SNDK Options History — October 2015

In October 2015, SNDK traded between $55.06 and $78.59. ATM implied volatility averaged 44.0%, placing in the 50.0% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded below realized volatility by 16.1% (HV 20d: 60.1%). Max pain ranged from $55.00 to $75.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.79.

Notable Days

2015-10-20: Highest Volume — 66,650 contracts
2015-10-21: Largest IV drop — 54.4% change
2015-10-01: Highest IV Rank — 100.0%
2015-10-19: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.17	$55.06	$78.59	$55.06	$77.16
Max Pain	$63.93	$55.00	$75.00	$62.50	$75.00
ATM IV	44.0%	17.3%	68.5%	68.5%	17.9%
Expected Move	11.6%	4.6%	16.3%	16.1%	5.9%
HV 20d	60.1%	47.2%	70.0%	52.6%	47.2%
HV 60d	57.4%	53.7%	64.2%	57.4%	54.4%
IV Rank	50.0%	0.0%	100.0%	100.0%	1.3%
IV Percentile	61.4%	0.0%	100.0%	100.0%	1.6%
Term Structure	-2.6%	-6.3%	5.1%	-5.7%	0.5%
VWIV	40.6%	16.0%	58.3%	58.3%	16.6%
Skew 25d	8.2%	1.6%	23.3%	7.8%	11.1%
Skew 10d	16.8%	6.8%	41.3%	8.5%	18.0%
Call IV 25d	41.9%	11.4%	65.3%	65.3%	15.3%
Put IV 25d	50.1%	22.3%	73.1%	73.1%	26.4%
Bid-Ask Spread %	59.86	15.04	108.53	35.23	104.66
Gamma HHI	0.12	0.04	0.68	0.04	0.13
Net GEX	11.7M	626.7K	38.3M	626.7K	15.5M
Net DEX	-274.5M	-638.9M	198.7M	198.7M	-452.4M
Net VEX	-2.0M	-2.3M	-1.8M	-1.8M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.28	2.02	0.61	2.02
Total Volume	30,129.727	15,970	66,650	30,516	18,036
Total OI	317,659.773	258,566	361,062	302,783	322,499

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
2015-10-01	$55.06	$62.50	68.5%	16.1%	52.6%	100.0%	58.3%	7.8%	-5.7%	626.7K	198.7M	-1.8M	0.61	35.23	N/A	N/A	18,932	11,584	156,843	145,940
2015-10-02	$59.47	$62.00	61.3%	14.2%	59.2%	84.1%	51.2%	7.3%	-4.5%	2.6M	15.2M	-2.0M	0.37	19.48	N/A	N/A	31,946	11,935	165,551	155,273
2015-10-05	$59.47	$55.00	59.7%	14.6%	58.4%	80.4%	50.3%	4.6%	-3.8%	3.7M	65.8M	-1.9M	0.42	15.04	N/A	N/A	11,218	4,752	166,224	142,216
2015-10-06	$61.48	$57.50	60.8%	14.9%	56.9%	82.9%	51.7%	7.0%	-4.0%	3.8M	-22.8M	-2.0M	0.28	17.54	N/A	N/A	28,424	8,079	168,242	145,327
2015-10-07	$61.45	$57.50	59.1%	14.6%	55.9%	79.1%	51.8%	9.0%	-3.9%	5.6M	-32.9M	-2.0M	0.37	16.48	N/A	N/A	17,763	6,532	180,217	146,947
2015-10-08	$64.15	$57.50	58.8%	14.9%	57.3%	78.5%	52.7%	7.2%	-4.1%	7.9M	-174.4M	-2.0M	0.67	34.66	N/A	N/A	18,288	12,302	181,759	147,145
2015-10-09	$61.86	$60.00	59.0%	15.2%	59.5%	78.8%	52.3%	4.6%	-5.5%	6.4M	-44.0M	-2.0M	0.47	33.01	N/A	N/A	13,429	6,339	182,728	153,261
2015-10-12	$62.73	$60.00	59.6%	15.7%	59.5%	80.3%	54.3%	5.5%	-3.4%	4.6M	-58.1M	-2.0M	0.50	38.95	N/A	N/A	11,111	5,567	176,064	146,277
2015-10-13	$61.77	$60.00	58.2%	15.6%	60.0%	77.1%	53.9%	4.9%	-2.0%	6.0M	-9.7M	-1.9M	0.63	40.96	N/A	N/A	12,615	7,972	178,713	146,715
2015-10-14	$68.75	$60.00	56.3%	15.6%	70.0%	72.9%	53.3%	7.4%	-1.8%	6.2M	-405.1M	-2.0M	0.40	38.78	N/A	N/A	41,398	16,696	182,123	147,336
2015-10-15	$69.77	$62.50	59.4%	15.6%	69.1%	79.8%	55.3%	3.0%	-5.5%	6.2M	-412.5M	-2.1M	0.39	39.36	N/A	N/A	31,961	12,352	188,736	154,950
2015-10-16	$70.03	$62.50	58.1%	15.8%	66.5%	76.9%	54.1%	5.1%	-6.3%	38.3M	-482.8M	-2.2M	0.58	44.92	N/A	N/A	19,912	11,582	203,306	157,756
2015-10-19	$71.98	$65.00	56.7%	16.3%	66.6%	73.8%	56.8%	4.0%	-4.6%	7.3M	-308.2M	-2.3M	0.72	31.52	N/A	N/A	15,322	11,069	153,473	105,093
2015-10-20	$75.04	$65.00	46.7%	13.3%	65.7%	51.4%	43.7%	23.3%	-3.9%	10.1M	-404.3M	-2.1M	0.44	93.93	N/A	N/A	46,349	20,301	159,320	109,133
2015-10-21	$76.79	$66.00	21.3%	6.1%	64.5%	0.0%	17.7%	1.6%	-3.1%	23.7M	-569.3M	-1.8M	0.69	95.69	N/A	N/A	24,721	16,981	192,089	122,009
2015-10-22	$77.06	$66.00	17.5%	4.6%	64.5%	0.0%	17.9%	9.3%	5.1%	24.5M	-510.1M	-1.9M	1.06	100.71	N/A	N/A	13,223	14,020	196,571	126,546
2015-10-23	$78.59	$67.50	17.7%	5.0%	63.8%	0.4%	17.7%	11.7%	1.9%	21.8M	-638.9M	-2.0M	1.50	100.67	N/A	N/A	7,570	11,336	194,236	131,142
2015-10-26	$77.43	$67.50	18.1%	5.1%	60.7%	1.1%	20.0%	8.8%	-1.7%	19.0M	-488.3M	-2.0M	0.91	97.42	N/A	N/A	9,330	8,504	179,387	123,633
2015-10-27	$76.88	$70.00	18.4%	4.8%	61.1%	1.7%	16.0%	11.8%	-0.4%	14.1M	-392.4M	-1.9M	1.14	105.25	N/A	N/A	16,909	19,278	180,692	125,883
2015-10-28	$77.61	$72.50	17.8%	5.3%	51.5%	0.5%	23.5%	11.0%	-1.1%	14.9M	-462.3M	-2.0M	1.57	104.20	N/A	N/A	7,353	11,556	188,563	135,897
2015-10-29	$77.18	$75.00	17.3%	6.2%	52.1%	0.0%	23.2%	14.2%	0.3%	15.3M	-449.2M	-2.2M	1.68	108.53	N/A	N/A	6,838	11,469	186,696	136,004
2015-10-30	$77.16	$75.00	17.9%	5.9%	47.2%	1.3%	16.6%	11.1%	0.5%	15.5M	-452.4M	-2.3M	2.02	104.66	N/A	N/A	5,979	12,057	186,607	135,892