SNDK Options History — April 2015 In April 2015, SNDK traded between $64.59 and $71.10. ATM implied volatility averaged 33.6%, placing in the 46.4% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 34.1% (HV 20d: 67.7%). Max pain ranged from $67.50 to $82.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.89.
Notable Days 2015-04-16 : Highest Volume — 77,293 contracts2015-04-16 : Largest IV drop — 24.6% change2015-04-01 : Highest IV Rank — 74.8%2015-04-01 : Largest Expected Move — 13.8%Monthly Statistics Metric Avg Min Max Open Close Price $68.22 $64.59 $71.10 $65.14 $66.89 Max Pain $69.14 $67.50 $82.00 $82.00 $68.00 ATM IV 33.6% 26.7% 41.4% 41.4% 28.1% Expected Move 9.6% 7.5% 13.8% 13.8% 8.2% HV 20d 67.7% 29.0% 81.0% 78.3% 29.0% HV 60d 52.8% 50.5% 59.1% 58.3% 50.9% IV Rank 46.4% 21.3% 74.8% 74.8% 26.5% IV Percentile 67.0% 34.9% 95.2% 95.2% 48.0% Term Structure -0.8% -2.8% 1.2% -2.8% 0.4% VWIV 33.6% 26.7% 48.2% 48.2% 29.2% Skew 25d 1.4% -0.9% 3.0% 3.0% 0.9% Skew 10d 3.1% 0.5% 11.1% 5.1% 1.0% Call IV 25d 33.3% 26.3% 40.1% 40.1% 28.5% Put IV 25d 34.7% 27.8% 43.1% 43.1% 29.4% Bid-Ask Spread % 10.68 8.16 15.17 8.16 11.90 Gamma HHI 0.07 0.04 0.13 0.07 0.08 Net GEX 803.8K -11.8M 9.2M 2.2M 142.8K Net DEX 192.6M 92.0M 391.8M 307.1M 223.2M Net VEX -2.4M -2.6M -2.1M -2.1M -2.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.89 0.46 1.61 0.55 1.12 Total Volume 31,674.524 8,390 77,293 44,942 23,260 Total OI 283,578.524 234,417 340,204 287,120 278,849
Daily Data (21 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 2015-04-01 $65.14 $82.00 41.4% 13.8% 78.3% 74.8% 48.2% 3.0% -2.8% 2.2M 307.1M -2.1M 0.55 8.16 N/A N/A 28,955 15,987 157,628 129,492 2015-04-02 $64.59 $70.00 39.3% 10.7% 78.3% 66.8% 34.1% 2.7% -1.3% 1.7M 324.9M -2.1M 0.72 8.64 N/A N/A 15,963 11,422 165,166 135,586 2015-04-06 $67.27 $70.00 40.7% 11.1% 80.3% 71.9% 38.6% 1.8% -1.2% -960.8K 241.3M -2.3M 0.69 9.35 N/A N/A 29,230 20,162 146,839 132,772 2015-04-07 $67.90 $67.50 39.7% 10.9% 80.0% 68.6% 38.2% 2.0% -1.2% 1.9M 196.5M -2.4M 0.84 13.91 N/A N/A 14,128 11,813 161,354 132,197 2015-04-08 $68.89 $67.50 39.7% 10.8% 80.3% 68.6% 38.2% 1.7% -2.7% 2.3M 160.4M -2.4M 0.94 8.89 N/A N/A 4,333 4,057 162,981 133,688 2015-04-09 $70.47 $67.50 39.4% 11.0% 79.8% 67.4% 38.4% 2.2% -0.8% 3.0M 92.0M -2.5M 1.02 10.43 N/A N/A 18,274 18,673 164,288 135,101 2015-04-10 $70.59 $67.50 39.6% 11.0% 79.5% 68.0% 38.6% 2.4% -1.4% -1.5M 101.9M -2.6M 0.86 8.45 N/A N/A 13,507 11,595 167,123 142,329 2015-04-13 $70.48 $67.50 39.8% 11.2% 79.5% 68.7% 39.1% 1.6% -1.5% -1.5M 166.6M -2.5M 1.07 11.51 N/A N/A 11,865 12,648 155,102 136,901 2015-04-14 $70.30 $70.00 38.6% 11.0% 79.4% 64.5% 38.5% 1.1% -0.9% -1.7M 179.0M -2.5M 0.71 11.03 N/A N/A 16,793 11,994 158,481 140,364 2015-04-15 $71.10 $70.00 38.0% 10.9% 79.8% 62.3% 38.4% 1.3% -1.8% -627.7K 137.8M -2.6M 1.61 9.96 N/A N/A 21,522 34,737 161,695 141,208 2015-04-16 $67.70 $70.00 28.7% 8.2% 81.0% 28.4% 29.3% 1.6% 0.4% -11.8M 360.5M -2.2M 1.48 8.60 N/A N/A 31,208 46,085 169,787 154,897 2015-04-17 $66.89 $70.00 30.5% 8.8% 80.1% 35.1% 30.6% 1.0% 0.0% -5.8M 391.8M -2.2M 1.16 9.20 N/A N/A 18,188 21,028 175,560 164,644 2015-04-20 $66.85 $70.00 29.3% 8.5% 78.9% 30.9% 29.6% 1.7% -0.6% -1.7M 205.6M -2.2M 0.46 10.30 N/A N/A 21,367 9,906 119,597 114,820 2015-04-21 $67.97 $67.50 28.0% 8.0% 79.6% 25.9% 28.2% 2.0% -0.4% 3.8M 142.0M -2.3M 0.89 8.43 N/A N/A 10,186 9,098 129,661 117,081 2015-04-22 $68.55 $67.50 27.9% 8.0% 79.9% 25.7% 28.4% 0.9% -0.8% 5.8M 114.7M -2.3M 0.59 12.43 N/A N/A 23,126 13,588 131,126 117,917 2015-04-23 $68.84 $67.50 27.0% 7.8% 79.1% 22.5% 28.0% 0.1% -0.5% 9.2M 96.3M -2.4M 0.70 10.28 N/A N/A 15,335 10,764 138,933 122,505 2015-04-24 $67.97 $68.00 26.8% 7.5% 30.8% 21.8% 26.7% 1.5% -0.6% 3.6M 156.9M -2.3M 0.92 15.08 N/A N/A 12,794 11,708 140,645 125,343 2015-04-27 $67.63 $68.00 26.7% 7.8% 29.4% 21.3% 27.6% 1.5% 0.1% 2.3M 166.8M -2.3M 0.65 11.55 N/A N/A 9,406 6,126 137,271 123,367 2015-04-28 $68.69 $68.00 28.0% 8.3% 29.7% 26.1% 29.2% -0.9% 1.2% 4.7M 113.5M -2.5M 0.84 11.11 N/A N/A 10,609 8,897 139,205 124,761 2015-04-29 $67.81 $68.00 28.5% 8.3% 29.3% 27.9% 29.2% -0.3% 0.3% 1.8M 165.1M -2.4M 0.93 15.17 N/A N/A 12,892 11,936 141,036 127,849 2015-04-30 $66.89 $68.00 28.1% 8.2% 29.0% 26.5% 29.2% 0.9% 0.4% 142.8K 223.2M -2.4M 1.12 11.90 N/A N/A 10,967 12,293 146,539 132,310
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