SNDK Options History — January 2016

In January 2016, SNDK traded between $60.28 and $76.10. ATM implied volatility averaged 40.5%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 12.2% (HV 20d: 28.3%). Max pain ranged from $65.00 to $75.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.47.

Notable Days

  • 2016-01-25: Highest Volume — 62,516 contracts
  • 2016-01-25: Largest IV spike — 59.8% change
  • 2016-01-25: Highest IV Rank — 100.0%
  • 2016-01-25: Largest Expected Move — 20.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$70.73$60.28$76.10$75.92$70.70
Max Pain$71.97$65.00$75.00$72.50$65.00
ATM IV40.5%23.6%71.4%23.6%57.7%
Expected Move11.4%7.5%20.5%7.8%13.3%
HV 20d28.3%10.0%61.4%10.2%61.4%
HV 60d25.3%16.6%36.4%29.8%36.4%
IV Rank43.9%12.2%100.0%12.2%74.7%
IV Percentile60.0%13.9%100.0%13.9%92.1%
Term Structure3.2%-8.8%16.9%1.1%9.7%
VWIV40.6%21.8%73.5%23.6%58.5%
Skew 25d17.2%0.0%37.6%5.6%37.6%
Skew 10d28.0%-8.0%47.9%22.6%40.9%
Call IV 25d36.1%18.6%63.9%22.2%36.5%
Put IV 25d53.4%25.9%85.3%27.8%74.1%
Bid-Ask Spread %94.1167.91111.77109.7092.77
Gamma HHI0.180.120.260.140.17
Net GEX714.0K-2.7M3.4M3.1M2.1M
Net DEX-33.9M-218.2M195.0M-213.2M-6.6M
Net VEX-1.8M-3.2M-1.1M-1.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.470.362.940.921.88
Total Volume20,192.1056,65562,5168,4406,655
Total OI215,937.947123,430254,052234,583254,052

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-01-04$75.92$72.5023.6%7.8%10.2%12.2%23.6%5.6%1.1%3.1M-213.2M-1.2M0.92109.70N/AN/A4,3974,043111,349123,234
2016-01-05$76.10$72.5024.1%7.9%10.0%13.4%23.3%21.3%0.6%3.4M-218.2M-1.3M0.9798.23N/AN/A4,2444,105111,407123,356
2016-01-06$75.59$72.5024.1%8.2%10.3%13.3%23.9%20.1%0.8%2.7M-193.4M-1.2M0.82103.38N/AN/A5,0744,147111,362123,435
2016-01-07$75.15$75.0027.3%8.5%10.5%19.6%21.8%7.3%-2.9%2.7M-164.9M-1.1M0.99111.77N/AN/A4,4134,389111,113123,505
2016-01-08$74.27$75.0025.4%7.5%11.2%15.8%28.3%12.9%-0.1%2.1M-146.2M-1.3M0.62106.66N/AN/A7,6764,731111,598123,871
2016-01-11$74.04$75.0029.3%7.8%10.8%23.4%27.5%8.6%-1.2%1.5M-131.8M-1.3M0.90101.41N/AN/A7,5066,735112,890125,045
2016-01-12$74.42$75.0027.5%7.9%10.1%20.0%30.9%9.9%-0.6%2.7M-147.9M-1.2M1.81106.74N/AN/A5,68910,280113,193126,189
2016-01-13$71.61$75.0032.0%10.2%16.7%28.8%36.9%0.0%15.9%157.9K-60.2M-1.2M1.79102.77N/AN/A5,98710,702113,701132,357
2016-01-14$74.59$75.0035.4%7.5%22.5%35.5%35.6%9.5%-8.8%2.9M-138.4M-1.2M0.6994.85N/AN/A5,9104,059114,011133,466
2016-01-15$71.65$75.0034.2%9.5%26.5%33.1%35.6%0.8%6.3%-1.8M-47.9M-1.2M0.9199.91N/AN/A20,88318,997113,974133,862
2016-01-19$71.36$75.0028.3%7.7%26.5%21.6%24.5%19.0%16.9%-905.4K25.8M-1.8M1.86100.70N/AN/A4,2787,94347,40076,030
2016-01-20$68.78$72.5037.4%10.7%29.0%39.3%36.6%14.1%6.4%-1.5M67.7M-1.8M2.15100.04N/AN/A16,58735,63149,25681,130
2016-01-21$66.36$72.5047.7%13.7%31.0%59.4%51.3%32.4%6.1%-1.5M101.9M-2.1M1.5892.67N/AN/A12,13519,20762,14793,068
2016-01-22$67.52$72.5044.6%12.8%32.0%53.5%53.3%19.5%0.7%-979.1K97.0M-2.4M2.9475.16N/AN/A4,09312,04469,586102,942
2016-01-25$60.28$72.5071.4%20.5%49.5%100.0%73.5%21.4%9.7%-2.7M195.0M-2.1M1.7773.84N/AN/A22,54539,97169,087103,655
2016-01-26$63.79$65.0071.2%20.4%55.0%99.8%59.3%30.1%-1.8%-1.0M141.3M-2.7M0.3676.50N/AN/A13,0164,62488,018135,249
2016-01-27$64.24$65.0064.1%18.4%55.2%86.6%66.1%25.5%2.8%-128.8K115.2M-2.8M2.7967.91N/AN/A6,85819,15895,158135,342
2016-01-28$67.44$65.0063.2%16.8%58.5%85.0%60.5%31.5%-0.8%910.3K80.2M-3.0M2.1473.03N/AN/A4,75410,18497,268150,515
2016-01-29$70.70$65.0057.7%13.3%61.4%74.7%58.5%37.6%9.7%2.1M-6.6M-3.2M1.8892.77N/AN/A2,3084,34797,461156,591