SNDK Options History — December 2015 In December 2015, SNDK traded between $74.17 and $76.28. ATM implied volatility averaged 23.3%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 9.6% (HV 20d: 13.7%). Max pain ranged from $67.50 to $75.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 1.82.
Notable Days 2015-12-01 : Highest Volume — 29,428 contracts2015-12-28 : Largest IV drop — 26.3% change2015-12-24 : Highest IV Rank — 26.6%2015-12-24 : Largest Expected Move — 11.4%Monthly Statistics Metric Avg Min Max Open Close Price $75.29 $74.17 $76.28 $75.88 $76.28 Max Pain $68.18 $67.50 $75.00 $75.00 $67.50 ATM IV 23.3% 18.9% 30.9% 18.9% 21.7% Expected Move 7.5% 5.1% 11.4% 5.5% 11.3% HV 20d 13.7% 10.0% 14.6% 14.0% 10.0% HV 60d 39.9% 29.7% 44.3% 44.3% 29.7% IV Rank 11.7% 3.1% 26.6% 3.1% 8.6% IV Percentile 13.3% 3.6% 52.0% 3.6% 7.5% Term Structure -0.3% -16.6% 9.3% 0.6% 0.4% VWIV 25.4% 18.0% 35.7% 32.1% 28.6% Skew 25d 12.0% 1.2% 27.6% 8.2% 14.9% Skew 10d 23.1% 8.2% 44.2% 13.4% 34.1% Call IV 25d 23.8% 14.5% 35.7% 14.5% 22.9% Put IV 25d 35.8% 22.2% 60.0% 22.8% 37.8% Bid-Ask Spread % 94.47 77.51 117.33 117.33 108.39 Gamma HHI 0.13 0.10 0.21 0.10 0.12 Net GEX 1.9M -47.9K 4.7M 4.7M 2.4M Net DEX -180.7M -221.0M -137.8M -215.4M -199.0M Net VEX -1.5M -1.8M -1.2M -1.5M -1.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.82 0.65 7.22 7.22 1.12 Total Volume 8,356.955 525 29,428 29,428 9,182 Total OI 239,479.091 211,726 248,380 211,726 235,414
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 2015-12-01 $75.88 $75.00 18.9% 5.5% 14.0% 3.1% 32.1% 8.2% 0.6% 4.7M -215.4M -1.5M 7.22 117.33 N/A N/A 3,582 25,846 115,020 96,706 2015-12-02 $75.08 $75.00 21.6% 5.1% 14.2% 8.5% 22.5% 8.8% 4.8% 1.4M -171.7M -1.8M 1.37 110.14 N/A N/A 2,635 3,614 117,834 122,168 2015-12-03 $74.90 $67.50 22.6% 6.4% 14.1% 10.4% 25.9% 9.3% -0.4% 1.3M -176.9M -1.8M 1.42 85.71 N/A N/A 2,366 3,348 118,356 122,841 2015-12-04 $75.31 $67.50 20.6% 7.6% 14.3% 6.5% 25.7% 14.0% -0.5% 1.5M -204.2M -1.8M 1.36 83.44 N/A N/A 2,360 3,210 118,339 123,270 2015-12-07 $75.10 $67.50 21.9% 6.5% 14.2% 8.9% 23.8% 4.6% 0.4% 677.1K -177.6M -1.6M 5.91 84.27 N/A N/A 76 449 118,293 122,840 2015-12-08 $75.33 $67.50 22.5% 6.3% 14.3% 10.2% 25.7% 4.1% 0.5% 512.3K -184.2M -1.6M 1.66 86.34 N/A N/A 2,295 3,811 118,305 123,211 2015-12-09 $75.14 $67.50 22.8% 7.2% 13.1% 10.7% 35.7% 9.2% 0.4% 222.2K -156.3M -1.6M 1.77 79.94 N/A N/A 2,487 4,409 118,401 124,467 2015-12-10 $75.75 $67.50 22.9% 7.3% 13.3% 11.0% 22.0% 1.2% 2.9% 504.7K -180.7M -1.5M 1.09 77.51 N/A N/A 2,723 2,956 118,763 126,198 2015-12-11 $74.80 $67.50 22.2% 6.7% 13.7% 9.6% 24.7% 18.6% -0.3% 1.7M -178.7M -1.7M 1.73 78.88 N/A N/A 2,972 5,141 118,867 126,330 2015-12-14 $75.23 $67.50 23.7% 7.0% 13.5% 12.5% 28.2% 14.7% -1.9% 322.4K -169.3M -1.6M 1.59 86.73 N/A N/A 2,730 4,329 118,964 127,987 2015-12-15 $75.70 $67.50 22.6% 6.5% 13.5% 10.3% 21.8% 15.6% -0.5% 3.8M -193.1M -1.5M 1.46 79.61 N/A N/A 2,681 3,919 119,017 128,309 2015-12-16 $75.61 $67.50 24.8% 7.1% 13.4% 14.6% 26.7% 20.1% 0.3% 1.8M -192.3M -1.5M 1.63 85.40 N/A N/A 2,572 4,186 119,168 128,430 2015-12-17 $75.08 $67.50 22.9% 6.4% 13.5% 11.0% 23.3% 12.4% 2.8% -47.9K -169.9M -1.5M 1.73 90.79 N/A N/A 2,537 4,396 119,252 128,605 2015-12-18 $74.17 $67.50 21.9% 5.4% 14.1% 9.1% 22.0% 21.8% 9.3% 1.8M -137.8M -1.5M 0.65 82.76 N/A N/A 7,225 4,708 119,307 129,073 2015-12-21 $74.40 $67.50 25.8% 6.9% 14.2% 16.6% 25.5% 14.8% -2.0% 2.1M -152.8M -1.6M 1.17 105.33 N/A N/A 3,529 4,124 114,157 122,174 2015-12-22 $74.55 $67.50 30.2% 7.0% 14.1% 25.2% 23.4% 5.4% -3.5% 2.3M -155.6M -1.6M 1.28 107.24 N/A N/A 3,286 4,219 114,538 122,175 2015-12-23 $75.33 $67.50 24.7% 10.0% 14.6% 14.4% 18.0% 27.6% -2.7% 4.5M -182.5M -1.2M 1.17 103.78 N/A N/A 4,142 4,852 111,195 122,320 2015-12-24 $75.28 $67.50 30.9% 11.4% 14.6% 26.6% 23.3% 22.6% -16.6% 2.6M -183.2M -1.4M 1.16 107.13 N/A N/A 4,263 4,956 111,156 123,138 2015-12-28 $75.27 $67.50 22.8% 8.5% 14.6% 10.7% 25.9% 4.1% 0.1% 3.3M -191.2M -1.3M 1.23 105.95 N/A N/A 4,144 5,112 111,133 123,056 2015-12-29 $75.90 $67.50 22.9% 9.2% 14.3% 10.9% 28.3% 5.5% -1.8% 2.0M -181.4M -1.4M 1.18 106.80 N/A N/A 4,097 4,846 111,258 123,559 2015-12-30 $76.27 $67.50 21.2% 8.8% 10.8% 7.6% 25.5% 7.1% 0.3% 3.0M -221.0M -1.2M 1.14 104.81 N/A N/A 4,457 5,081 111,291 123,655 2015-12-31 $76.28 $67.50 21.7% 11.3% 10.0% 8.6% 28.6% 14.9% 0.4% 2.4M -199.0M -1.3M 1.12 108.39 N/A N/A 4,331 4,851 111,426 123,988
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