SNDK Options History — February 2016 In February 2016, SNDK traded between $66.66 and $72.44. ATM implied volatility averaged 58.5%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 16.3%. IV traded above realized volatility by 6.0% (HV 20d: 52.5%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 1.04.
Notable Days 2016-02-23 : Highest Volume — 44,059 contracts2016-02-08 : Largest IV spike — 44.4% change2016-02-01 : Highest IV Rank — 100.0%2016-02-22 : Largest Expected Move — 21.4%Monthly Statistics Metric Avg Min Max Open Close Price $69.07 $66.66 $72.44 $70.75 $72.44 Max Pain $62.00 $60.00 $65.00 $65.00 $65.00 ATM IV 58.5% 32.6% 87.5% 87.5% 32.6% Expected Move 16.3% 9.4% 21.4% 14.2% 9.9% HV 20d 52.5% 25.7% 61.8% 61.4% 25.7% HV 60d 37.0% 36.3% 38.8% 36.3% 38.4% IV Rank 58.8% 21.8% 100.0% 100.0% 21.8% IV Percentile 89.1% 52.0% 100.0% 100.0% 52.0% Term Structure -1.9% -11.7% 9.6% 9.6% 0.7% VWIV 59.5% 36.6% 89.3% 43.7% 36.6% Skew 25d 28.6% 20.1% 40.5% 23.7% 23.3% Skew 10d 45.6% 30.9% 66.0% 30.9% 48.9% Call IV 25d 39.6% 19.7% 49.2% 33.2% 19.7% Put IV 25d 68.2% 43.0% 81.5% 56.9% 43.0% Bid-Ask Spread % 80.89 50.32 110.66 86.72 110.66 Gamma HHI 0.16 0.13 0.19 0.18 0.15 Net GEX 2.3M -2.3M 7.2M 2.5M 7.2M Net DEX 18.0M -148.2M 150.0M -35.6M -148.2M Net VEX -3.0M -3.3M -2.5M -3.3M -2.5M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.04 0.44 2.96 0.72 1.68 Total Volume 14,406.55 4,631 44,059 16,415 13,676 Total OI 279,228.7 253,373 309,154 253,373 309,154
Daily Data (20 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 2016-02-01 $70.75 $65.00 87.5% 14.2% 61.4% 100.0% 43.7% 23.7% 9.6% 2.5M -35.6M -3.3M 0.72 86.72 N/A N/A 9,554 6,861 95,762 157,611 2016-02-02 $70.55 $65.00 55.5% 13.5% 61.4% 54.4% 45.1% 20.8% 5.0% 2.6M -3.3M -3.1M 1.02 93.18 N/A N/A 5,819 5,935 99,690 159,052 2016-02-03 $69.86 $65.00 55.0% 16.2% 61.4% 53.8% 49.7% 20.1% -3.5% 1.8M 5.5M -3.1M 0.45 95.20 N/A N/A 8,862 3,969 98,274 159,789 2016-02-04 $69.72 $60.00 53.8% 13.8% 61.4% 52.0% 46.0% 27.5% 2.4% 2.7M -12.9M -3.1M 2.37 76.79 N/A N/A 2,960 7,020 104,048 159,970 2016-02-05 $68.85 $60.00 49.0% 14.7% 61.5% 45.3% 49.9% 29.3% 2.3% 2.4M 35.5M -3.1M 0.62 84.50 N/A N/A 10,846 6,724 103,555 163,550 2016-02-08 $67.84 $60.00 70.8% 17.6% 61.5% 76.3% 64.5% 27.8% -7.7% 1.7M 50.7M -3.2M 0.72 79.08 N/A N/A 9,942 7,165 111,440 166,256 2016-02-09 $66.66 $60.00 59.7% 17.6% 61.7% 60.4% 71.7% 27.9% -1.8% 918.4K 81.1M -3.1M 0.54 74.07 N/A N/A 6,769 3,683 112,050 167,796 2016-02-10 $67.37 $60.00 64.6% 18.5% 61.8% 67.4% 63.6% 29.7% -9.3% 2.1M 61.3M -3.2M 0.44 73.21 N/A N/A 6,654 2,917 112,960 168,128 2016-02-11 $67.01 $60.00 67.8% 19.4% 60.6% 72.0% 66.3% 34.8% -11.7% 1.3M 72.0M -3.2M 0.51 80.85 N/A N/A 7,608 3,853 113,902 168,455 2016-02-12 $67.46 $60.00 67.9% 19.5% 58.4% 72.2% 68.3% 29.3% -10.7% 1.9M 57.6M -3.1M 0.60 81.50 N/A N/A 5,849 3,501 115,202 169,614 2016-02-16 $68.00 $60.00 61.5% 17.6% 57.1% 63.0% 70.6% 29.4% 0.3% 3.0M 52.3M -3.1M 1.20 84.38 N/A N/A 2,109 2,522 115,129 169,271 2016-02-17 $68.50 $60.00 66.9% 19.2% 57.2% 70.6% 63.1% 29.7% -6.0% 4.5M 24.2M -3.0M 0.91 72.79 N/A N/A 3,141 2,865 115,222 169,395 2016-02-18 $69.74 $60.00 62.9% 18.0% 56.1% 65.0% 60.4% 32.2% -8.0% 6.0M -14.4M -3.1M 0.61 72.05 N/A N/A 3,877 2,376 115,695 170,068 2016-02-19 $68.99 $60.00 60.0% 18.1% 54.6% 60.9% 62.4% 25.3% -8.3% 236.8K 9.6M -3.0M 0.70 65.62 N/A N/A 5,657 3,983 116,772 169,987 2016-02-22 $67.50 $60.00 61.8% 21.4% 54.9% 63.5% 79.5% 31.9% -0.7% -782.6K 95.4M -2.9M 1.42 50.32 N/A N/A 6,257 8,896 98,787 158,702 2016-02-23 $66.69 $65.00 60.5% 19.1% 35.5% 61.5% 89.3% 34.0% 3.2% -2.3M 150.0M -2.7M 2.96 68.61 N/A N/A 11,131 32,928 101,903 164,203 2016-02-24 $69.96 $65.00 50.7% 16.9% 33.9% 47.6% 65.3% 40.5% 4.4% 100.8K 38.8M -2.8M 0.73 75.25 N/A N/A 12,468 9,120 105,825 187,539 2016-02-25 $71.38 $65.00 42.7% 11.4% 34.3% 36.2% 46.9% 24.3% -0.1% 3.2M -56.2M -2.9M 1.66 84.56 N/A N/A 7,386 12,289 109,812 191,900 2016-02-26 $72.19 $65.00 39.4% 9.4% 30.4% 31.5% 47.3% 30.6% 1.1% 5.7M -103.9M -2.8M 0.87 108.44 N/A N/A 11,187 9,772 111,295 196,811 2016-02-29 $72.44 $65.00 32.6% 9.9% 25.7% 21.8% 36.6% 23.3% 0.7% 7.2M -148.2M -2.5M 1.68 110.66 N/A N/A 5,098 8,578 110,114 199,040
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