SNDK Options History — August 2015 In August 2015, SNDK traded between $46.82 and $61.10. ATM implied volatility averaged 38.0%, placing in the 53.0% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded below realized volatility by 19.4% (HV 20d: 57.4%). Max pain ranged from $52.50 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.81.
Notable Days 2015-08-31 : Highest Volume — 40,693 contracts2015-08-24 : Largest IV spike — 32.4% change2015-08-24 : Highest IV Rank — 100.0%2015-08-24 : Largest Expected Move — 17.6%Monthly Statistics Metric Avg Min Max Open Close Price $55.44 $46.82 $61.10 $59.46 $54.67 Max Pain $59.12 $52.50 $65.00 $65.00 $52.50 ATM IV 38.0% 29.7% 59.8% 30.8% 48.7% Expected Move 11.0% 8.5% 17.6% 8.8% 15.7% HV 20d 57.4% 35.7% 69.3% 66.5% 53.7% HV 60d 45.7% 43.0% 51.3% 43.2% 51.3% IV Rank 53.0% 32.1% 100.0% 36.3% 70.6% IV Percentile 73.7% 52.8% 100.0% 58.7% 99.2% Term Structure -0.3% -4.8% 1.9% 0.3% -2.7% VWIV 38.3% 29.7% 60.5% 30.9% 54.3% Skew 25d 3.6% 1.5% 12.1% 2.5% 2.8% Skew 10d 8.0% 1.2% 28.1% 4.1% 28.1% Call IV 25d 37.3% 29.4% 55.5% 30.1% 50.1% Put IV 25d 40.9% 31.0% 66.8% 32.7% 52.9% Bid-Ask Spread % 12.30 5.51 20.15 10.76 20.15 Gamma HHI 0.08 0.06 0.25 0.07 0.06 Net GEX -2.2M -8.3M -607.0K -2.5M -1.3M Net DEX 298.7M 162.7M 493.9M 231.5M 251.0M Net VEX -1.7M -2.0M -1.3M -1.9M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.81 0.25 1.72 0.61 0.25 Total Volume 18,832.952 7,297 40,693 7,721 40,693 Total OI 275,317.238 253,196 302,426 266,713 264,902
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 2015-08-03 $59.46 $65.00 30.8% 8.8% 66.5% 36.3% 30.9% 2.5% 0.3% -2.5M 231.5M -1.9M 0.61 10.76 N/A N/A 4,808 2,913 126,472 140,241 2015-08-04 $59.37 $64.50 30.5% 8.7% 66.5% 35.1% 30.8% 1.9% -0.0% -2.0M 225.1M -1.9M 0.72 7.57 N/A N/A 6,834 4,915 129,344 140,916 2015-08-05 $59.73 $64.50 29.9% 8.5% 65.3% 33.1% 30.3% 1.5% -0.4% -1.5M 210.4M -1.9M 0.75 5.51 N/A N/A 7,606 5,693 130,029 140,964 2015-08-06 $59.04 $60.00 30.8% 8.8% 65.5% 36.0% 29.7% 2.3% -0.2% -2.4M 240.2M -1.9M 0.76 9.88 N/A N/A 9,296 7,084 130,348 141,514 2015-08-07 $59.27 $60.00 30.6% 8.8% 65.4% 35.5% 30.0% 2.7% -0.4% -1.6M 231.3M -1.9M 0.68 12.25 N/A N/A 11,595 7,902 131,720 143,652 2015-08-10 $61.10 $60.00 29.7% 8.7% 66.0% 32.1% 30.3% 1.7% 1.0% -1.1M 162.7M -2.0M 1.72 9.40 N/A N/A 8,963 15,395 129,676 140,200 2015-08-11 $59.10 $60.00 31.7% 9.1% 66.4% 39.4% 31.8% 2.1% 0.2% -1.5M 244.6M -1.9M 0.64 8.61 N/A N/A 4,454 2,843 129,919 143,328 2015-08-12 $59.19 $60.00 32.3% 9.4% 66.1% 41.5% 32.3% 2.3% 0.2% -1.2M 236.2M -1.9M 0.75 11.11 N/A N/A 9,167 6,915 131,704 144,191 2015-08-13 $57.82 $60.00 33.0% 9.6% 66.5% 44.2% 32.5% 2.4% 0.5% -1.9M 281.7M -1.9M 1.17 8.52 N/A N/A 17,030 20,008 133,733 145,620 2015-08-14 $58.00 $60.00 32.4% 9.4% 66.4% 42.0% 32.0% 1.5% -0.2% -2.2M 278.9M -1.9M 1.40 9.97 N/A N/A 8,264 11,585 141,139 150,085 2015-08-17 $58.18 $60.00 32.4% 9.3% 66.3% 41.9% 32.3% 2.0% -0.2% -607.0K 267.5M -1.9M 0.78 12.61 N/A N/A 5,958 4,624 137,411 146,992 2015-08-18 $56.90 $60.00 32.2% 9.3% 66.9% 41.3% 32.8% 2.4% -0.0% -1.6M 314.3M -1.8M 0.42 11.78 N/A N/A 14,618 6,132 138,289 147,588 2015-08-19 $53.81 $60.00 34.0% 9.8% 69.3% 47.9% 34.3% 2.3% 0.3% -4.5M 400.7M -1.6M 0.73 12.87 N/A N/A 9,534 6,949 143,042 148,210 2015-08-20 $50.10 $60.00 40.5% 11.6% 36.5% 70.4% 40.4% 3.4% 1.9% -8.3M 472.8M -1.4M 0.91 15.13 N/A N/A 12,445 11,275 147,316 148,967 2015-08-21 $49.16 $60.00 45.2% 13.1% 35.7% 88.0% 44.9% 4.1% -4.8% -3.3M 493.9M -1.4M 0.67 19.61 N/A N/A 11,393 7,680 151,304 151,122 2015-08-24 $48.06 $60.00 59.8% 17.6% 35.9% 100.0% 60.5% 12.1% -1.5% -2.2M 370.8M -1.4M 0.53 15.75 N/A N/A 11,583 6,091 126,995 126,201 2015-08-25 $46.82 $55.00 59.3% 15.9% 36.0% 98.5% 53.6% 5.5% -0.7% -2.0M 384.6M -1.3M 0.96 17.16 N/A N/A 10,951 10,550 131,060 126,413 2015-08-26 $49.50 $55.00 46.4% 14.1% 43.6% 64.5% 49.3% 5.5% 1.1% -1.7M 359.9M -1.4M 0.86 15.07 N/A N/A 8,311 7,154 134,452 128,241 2015-08-27 $52.65 $52.50 43.6% 12.9% 50.4% 57.1% 46.0% 5.8% -1.2% -785.8K 302.7M -1.7M 0.96 14.46 N/A N/A 9,489 9,099 136,219 131,207 2015-08-28 $52.22 $52.50 44.0% 13.2% 50.4% 58.1% 46.0% 8.0% 0.5% -1.0M 312.5M -1.6M 0.76 10.22 N/A N/A 10,079 7,614 137,402 133,534 2015-08-31 $54.67 $52.50 48.7% 15.7% 53.7% 70.6% 54.3% 2.8% -2.7% -1.3M 251.0M -1.8M 0.25 20.15 N/A N/A 32,446 8,247 133,115 131,787
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