SNDK Options History — March 2015 In March 2015, SNDK traded between $63.76 and $87.07. ATM implied volatility averaged 34.0%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 4.3% (HV 20d: 38.3%). Max pain ranged from $80.00 to $85.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.70.
Notable Days 2015-03-26 : Highest Volume — 74,574 contracts2015-03-16 : Largest IV spike — 12.8% change2015-03-26 : Highest IV Rank — 79.3%2015-03-30 : Largest Expected Move — 13.2%Monthly Statistics Metric Avg Min Max Open Close Price $79.56 $63.76 $87.07 $80.27 $63.76 Max Pain $83.98 $80.00 $85.00 $80.00 $82.50 ATM IV 34.0% 27.8% 42.7% 28.3% 39.6% Expected Move 10.8% 8.2% 13.2% 8.2% 13.1% HV 20d 38.3% 22.9% 80.7% 22.9% 80.1% HV 60d 42.9% 38.0% 58.2% 38.3% 58.2% IV Rank 47.9% 25.4% 79.3% 26.9% 68.2% IV Percentile 71.0% 49.2% 97.2% 52.0% 90.9% Term Structure 0.9% -2.5% 8.7% -1.1% -1.7% VWIV 38.0% 29.5% 46.2% 29.5% 46.2% Skew 25d 1.6% -0.8% 3.9% 0.4% 3.9% Skew 10d 3.2% -1.7% 7.2% 0.6% 7.2% Call IV 25d 33.7% 27.2% 42.0% 28.5% 38.8% Put IV 25d 35.3% 28.1% 44.7% 28.9% 42.7% Bid-Ask Spread % 8.98 6.31 16.17 15.51 6.37 Gamma HHI 0.08 0.04 0.34 0.05 0.06 Net GEX 7.9M -3.6M 26.1M 7.0M -3.2M Net DEX 5.0M -278.1M 399.1M 1.4M 380.7M Net VEX -2.6M -2.9M -1.8M -2.5M -2.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.70 0.36 1.13 0.63 0.72 Total Volume 21,782.455 5,817 74,574 22,082 29,975 Total OI 235,166.273 210,181 274,109 213,743 274,109
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 2015-03-02 $80.27 $80.00 28.3% 8.2% 22.9% 26.9% 29.5% 0.4% -1.1% 7.0M 1.4M -2.5M 0.63 15.51 N/A N/A 13,546 8,536 117,448 96,295 2015-03-03 $79.07 $80.00 28.6% 8.4% 23.6% 28.1% 29.9% -0.8% -0.9% 7.6M 42.1M -2.5M 0.72 16.17 N/A N/A 11,179 8,075 123,405 94,856 2015-03-04 $82.74 $80.00 28.3% 8.4% 27.2% 27.1% 29.9% 1.2% -0.6% 12.6M -135.4M -2.6M 0.36 13.98 N/A N/A 36,897 13,383 124,574 95,636 2015-03-05 $82.58 $85.00 27.8% 9.9% 26.9% 25.4% 34.8% 0.6% -0.7% 14.6M -151.0M -2.7M 1.10 9.09 N/A N/A 9,235 10,170 134,324 100,547 2015-03-06 $80.68 $85.00 28.4% 10.1% 28.4% 27.6% 35.3% 0.2% -0.3% 15.2M -29.5M -2.6M 1.05 8.65 N/A N/A 12,377 12,958 133,727 103,443 2015-03-09 $82.09 $85.00 28.1% 10.0% 28.4% 26.3% 35.5% 2.0% 7.1% 6.4M -38.5M -2.7M 0.71 8.99 N/A N/A 7,406 5,263 120,233 103,274 2015-03-10 $80.17 $85.00 28.7% 10.5% 29.8% 28.6% 36.7% 1.0% 8.5% 2.2M 47.7M -2.7M 0.57 8.14 N/A N/A 6,452 3,684 123,495 107,479 2015-03-11 $82.73 $85.00 28.5% 10.7% 30.4% 27.9% 37.5% 1.8% 8.7% 8.3M -72.7M -2.8M 0.43 7.84 N/A N/A 17,124 7,439 125,404 108,421 2015-03-12 $83.75 $85.00 30.3% 10.7% 30.2% 34.2% 37.5% 1.1% 8.4% 13.1M -122.4M -2.9M 0.71 6.31 N/A N/A 5,210 3,693 130,730 111,212 2015-03-13 $83.82 $85.00 31.4% 10.5% 29.0% 38.4% 37.4% 1.3% 8.4% 16.6M -130.3M -2.9M 0.72 6.94 N/A N/A 4,690 3,373 132,708 112,558 2015-03-16 $83.76 $85.00 35.4% 10.7% 28.9% 53.0% 37.6% 1.9% -1.3% 9.7M -105.9M -2.8M 0.49 7.32 N/A N/A 4,172 2,056 126,520 109,591 2015-03-17 $82.94 $85.00 37.0% 10.9% 29.0% 58.7% 38.0% 2.0% -1.9% 7.9M -66.6M -2.8M 0.52 6.52 N/A N/A 3,833 1,984 127,427 110,434 2015-03-18 $82.90 $85.00 37.7% 10.8% 29.0% 61.3% 38.2% 1.9% -1.1% 8.0M -64.2M -2.7M 0.71 9.25 N/A N/A 7,616 5,440 128,126 110,916 2015-03-19 $84.72 $85.00 37.2% 10.7% 29.9% 59.4% 37.8% 2.2% -1.0% 17.0M -161.8M -2.8M 0.45 7.91 N/A N/A 9,068 4,076 132,561 111,711 2015-03-20 $87.07 $85.00 36.7% 10.7% 31.3% 57.4% 38.1% 2.1% -1.9% 26.1M -278.1M -2.8M 0.49 8.44 N/A N/A 13,299 6,548 135,906 111,914 2015-03-23 $85.54 $85.00 37.1% 11.2% 31.4% 59.0% 39.6% 2.1% -1.8% 6.6M -111.8M -2.7M 1.13 8.93 N/A N/A 3,920 4,430 115,293 94,888 2015-03-24 $84.75 $85.00 36.4% 11.0% 30.9% 56.5% 38.8% 2.0% -1.2% 4.8M -76.1M -2.7M 0.78 8.13 N/A N/A 3,671 2,876 116,953 96,815 2015-03-25 $81.18 $85.00 38.5% 11.7% 34.6% 64.2% 41.1% 1.7% 0.3% 977.1K 56.7M -2.6M 0.72 8.83 N/A N/A 12,214 8,767 118,458 98,327 2015-03-26 $66.21 $85.00 42.7% 13.1% 80.7% 79.3% 45.6% 2.7% -1.9% -3.6M 374.2M -1.8M 0.89 7.72 N/A N/A 39,451 35,123 124,948 102,884 2015-03-27 $64.59 $82.50 41.0% 12.9% 80.0% 73.4% 45.9% 2.1% -0.8% -2.4M 399.1M -1.9M 0.94 8.71 N/A N/A 25,387 23,979 143,486 115,603 2015-03-30 $64.96 $82.50 41.1% 13.2% 80.1% 73.4% 45.3% 2.8% -2.5% -2.0M 353.2M -2.0M 0.53 7.71 N/A N/A 20,016 10,623 144,281 122,738 2015-03-31 $63.76 $82.50 39.6% 13.1% 80.1% 68.2% 46.2% 3.9% -1.7% -3.2M 380.7M -2.0M 0.72 6.37 N/A N/A 17,383 12,592 149,167 124,942
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