SNDK Options History — May 2015

In May 2015, SNDK traded between $66.43 and $69.61. ATM implied volatility averaged 25.9%, placing in the 18.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.0% (HV 20d: 21.9%). Max pain ranged from $67.50 to $68.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.75.

Notable Days

  • 2015-05-28: Highest Volume — 61,850 contracts
  • 2015-05-28: Largest IV spike — 7.5% change
  • 2015-05-28: Highest IV Rank — 27.6%
  • 2015-05-28: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$67.49$66.43$69.61$68.43$68.57
Max Pain$67.53$67.50$68.00$68.00$67.50
ATM IV25.9%23.6%28.4%27.4%27.7%
Expected Move7.5%6.7%8.0%7.8%8.0%
HV 20d21.9%16.3%29.7%29.7%21.1%
HV 60d50.6%49.9%51.2%51.2%49.9%
IV Rank18.3%10.1%27.6%23.7%24.9%
IV Percentile25.4%6.3%51.2%41.7%42.9%
Term Structure0.2%-1.0%0.8%0.3%-1.0%
VWIV26.4%23.5%29.4%27.6%28.6%
Skew 25d0.6%-1.1%1.7%0.5%-1.1%
Skew 10d0.9%-3.4%3.0%0.3%-3.4%
Call IV 25d25.9%23.9%29.0%27.4%27.7%
Put IV 25d26.5%24.0%28.6%27.9%26.5%
Bid-Ask Spread %11.446.5522.2010.2810.22
Gamma HHI0.100.070.180.090.11
Net GEX1.2M-9.9M7.2M7.2M1.0M
Net DEX164.4M38.9M220.2M138.0M123.0M
Net VEX-2.4M-2.7M-2.3M-2.5M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.750.221.960.880.56
Total Volume21,113.357,96761,85021,65022,611
Total OI265,894.5228,988287,600279,670287,600

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$68.43$68.0027.4%7.8%29.7%23.7%27.6%0.5%0.3%7.2M138.0M-2.5M0.8810.28N/AN/A11,48910,161148,335131,335
2015-05-04$67.51$67.5026.9%7.9%26.6%22.1%27.8%1.4%0.3%2.5M170.4M-2.4M0.5710.58N/AN/A5,0662,901141,889126,514
2015-05-05$67.01$67.5027.0%7.9%26.5%22.3%28.6%1.0%0.0%1.4M191.6M-2.3M0.669.87N/AN/A10,6657,085144,203126,866
2015-05-06$66.56$67.5027.5%7.9%26.0%24.2%28.4%0.9%0.4%260.0K204.7M-2.4M1.1811.47N/AN/A8,91010,493146,965126,887
2015-05-07$66.58$67.5027.1%7.9%24.4%22.8%27.4%1.0%0.7%-786.7K213.7M-2.4M1.0413.80N/AN/A10,14510,575145,797130,604
2015-05-08$67.72$67.5025.2%7.4%25.3%15.9%26.0%1.5%0.2%3.0M162.6M-2.4M0.6110.35N/AN/A5,5763,374147,118133,053
2015-05-11$67.77$67.5025.4%7.5%25.3%16.5%26.0%0.5%0.6%4.5M155.8M-2.4M0.428.96N/AN/A13,5775,765144,188129,130
2015-05-12$66.79$67.5026.1%7.5%25.7%19.1%26.2%1.7%0.1%183.0K208.5M-2.3M0.5711.48N/AN/A9,4435,425144,993130,897
2015-05-13$67.19$67.5026.1%7.6%25.4%19.1%26.8%0.6%0.4%3.3M175.7M-2.4M0.2915.95N/AN/A24,0966,918147,374131,426
2015-05-14$67.05$67.5025.0%7.3%18.7%15.2%26.0%0.7%0.5%5.8M187.4M-2.4M0.6522.20N/AN/A9,7586,303152,360133,116
2015-05-15$67.20$67.5024.2%7.0%18.2%12.3%24.7%0.7%0.2%6.4M187.9M-2.4M0.616.55N/AN/A11,8387,232152,937133,613
2015-05-18$67.50$67.5024.0%6.9%18.2%11.5%24.2%0.9%0.4%-820.7K153.1M-2.4M0.4910.58N/AN/A6,3363,100117,505111,483
2015-05-19$67.33$67.5025.5%7.3%17.2%17.0%25.5%0.2%0.3%-106.7K153.9M-2.3M0.2213.42N/AN/A20,6324,622120,790112,437
2015-05-20$67.09$67.5024.7%7.1%16.9%14.1%25.0%0.2%0.1%1.8M157.9M-2.3M1.709.76N/AN/A6,89311,734128,055113,610
2015-05-21$67.21$67.5023.9%6.8%16.9%11.2%24.4%0.4%0.8%870.3K167.7M-2.4M1.969.35N/AN/A7,60514,873129,001120,794
2015-05-22$67.21$67.5023.6%6.7%16.3%10.1%23.5%0.1%0.1%-9.9M187.7M-2.4M0.849.09N/AN/A10,3678,675130,152129,932
2015-05-26$66.43$67.5025.2%7.1%16.7%15.9%25.1%0.8%-0.1%-6.8M220.2M-2.4M0.477.34N/AN/A10,6785,036123,351125,888
2015-05-27$69.13$67.5026.5%7.6%21.4%20.4%26.8%0.8%-0.7%1.9M90.4M-2.5M0.6811.00N/AN/A18,11012,350126,210127,024
2015-05-28$69.61$67.5028.4%8.0%21.0%27.6%29.4%-0.3%-0.2%2.7M38.9M-2.7M0.4916.55N/AN/A41,43220,418133,346131,112
2015-05-29$68.57$67.5027.7%8.0%21.1%24.9%28.6%-1.1%-1.0%1.0M123.0M-2.7M0.5610.22N/AN/A14,5158,096147,000140,600