SNDK Options History — September 2015 In September 2015, SNDK traded between $48.71 and $55.85. ATM implied volatility averaged 49.3%, placing in the 70.0% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded below realized volatility by 1.7% (HV 20d: 51.0%). Max pain ranged from $52.50 to $62.50. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.71.
Notable Days 2015-09-30 : Highest Volume — 46,527 contracts2015-09-30 : Largest IV spike — 13.3% change2015-09-29 : Highest IV Rank — 100.0%2015-09-01 : Largest Expected Move — 16.5%Monthly Statistics Metric Avg Min Max Open Close Price $53.21 $48.71 $55.85 $52.90 $54.45 Max Pain $61.55 $52.50 $62.50 $52.50 $62.50 ATM IV 49.3% 40.5% 67.9% 54.1% 67.9% Expected Move 12.9% 11.2% 16.5% 16.5% 15.5% HV 20d 51.0% 34.9% 57.7% 54.7% 52.9% HV 60d 52.9% 51.6% 57.7% 51.6% 57.7% IV Rank 70.0% 46.5% 100.0% 84.3% 100.0% IV Percentile 94.3% 77.0% 100.0% 99.2% 100.0% Term Structure 1.4% -4.1% 10.4% -0.7% -4.1% VWIV 45.8% 39.4% 58.8% 58.8% 54.0% Skew 25d 6.0% 3.1% 8.1% 7.5% 5.5% Skew 10d 13.0% 8.4% 20.0% 14.2% 14.8% Call IV 25d 47.5% 38.3% 63.7% 53.0% 63.7% Put IV 25d 53.5% 43.3% 69.3% 60.6% 69.3% Bid-Ask Spread % 22.51 9.23 57.95 13.02 31.36 Gamma HHI 0.06 0.05 0.10 0.05 0.05 Net GEX 202.4K -3.5M 2.5M -28.5K -99.8K Net DEX 278.9M 196.2M 396.1M 258.4M 242.5M Net VEX -1.6M -1.9M -1.2M -1.9M -1.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.71 0.29 1.35 0.48 0.56 Total Volume 17,193.143 4,559 46,527 21,851 46,527 Total OI 285,268.81 269,880 295,454 280,991 283,411
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 2015-09-01 $52.90 $52.50 54.1% 16.5% 54.7% 84.3% 58.8% 7.5% -0.7% -28.5K 258.4M -1.9M 0.48 13.02 N/A N/A 14,742 7,109 146,833 134,158 2015-09-02 $53.93 $52.50 49.1% 14.0% 55.3% 70.8% 50.1% 6.8% -1.6% 1.1M 238.7M -1.9M 0.51 16.97 N/A N/A 11,498 5,891 151,821 134,654 2015-09-03 $54.17 $62.50 45.6% 12.8% 55.3% 61.3% 45.8% 3.1% -1.0% 2.0M 225.3M -1.9M 0.59 57.95 N/A N/A 10,694 6,268 155,536 134,809 2015-09-04 $53.07 $62.50 47.9% 13.5% 55.5% 67.0% 54.2% 5.4% -1.3% 814.1K 256.7M -1.8M 1.18 51.79 N/A N/A 8,508 9,998 156,957 135,482 2015-09-08 $55.85 $62.50 46.4% 13.0% 57.7% 63.0% 46.5% 7.1% -1.1% 1.9M 196.2M -1.9M 0.51 24.58 N/A N/A 5,337 2,701 152,577 132,546 2015-09-09 $54.48 $62.50 43.6% 12.8% 57.2% 55.1% 45.4% 4.6% 1.3% 1.8M 229.3M -1.8M 0.90 13.88 N/A N/A 7,585 6,813 154,507 133,837 2015-09-10 $54.49 $62.50 44.6% 12.7% 57.2% 58.0% 45.7% 5.9% -0.3% 1.8M 237.4M -1.8M 0.90 22.71 N/A N/A 7,193 6,446 155,285 135,271 2015-09-11 $54.76 $62.50 43.4% 12.6% 56.8% 54.6% 44.6% 6.1% 0.4% 680.2K 235.7M -1.8M 0.70 20.83 N/A N/A 9,341 6,556 154,773 136,099 2015-09-14 $55.32 $62.50 44.3% 12.8% 57.0% 57.2% 44.5% 5.4% 8.8% 1.9M 221.7M -1.8M 1.35 18.87 N/A N/A 6,293 8,491 152,439 133,547 2015-09-15 $55.72 $62.50 42.3% 12.2% 57.1% 51.6% 42.6% 5.5% 8.7% 2.3M 213.7M -1.8M 0.49 17.53 N/A N/A 3,064 1,495 153,749 135,921 2015-09-16 $55.81 $62.50 40.5% 11.6% 56.6% 46.5% 41.1% 5.3% 9.6% 2.5M 219.7M -1.7M 0.60 14.05 N/A N/A 9,501 5,687 154,369 136,491 2015-09-17 $54.67 $62.50 40.9% 11.2% 53.3% 47.7% 39.4% 5.0% 10.4% 1.4M 252.9M -1.7M 0.55 15.73 N/A N/A 9,452 5,244 157,394 137,174 2015-09-18 $52.60 $62.50 44.0% 11.5% 48.5% 56.2% 41.0% 6.3% 10.2% -969.0K 319.0M -1.5M 0.76 11.75 N/A N/A 12,180 9,292 158,074 137,380 2015-09-21 $52.90 $62.50 48.8% 11.6% 47.8% 69.6% 40.3% 3.9% -0.8% -363.6K 308.5M -1.5M 0.29 15.40 N/A N/A 17,340 5,103 141,317 128,563 2015-09-22 $51.75 $62.50 52.5% 12.0% 47.8% 79.9% 41.7% 6.6% -0.7% -180.6K 330.7M -1.4M 0.68 26.56 N/A N/A 9,133 6,235 146,534 129,331 2015-09-23 $51.00 $62.50 53.6% 12.0% 47.0% 82.8% 42.2% 6.9% -1.3% -1.2M 354.5M -1.4M 0.57 9.23 N/A N/A 7,974 4,553 148,240 131,004 2015-09-24 $51.08 $62.50 53.9% 12.1% 42.9% 83.5% 42.9% 6.9% -1.2% -1.4M 356.9M -1.3M 0.88 10.66 N/A N/A 8,729 7,668 148,501 131,556 2015-09-25 $50.90 $62.50 54.3% 11.8% 36.6% 84.6% 41.9% 6.7% -1.6% -3.2M 366.9M -1.3M 0.68 12.46 N/A N/A 10,921 7,410 148,578 134,722 2015-09-28 $48.75 $62.50 58.3% 13.9% 39.4% 95.6% 51.3% 8.1% -2.1% -3.0M 395.6M -1.2M 1.00 42.96 N/A N/A 9,423 9,436 142,383 133,265 2015-09-29 $48.71 $62.50 59.9% 13.9% 34.9% 100.0% 48.6% 7.4% -3.0% -3.5M 396.1M -1.2M 0.75 24.52 N/A N/A 7,540 5,685 144,125 137,432 2015-09-30 $54.45 $62.50 67.9% 15.5% 52.9% 100.0% 54.0% 5.5% -4.1% -99.8K 242.5M -1.6M 0.56 31.36 N/A N/A 29,909 16,618 145,287 138,124
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