SNDK Options History — July 2015

In July 2015, SNDK traded between $53.60 and $63.92. ATM implied volatility averaged 39.6%, placing in the 68.2% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 1.0% (HV 20d: 40.7%). Max pain ranged from $57.50 to $65.50. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.92.

Notable Days

2015-07-23: Highest Volume — 92,927 contracts
2015-07-23: Largest IV drop — 28.6% change
2015-07-09: Highest IV Rank — 90.6%
2015-07-21: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.07	$53.60	$63.92	$56.39	$60.16
Max Pain	$61.16	$57.50	$65.50	$65.50	$65.00
ATM IV	39.6%	30.1%	45.8%	42.1%	30.4%
Expected Move	10.8%	8.3%	12.9%	10.1%	8.3%
HV 20d	40.7%	24.7%	70.0%	27.3%	66.6%
HV 60d	30.6%	23.2%	43.6%	25.3%	43.2%
IV Rank	68.2%	33.6%	90.6%	77.1%	34.8%
IV Percentile	84.9%	56.3%	99.2%	96.4%	56.7%
Term Structure	-1.5%	-3.0%	0.4%	-3.0%	0.0%
VWIV	37.6%	26.6%	45.2%	35.4%	30.0%
Skew 25d	2.0%	0.9%	3.1%	2.4%	2.5%
Skew 10d	2.0%	-2.9%	5.3%	1.5%	2.6%
Call IV 25d	39.5%	29.6%	45.6%	41.9%	29.6%
Put IV 25d	41.6%	31.6%	48.2%	44.3%	32.2%
Bid-Ask Spread %	16.73	6.86	50.51	7.96	9.23
Gamma HHI	0.10	0.06	0.33	0.09	0.07
Net GEX	-3.8M	-16.6M	1.6M	-6.8M	-2.2M
Net DEX	355.9M	-63.2M	567.6M	524.2M	207.7M
Net VEX	-1.8M	-2.2M	-1.6M	-1.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.92	0.54	2.23	1.36	0.78
Total Volume	32,464.727	18,113	92,927	35,362	19,036
Total OI	322,107.409	260,929	374,610	320,646	285,679

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
2015-07-01	$56.39	$65.50	42.1%	10.1%	27.3%	77.1%	35.4%	2.4%	-3.0%	-6.8M	524.2M	-1.6M	1.36	7.96	N/A	N/A	15,010	20,352	161,405	159,241
2015-07-02	$56.40	$65.00	41.8%	9.7%	27.4%	76.0%	34.1%	1.3%	-2.5%	-16.6M	529.9M	-1.7M	1.09	9.04	N/A	N/A	12,907	14,096	167,688	170,498
2015-07-06	$55.49	$62.50	41.6%	11.0%	24.7%	75.5%	38.2%	2.6%	-1.7%	-4.8M	517.7M	-1.6M	0.93	15.98	N/A	N/A	12,596	11,710	163,878	162,826
2015-07-07	$55.87	$57.50	42.2%	11.2%	25.4%	77.4%	39.2%	2.3%	-1.9%	-4.6M	496.1M	-1.7M	0.76	10.23	N/A	N/A	19,945	15,158	168,296	164,903
2015-07-08	$54.21	$57.50	45.1%	12.0%	26.4%	88.1%	41.7%	2.6%	-2.4%	-3.8M	518.2M	-1.6M	1.43	10.61	N/A	N/A	15,093	21,510	174,872	168,968
2015-07-09	$53.98	$57.50	45.8%	12.0%	25.7%	90.6%	42.4%	2.7%	-2.3%	-4.6M	539.0M	-1.7M	1.19	9.82	N/A	N/A	13,966	16,602	179,184	181,367
2015-07-10	$53.60	$57.50	44.2%	11.8%	25.8%	84.7%	41.0%	3.1%	-2.7%	-5.9M	567.6M	-1.7M	0.64	10.25	N/A	N/A	13,220	8,476	180,647	191,758
2015-07-13	$53.64	$57.50	44.8%	12.0%	26.1%	86.8%	42.3%	1.5%	-1.9%	-5.4M	523.1M	-1.6M	0.59	9.74	N/A	N/A	17,705	10,410	173,883	182,674
2015-07-14	$55.62	$57.50	44.9%	12.2%	29.7%	87.2%	44.2%	1.2%	-1.7%	-2.7M	436.6M	-1.8M	0.54	28.80	N/A	N/A	25,639	13,856	180,148	182,193
2015-07-15	$54.86	$57.50	44.0%	11.9%	29.4%	84.2%	43.0%	0.9%	-2.5%	-3.2M	469.8M	-1.7M	0.69	26.37	N/A	N/A	12,682	8,708	185,128	186,578
2015-07-16	$55.97	$57.50	41.1%	11.5%	30.8%	73.6%	41.1%	1.1%	-1.6%	-2.2M	429.9M	-1.8M	0.63	30.27	N/A	N/A	11,096	7,017	185,170	187,318
2015-07-17	$55.37	$57.50	41.8%	11.7%	30.3%	76.0%	26.6%	1.4%	-1.5%	1.6M	446.5M	-1.7M	2.23	50.51	N/A	N/A	14,944	33,288	186,792	187,818
2015-07-20	$55.42	$65.00	42.5%	12.0%	30.2%	78.6%	42.0%	2.5%	-1.9%	-3.6M	324.1M	-1.8M	0.64	32.96	N/A	N/A	12,070	7,672	122,001	138,928
2015-07-21	$55.49	$65.00	45.3%	12.9%	28.1%	88.7%	45.2%	2.6%	-2.8%	-3.5M	316.3M	-1.9M	1.12	34.04	N/A	N/A	10,394	11,681	125,073	142,932
2015-07-22	$54.02	$65.00	43.2%	12.4%	28.8%	81.1%	43.9%	2.4%	-2.1%	-4.4M	360.2M	-1.8M	0.97	17.38	N/A	N/A	27,885	27,057	128,152	148,182
2015-07-23	$63.92	$60.00	30.8%	8.8%	69.1%	36.3%	29.8%	2.3%	0.0%	1.3M	-63.2M	-2.2M	0.62	10.59	N/A	N/A	57,453	35,474	145,002	163,272
2015-07-24	$61.82	$62.50	32.5%	9.4%	70.0%	42.3%	35.5%	1.5%	-0.3%	-5.1M	63.4M	-2.2M	1.12	9.68	N/A	N/A	22,782	25,560	155,977	170,909
2015-07-27	$61.19	$62.50	33.4%	9.7%	69.8%	45.5%	34.3%	1.5%	0.1%	-809.4K	126.0M	-2.2M	0.77	7.32	N/A	N/A	12,723	9,821	136,380	142,423
2015-07-28	$61.08	$62.50	33.1%	9.6%	68.9%	44.5%	34.0%	2.1%	-0.7%	-1.2M	143.0M	-2.2M	0.75	8.88	N/A	N/A	12,112	9,037	136,849	143,931
2015-07-29	$60.53	$62.50	31.5%	9.0%	67.9%	38.6%	33.5%	2.2%	-0.2%	-1.8M	168.0M	-2.1M	0.62	11.63	N/A	N/A	15,877	9,879	138,540	145,162
2015-07-30	$60.52	$65.00	30.1%	8.5%	66.6%	33.6%	30.5%	1.7%	0.4%	-2.6M	186.7M	-2.0M	0.80	6.86	N/A	N/A	12,091	9,634	136,699	147,039
2015-07-31	$60.16	$65.00	30.4%	8.3%	66.6%	34.8%	30.0%	2.5%	0.0%	-2.2M	207.7M	-2.0M	0.78	9.23	N/A	N/A	10,722	8,314	137,705	147,974