SNDK Options History — June 2015

In June 2015, SNDK traded between $58.33 and $68.64. ATM implied volatility averaged 30.8%, placing in the 36.2% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 7.9% (HV 20d: 22.9%). Max pain ranged from $67.50 to $70.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.82.

Notable Days

2015-06-30: Highest Volume — 44,612 contracts
2015-06-22: Largest IV spike — 8.7% change
2015-06-29: Highest IV Rank — 72.4%
2015-06-30: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.20	$58.33	$68.64	$68.19	$58.33
Max Pain	$69.55	$67.50	$70.00	$67.50	$67.50
ATM IV	30.8%	26.4%	40.8%	27.2%	40.6%
Expected Move	8.1%	7.4%	9.4%	7.7%	9.4%
HV 20d	22.9%	19.6%	27.0%	19.6%	26.1%
HV 60d	41.5%	24.5%	49.9%	49.9%	24.6%
IV Rank	36.2%	20.3%	72.4%	23.1%	71.9%
IV Percentile	54.5%	28.2%	92.9%	38.9%	91.7%
Term Structure	1.9%	-2.2%	9.1%	0.4%	-2.1%
VWIV	29.0%	26.5%	33.4%	28.2%	33.4%
Skew 25d	-0.1%	-2.1%	2.9%	-1.0%	2.9%
Skew 10d	-1.2%	-3.6%	1.6%	-1.9%	-0.2%
Call IV 25d	31.6%	27.8%	39.7%	28.7%	39.5%
Put IV 25d	31.6%	26.5%	42.4%	27.7%	42.4%
Bid-Ask Spread %	13.29	5.63	22.47	8.53	5.63
Gamma HHI	0.13	0.09	0.20	0.10	0.09
Net GEX	-5.6M	-13.1M	2.6M	-1.3M	-7.2M
Net DEX	262.8M	125.6M	489.1M	138.5M	489.1M
Net VEX	-2.3M	-2.7M	-1.8M	-2.7M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.32	1.55	0.81	1.55
Total Volume	23,016.227	11,212	44,612	19,131	44,612
Total OI	287,470.5	272,536	306,003	272,536	299,714

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
2015-06-01	$68.19	$67.50	27.2%	7.7%	19.6%	23.1%	28.2%	-1.0%	0.4%	-1.3M	138.5M	-2.7M	0.81	8.53	N/A	N/A	10,591	8,540	140,791	131,745
2015-06-02	$67.07	$67.50	27.0%	7.7%	19.9%	22.3%	27.5%	-0.4%	-0.2%	-4.9M	205.2M	-2.6M	0.32	8.63	N/A	N/A	8,486	2,726	142,042	134,690
2015-06-03	$67.50	$67.50	26.4%	7.7%	19.9%	20.3%	28.0%	-0.2%	-0.3%	-3.3M	182.8M	-2.6M	0.49	13.79	N/A	N/A	12,614	6,132	144,641	135,985
2015-06-04	$67.03	$70.00	27.4%	8.2%	19.9%	23.7%	29.1%	-1.3%	-0.2%	-4.7M	217.8M	-2.6M	1.20	15.47	N/A	N/A	7,478	8,954	145,561	136,430
2015-06-05	$68.64	$70.00	28.2%	8.6%	21.5%	26.9%	31.3%	-2.1%	0.6%	2.6M	125.6M	-2.6M	0.47	14.87	N/A	N/A	19,827	9,310	146,651	138,599
2015-06-08	$67.63	$70.00	28.2%	8.4%	21.5%	26.9%	29.7%	-0.8%	0.6%	-1.1M	150.4M	-2.6M	0.77	19.63	N/A	N/A	9,917	7,595	144,888	131,911
2015-06-09	$66.85	$70.00	28.1%	8.2%	21.9%	26.4%	29.7%	-0.9%	0.8%	-4.3M	195.1M	-2.5M	0.89	16.81	N/A	N/A	9,886	8,757	145,929	132,941
2015-06-10	$67.34	$70.00	27.2%	8.1%	21.4%	23.0%	29.5%	-0.9%	0.8%	-2.1M	161.6M	-2.5M	0.71	12.35	N/A	N/A	12,679	8,968	148,064	132,763
2015-06-11	$66.61	$70.00	27.1%	8.1%	21.6%	22.7%	29.0%	-0.6%	1.7%	-5.8M	207.7M	-2.5M	1.26	15.48	N/A	N/A	8,708	10,932	149,427	135,230
2015-06-12	$66.18	$70.00	27.0%	8.0%	21.7%	22.3%	29.2%	-0.4%	1.3%	-6.3M	246.7M	-2.4M	0.79	22.19	N/A	N/A	13,787	10,833	149,945	138,605
2015-06-15	$64.15	$70.00	29.3%	8.4%	24.2%	30.6%	30.4%	-0.7%	8.3%	-8.4M	319.0M	-2.3M	0.98	13.96	N/A	N/A	14,637	14,402	148,035	135,601
2015-06-16	$64.51	$70.00	28.6%	8.2%	24.3%	28.3%	29.1%	-0.7%	7.9%	-8.4M	307.7M	-2.3M	0.41	12.95	N/A	N/A	16,431	6,775	153,609	141,602
2015-06-17	$64.78	$70.00	27.3%	7.8%	24.4%	23.3%	28.4%	0.0%	9.1%	-5.2M	291.7M	-2.3M	0.80	22.47	N/A	N/A	10,082	8,075	158,205	142,452
2015-06-18	$65.25	$70.00	28.7%	7.8%	24.6%	28.7%	28.0%	-0.2%	9.1%	-5.2M	263.1M	-2.4M	0.69	12.98	N/A	N/A	13,245	9,193	159,430	143,959
2015-06-19	$64.03	$70.00	30.5%	7.9%	25.3%	35.2%	27.8%	-0.7%	9.0%	-8.4M	353.0M	-2.2M	0.63	15.24	N/A	N/A	21,626	13,689	160,968	145,035
2015-06-22	$65.60	$70.00	33.2%	7.4%	27.0%	44.9%	26.5%	0.5%	-0.4%	-3.5M	211.2M	-2.3M	0.61	8.97	N/A	N/A	13,686	8,337	142,961	131,948
2015-06-23	$65.06	$70.00	34.6%	7.4%	26.9%	50.1%	26.5%	0.7%	-0.5%	-4.2M	236.4M	-2.3M	1.18	9.17	N/A	N/A	9,344	11,042	147,500	134,890
2015-06-24	$63.88	$70.00	35.9%	7.5%	22.8%	54.6%	27.3%	0.5%	-0.9%	-9.8M	304.3M	-2.2M	1.01	11.58	N/A	N/A	8,192	8,306	150,189	138,751
2015-06-25	$63.40	$70.00	36.0%	7.6%	22.4%	55.2%	27.6%	1.3%	-0.7%	-13.1M	338.6M	-2.1M	0.87	10.65	N/A	N/A	13,468	11,692	151,889	142,295
2015-06-26	$62.17	$70.00	38.1%	7.8%	22.8%	62.6%	27.9%	1.0%	-0.8%	-10.5M	410.5M	-2.0M	0.74	11.64	N/A	N/A	17,595	13,035	153,215	143,688
2015-06-29	$60.25	$70.00	40.8%	9.3%	24.6%	72.4%	32.8%	2.3%	-2.2%	-7.8M	426.2M	-1.9M	0.86	9.32	N/A	N/A	11,922	10,251	150,661	140,916
2015-06-30	$58.33	$67.50	40.6%	9.4%	26.1%	71.9%	33.4%	2.9%	-2.1%	-7.2M	489.1M	-1.8M	1.55	5.63	N/A	N/A	17,502	27,110	154,371	145,343