353	6,887	137,474	109,264
2014-12-29	$100.59	$97.50	38.4%	9.7%	22.4%	63.7%	35.0%	2.9%	-2.5%	15.2M	-494.8M	-3.0M	0.59	17.36	N/A	N/A	9,673	5,687	134,982	107,143
2014-12-30	$99.80	$97.50	37.7%	9.7%	22.4%	61.2%	33.2%	3.9%	-1.3%	13.7M	-453.0M	-3.0M	0.54	16.49	N/A	N/A	2,590	1,395	136,086	108,370
2014-12-31	$97.98	$97.50	38.5%	9.9%	22.7%	64.0%	34.8%	4.0%	-1.8%	12.0M	-356.9M	-2.9M	0.53	13.35	N/A	N/A	5,623	2,965	136,756	108,851