SNDK Options History — January 2015 In January 2015, SNDK traded between $75.92 and $97.91. ATM implied volatility averaged 37.2%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 8.9% (HV 20d: 46.0%). Max pain ranged from $80.00 to $97.50. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.90.
Notable Days 2015-01-22 : Highest Volume — 82,010 contracts2015-01-22 : Largest IV drop — 26.3% change2015-01-15 : Highest IV Rank — 82.2%2015-01-14 : Largest Expected Move — 11.8%Monthly Statistics Metric Avg Min Max Open Close Price $84.47 $75.92 $97.91 $97.91 $75.92 Max Pain $89.00 $80.00 $97.50 $97.50 $80.00 ATM IV 37.2% 28.5% 43.5% 38.7% 31.7% Expected Move 10.2% 8.2% 11.8% 10.0% 9.0% HV 20d 46.0% 20.1% 57.0% 20.9% 56.3% HV 60d 36.0% 26.4% 41.2% 29.9% 38.0% IV Rank 59.3% 28.0% 82.2% 64.7% 39.4% IV Percentile 82.8% 57.9% 98.0% 90.5% 63.1% Term Structure -1.3% -3.0% 1.1% -1.9% -0.0% VWIV 36.5% 29.5% 42.8% 35.2% 32.3% Skew 25d 3.7% 0.6% 5.7% 4.9% 0.6% Skew 10d 6.6% -0.1% 11.7% 7.9% 0.6% Call IV 25d 36.3% 28.2% 42.5% 37.9% 32.0% Put IV 25d 40.0% 30.8% 47.3% 42.9% 32.6% Bid-Ask Spread % 14.39 8.43 22.27 14.33 13.37 Gamma HHI 0.09 0.05 0.13 0.09 0.11 Net GEX 1.1M -7.7M 17.9M 14.4M -3.8M Net DEX 56.0M -361.9M 342.1M -348.3M 239.6M Net VEX -2.6M -3.0M -2.3M -2.9M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.90 0.52 1.80 0.78 0.58 Total Volume 31,804.8 8,991 82,010 18,508 32,359 Total OI 247,831.65 176,332 300,074 248,746 239,792
Daily Data (20 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 2015-01-02 $97.91 $97.50 38.7% 10.0% 20.9% 64.7% 35.2% 4.9% -1.9% 14.4M -348.3M -2.9M 0.78 14.33 N/A N/A 10,419 8,089 138,292 110,454 2015-01-05 $95.33 $97.50 40.9% 10.6% 22.6% 73.0% 36.7% 4.1% -2.0% 10.0M -244.4M -2.8M 1.11 15.07 N/A N/A 4,266 4,725 136,201 108,315 2015-01-06 $95.46 $97.50 41.9% 10.9% 21.6% 76.6% 37.7% 3.7% -2.8% 10.0M -251.5M -2.9M 0.68 12.77 N/A N/A 11,574 7,905 136,792 110,284 2015-01-07 $94.77 $97.50 40.3% 10.7% 20.1% 70.7% 37.2% 4.3% -1.9% 8.9M -200.6M -2.9M 0.52 14.54 N/A N/A 11,219 5,883 141,171 114,197 2015-01-08 $97.41 $97.50 39.5% 10.4% 23.2% 67.8% 36.6% 5.7% -2.9% 17.9M -361.9M -2.9M 0.97 11.30 N/A N/A 12,641 12,219 147,214 116,631 2015-01-09 $97.12 $97.50 39.1% 10.2% 21.7% 66.3% 36.0% 5.2% -1.4% 8.3M -334.1M -3.0M 0.65 14.66 N/A N/A 18,742 12,173 150,596 119,524 2015-01-12 $83.57 $97.50 41.8% 11.3% 56.8% 76.2% 40.8% 5.4% -2.1% -921.7K 244.7M -2.4M 1.49 14.52 N/A N/A 22,992 34,190 146,425 120,108 2015-01-13 $81.39 $95.00 43.3% 11.7% 56.8% 81.6% 41.3% 4.0% -2.6% -3.3M 304.0M -2.4M 1.13 9.94 N/A N/A 16,508 18,639 153,602 131,902 2015-01-14 $79.93 $92.50 42.6% 11.8% 56.9% 78.9% 41.5% 5.5% -1.8% -4.3M 339.0M -2.4M 0.91 10.55 N/A N/A 17,197 15,577 158,448 136,312 2015-01-15 $78.54 $90.00 43.5% 11.7% 57.0% 82.2% 41.4% 4.8% -3.0% -4.0M 342.1M -2.3M 0.75 11.76 N/A N/A 11,915 8,938 160,172 136,836 2015-01-16 $78.93 $90.00 42.0% 11.7% 56.0% 76.8% 42.6% 4.5% -1.6% -4.4M 336.6M -2.3M 1.80 8.43 N/A N/A 10,048 18,039 161,500 138,574 2015-01-20 $78.80 $85.00 40.6% 11.5% 55.8% 71.9% 42.8% 3.7% -1.4% -2.6M 152.0M -2.4M 0.81 11.20 N/A N/A 16,908 13,650 89,580 86,752 2015-01-21 $80.44 $85.00 39.5% 11.3% 56.7% 67.7% 40.9% 3.6% -1.2% -2.3M 125.5M -2.5M 0.97 15.29 N/A N/A 31,966 31,100 97,906 97,466 2015-01-22 $79.12 $80.00 29.1% 8.4% 56.1% 30.1% 31.9% 2.6% -0.4% -6.0M 164.1M -2.5M 1.72 22.27 N/A N/A 30,120 51,890 118,584 116,096 2015-01-23 $79.52 $80.00 28.5% 8.2% 56.4% 28.0% 29.5% 2.7% -0.1% -1.1M 110.0M -2.5M 0.66 17.05 N/A N/A 25,198 16,683 123,992 108,438 2015-01-26 $80.35 $80.00 28.9% 8.3% 56.8% 29.2% 30.9% 2.6% -0.2% -304.3K 68.8M -2.6M 0.71 16.68 N/A N/A 10,485 7,481 120,308 93,654 2015-01-27 $79.00 $80.00 30.5% 8.5% 56.3% 35.2% 31.2% 1.7% 0.0% -3.0M 116.2M -2.6M 0.52 21.50 N/A N/A 7,823 4,061 127,527 97,421 2015-01-28 $78.37 $80.00 29.6% 8.6% 56.3% 31.7% 31.6% 2.1% 1.1% -4.4M 139.6M -2.6M 0.66 19.00 N/A N/A 17,426 11,510 132,187 98,541 2015-01-29 $77.44 $80.00 31.2% 8.8% 56.3% 37.5% 32.0% 3.6% -0.8% -7.7M 179.4M -2.5M 0.65 13.54 N/A N/A 20,387 13,151 133,162 101,677 2015-01-30 $75.92 $80.00 31.7% 9.0% 56.3% 39.4% 32.3% 0.6% -0.0% -3.8M 239.6M -2.4M 0.58 13.37 N/A N/A 20,503 11,856 135,428 104,364
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