SNDK Options History — February 2015

In February 2015, SNDK traded between $76.73 and $82.79. ATM implied volatility averaged 28.5%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.2%. IV traded below realized volatility by 5.8% (HV 20d: 34.3%). Max pain ranged from $80.00 to $80.00. Net GEX was positive for 12 of 19 trading days. Term structure was in contango for 14 of 19 days. Put/call ratio averaged 0.62.

Notable Days

2015-02-27: Highest Volume — 42,581 contracts
2015-02-03: Largest IV drop — 4.5% change
2015-02-02: Highest IV Rank — 38.6%
2015-02-02: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$79.89	$76.73	$82.79	$76.73	$79.96
Max Pain	$80.00	$80.00	$80.00	$80.00	$80.00
ATM IV	28.5%	26.9%	31.5%	31.5%	27.8%
Expected Move	8.2%	7.6%	9.0%	9.0%	8.2%
HV 20d	34.3%	22.1%	58.1%	56.8%	24.3%
HV 60d	38.4%	37.9%	39.1%	38.1%	38.3%
IV Rank	27.7%	21.9%	38.6%	38.6%	25.1%
IV Percentile	52.8%	42.1%	61.9%	61.9%	50.4%
Term Structure	0.1%	-0.4%	0.7%	0.2%	-0.4%
VWIV	29.7%	27.7%	33.2%	33.2%	29.0%
Skew 25d	0.6%	-0.9%	1.8%	1.6%	0.3%
Skew 10d	0.8%	-3.1%	5.4%	5.3%	-3.1%
Call IV 25d	29.2%	27.1%	31.5%	31.5%	28.3%
Put IV 25d	29.9%	27.8%	33.1%	33.1%	28.6%
Bid-Ask Spread %	16.68	10.98	32.79	13.15	32.79
Gamma HHI	0.08	0.05	0.22	0.09	0.09
Net GEX	3.1M	-8.8M	24.9M	-1.9M	-1.9M
Net DEX	39.6M	-113.4M	158.6M	147.9M	70.9M
Net VEX	-2.5M	-2.7M	-2.3M	-2.5M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.31	1.39	0.42	0.52
Total Volume	21,864.579	5,889	42,581	10,412	42,581
Total OI	230,522.526	196,364	253,202	225,082	218,147

Daily Data (19 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
2015-02-02	$76.73	$80.00	31.5%	9.0%	56.8%	38.6%	33.2%	1.6%	0.2%	-1.9M	147.9M	-2.5M	0.42	13.15	N/A	N/A	7,338	3,074	129,122	95,960
2015-02-03	$78.60	$80.00	30.0%	8.4%	57.9%	33.4%	30.8%	1.8%	-0.1%	1.6M	82.9M	-2.6M	0.41	13.61	N/A	N/A	19,455	7,919	133,850	97,847
2015-02-04	$77.82	$80.00	30.0%	8.5%	57.8%	33.2%	31.4%	0.5%	0.2%	-81.6K	112.9M	-2.5M	0.60	15.46	N/A	N/A	15,625	9,435	136,130	100,067
2015-02-05	$78.41	$80.00	29.1%	8.5%	58.1%	30.0%	30.0%	1.7%	0.2%	369.6K	93.0M	-2.6M	0.52	14.98	N/A	N/A	14,060	7,266	137,822	102,423
2015-02-06	$77.46	$80.00	29.2%	8.3%	56.5%	30.4%	31.8%	0.3%	-0.3%	-8.8M	144.5M	-2.5M	0.80	15.15	N/A	N/A	16,725	13,370	138,805	103,573
2015-02-09	$76.99	$80.00	29.3%	8.4%	56.4%	30.8%	30.0%	0.6%	0.4%	-4.3M	158.6M	-2.4M	0.53	15.32	N/A	N/A	10,619	5,622	128,148	102,960
2015-02-10	$79.05	$80.00	28.0%	8.1%	24.9%	26.2%	29.9%	1.2%	0.7%	271.4K	79.4M	-2.6M	0.92	16.22	N/A	N/A	11,553	10,675	130,390	104,164
2015-02-11	$80.32	$80.00	28.9%	8.3%	24.0%	29.1%	30.1%	-0.9%	0.3%	3.5M	19.4M	-2.6M	0.42	13.44	N/A	N/A	23,762	9,950	132,055	106,354
2015-02-12	$82.34	$80.00	28.4%	8.2%	24.7%	27.3%	30.1%	-0.4%	0.1%	9.6M	-85.8M	-2.7M	0.53	10.98	N/A	N/A	21,076	11,127	138,269	108,382
2015-02-13	$82.79	$80.00	28.0%	8.0%	23.7%	26.1%	28.7%	0.6%	-0.3%	24.9M	-113.4M	-2.7M	0.54	11.91	N/A	N/A	15,832	8,496	142,722	110,480
2015-02-17	$82.06	$80.00	28.7%	8.2%	24.0%	28.5%	30.6%	0.7%	0.1%	7.7M	-49.4M	-2.6M	0.67	11.86	N/A	N/A	11,948	7,966	130,711	106,913
2015-02-18	$81.88	$80.00	28.4%	8.1%	24.0%	27.3%	29.7%	1.1%	0.0%	8.0M	-43.6M	-2.6M	0.52	22.71	N/A	N/A	12,495	6,495	133,927	108,894
2015-02-19	$82.41	$80.00	27.6%	7.9%	23.1%	24.6%	28.4%	0.5%	0.6%	10.9M	-73.5M	-2.6M	0.82	22.81	N/A	N/A	3,230	2,659	134,496	108,336
2015-02-20	$82.63	$80.00	28.0%	8.0%	22.1%	25.9%	29.5%	1.0%	0.0%	7.5M	-87.8M	-2.6M	0.31	18.15	N/A	N/A	8,008	2,463	135,735	108,238
2015-02-23	$81.35	$80.00	27.0%	7.6%	23.0%	22.3%	28.2%	0.6%	0.1%	3.3M	12.8M	-2.5M	0.51	17.91	N/A	N/A	11,189	5,665	107,827	88,537
2015-02-24	$79.97	$80.00	27.3%	7.8%	23.6%	23.3%	27.8%	-0.3%	0.5%	1.1M	54.8M	-2.4M	0.56	19.79	N/A	N/A	10,714	6,035	111,246	90,014
2015-02-25	$79.03	$80.00	27.0%	7.7%	23.1%	22.3%	27.8%	0.4%	-0.1%	-1.4M	86.7M	-2.4M	0.81	17.62	N/A	N/A	12,509	10,128	112,778	91,492
2015-02-26	$78.13	$80.00	26.9%	7.6%	23.3%	21.9%	27.7%	1.0%	0.1%	-2.5M	141.3M	-2.3M	1.39	13.09	N/A	N/A	7,687	10,676	116,615	96,499
2015-02-27	$79.96	$80.00	27.8%	8.2%	24.3%	25.1%	29.0%	0.3%	-0.4%	-1.9M	70.9M	-2.5M	0.52	32.79	N/A	N/A	27,957	14,624	119,023	99,124