SNDK Options History — November 2015

In November 2015, SNDK traded between $73.87 and $77.22. ATM implied volatility averaged 23.0%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 2.5% (HV 20d: 25.5%). Max pain ranged from $75.00 to $77.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 1.48.

Notable Days

  • 2015-11-02: Highest Volume — 17,289 contracts
  • 2015-11-11: Largest IV spike — 53.6% change
  • 2015-11-11: Highest IV Rank — 38.8%
  • 2015-11-13: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.39$73.87$77.22$76.78$73.87
Max Pain$75.63$75.00$77.50$75.00$75.00
ATM IV23.0%18.6%37.1%19.2%23.4%
Expected Move6.2%3.3%7.8%3.3%7.1%
HV 20d25.5%9.1%47.4%47.4%9.5%
HV 60d49.7%44.3%54.4%54.4%44.4%
IV Rank11.1%2.5%38.8%3.6%12.0%
IV Percentile10.1%2.8%62.7%2.8%7.1%
Term Structure0.3%-9.6%8.1%-0.0%-0.9%
VWIV22.9%14.6%34.3%22.1%21.4%
Skew 25d8.1%0.1%16.9%7.9%3.7%
Skew 10d14.4%-0.8%30.4%20.6%11.6%
Call IV 25d23.6%13.2%45.4%17.1%19.9%
Put IV 25d31.7%18.4%58.3%25.0%23.6%
Bid-Ask Spread %106.5386.98121.37106.90120.10
Gamma HHI0.160.080.730.150.11
Net GEX9.2M3.4M39.5M10.9M3.4M
Net DEX-246.3M-380.3M-157.5M-334.4M-157.5M
Net VEX-1.8M-2.1M-1.4M-2.0M-1.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.480.333.433.431.63
Total Volume6,459.2540517,28917,289405
Total OI284,322.2211,556313,585311,355211,556

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-11-02$76.78$75.0019.2%3.3%47.4%3.6%22.1%7.9%-0.0%10.9M-334.4M-2.0M3.43106.90N/AN/A3,90613,383179,121132,234
2015-11-03$77.22$75.0018.6%7.2%46.9%2.5%34.3%7.8%-4.6%12.8M-380.3M-2.1M1.49108.27N/AN/A3,7675,597179,137134,448
2015-11-04$76.89$75.0019.0%5.6%47.0%3.3%32.5%8.5%0.2%11.0M-340.2M-2.0M1.54104.45N/AN/A4,0446,246179,086133,796
2015-11-05$76.77$77.5018.9%5.0%45.7%3.1%15.4%14.2%-0.1%12.9M-357.1M-2.0M1.63104.96N/AN/A3,9776,499177,829133,633
2015-11-06$77.07$77.5018.8%4.2%42.5%2.9%14.6%5.2%-0.3%10.2M-342.9M-1.8M0.82113.54N/AN/A232191177,840133,604
2015-11-09$76.91$77.5019.5%4.5%42.7%4.3%22.6%2.3%-5.2%9.6M-316.3M-1.8M1.32105.28N/AN/A347457173,959132,326
2015-11-10$75.65$77.5024.2%6.6%42.8%13.4%19.9%6.3%4.1%10.3M-281.6M-1.9M1.9097.89N/AN/A2,8595,429173,396132,503
2015-11-11$75.29$77.5037.1%7.7%23.1%38.8%26.3%16.4%-9.6%9.1M-298.4M-1.9M1.96112.81N/AN/A2,7895,457173,416132,387
2015-11-12$74.57$75.0026.1%6.4%23.3%17.3%23.2%10.6%0.5%9.4M-232.9M-2.0M1.3196.71N/AN/A3,7354,893173,825132,951
2015-11-13$74.04$75.0023.9%7.8%23.6%12.9%27.8%16.9%8.1%4.8M-161.5M-1.9M1.47110.06N/AN/A3,3914,981173,723133,010
2015-11-16$74.56$75.0025.6%6.9%21.8%16.2%21.1%0.1%1.4%6.5M-169.9M-1.8M0.5698.80N/AN/A1,030580172,936132,253
2015-11-17$74.85$75.0025.5%7.3%16.0%16.0%24.1%1.3%0.8%5.8M-194.4M-1.8M1.6086.98N/AN/A2,8364,532173,036132,714
2015-11-18$75.29$75.0021.8%6.2%13.7%8.7%20.5%13.1%4.2%5.3M-196.4M-1.5M1.45106.69N/AN/A3,1324,531173,061132,771
2015-11-19$74.96$75.0019.1%5.2%13.6%3.5%22.4%9.3%0.2%5.6M-206.5M-1.8M1.7089.27N/AN/A2,8104,770173,330132,309
2015-11-20$74.95$75.0022.4%6.0%11.1%10.0%22.8%5.0%7.2%39.5M-158.7M-1.6M1.6495.73N/AN/A3,1915,225172,032132,522
2015-11-23$74.55$75.0024.6%7.2%10.2%14.2%18.2%4.7%-1.2%4.1M-178.9M-1.6M0.33121.37N/AN/A727238115,77197,971
2015-11-24$74.43$75.0024.1%7.0%10.0%13.3%18.9%5.0%-1.1%4.0M-184.7M-1.7M0.49120.55N/AN/A775380115,73298,033
2015-11-25$74.50$75.0022.4%6.6%9.2%10.0%23.9%12.5%-1.1%4.5M-213.6M-1.6M1.60114.58N/AN/A2,2853,661116,03798,435
2015-11-27$74.58$75.0025.8%6.8%9.1%16.7%26.3%12.4%2.6%4.4M-219.1M-1.6M1.66115.72N/AN/A2,2203,677115,87097,851
2015-11-30$73.87$75.0023.4%7.1%9.5%12.0%21.4%3.7%-0.9%3.4M-157.5M-1.4M1.63120.10N/AN/A154251114,94496,612