SNDK Options History — March 2016

In March 2016, SNDK traded between $73.89 and $77.15. ATM implied volatility averaged 19.8%, placing in the 5.3% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded below realized volatility by 1.0% (HV 20d: 20.8%). Max pain ranged from $65.00 to $72.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 2.28.

Notable Days

2016-03-07: Highest Volume — 29,149 contracts
2016-03-04: Largest IV drop — 17.9% change
2016-03-01: Highest IV Rank — 13.9%
2016-03-31: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$76.07	$73.89	$77.15	$73.89	$76.13
Max Pain	$71.82	$65.00	$72.50	$65.00	$72.50
ATM IV	19.8%	14.8%	27.1%	27.1%	22.1%
Expected Move	6.2%	3.4%	11.1%	8.0%	11.1%
HV 20d	20.8%	9.9%	26.7%	26.5%	9.9%
HV 60d	38.7%	38.6%	38.8%	38.6%	38.7%
IV Rank	5.3%	0.0%	13.9%	13.9%	10.1%
IV Percentile	8.7%	0.0%	29.0%	29.0%	15.1%
Term Structure	-0.6%	-7.6%	6.3%	1.4%	-0.6%
VWIV	26.5%	15.5%	37.1%	36.5%	36.5%
Skew 25d	13.2%	8.6%	23.7%	23.7%	8.9%
Skew 10d	22.7%	6.7%	51.4%	51.4%	7.1%
Call IV 25d	13.3%	6.1%	16.3%	16.3%	15.9%
Put IV 25d	26.5%	16.6%	40.0%	40.0%	24.8%
Bid-Ask Spread %	84.25	54.94	111.27	102.61	111.27
Gamma HHI	0.18	0.14	0.23	0.15	0.20
Net GEX	14.0M	7.8M	19.6M	13.2M	10.1M
Net DEX	-273.7M	-346.1M	-167.7M	-201.7M	-181.7M
Net VEX	-1.7M	-2.3M	-1.4M	-2.2M	-1.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.28	0.88	4.18	2.06	2.88
Total Volume	12,955.545	7,207	29,149	15,175	7,207
Total OI	287,840.955	240,023	319,612	311,973	259,933

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
2016-03-01	$73.89	$65.00	27.1%	8.0%	26.5%	13.9%	36.5%	23.7%	1.4%	13.2M	-201.7M	-2.2M	2.06	102.61	N/A	N/A	4,953	10,222	110,813	201,160
2016-03-02	$74.94	$65.00	26.0%	6.7%	26.7%	12.4%	30.4%	20.8%	-5.2%	13.9M	-275.6M	-2.3M	1.28	97.41	N/A	N/A	6,026	7,740	111,196	204,503
2016-03-03	$75.56	$72.50	23.7%	5.9%	26.4%	9.2%	26.0%	21.6%	-0.6%	19.6M	-336.4M	-2.1M	1.89	68.30	N/A	N/A	3,257	6,142	112,560	206,548
2016-03-04	$75.85	$72.50	19.5%	6.0%	26.3%	3.1%	30.3%	16.4%	0.3%	16.3M	-330.8M	-2.3M	1.29	71.07	N/A	N/A	3,574	4,624	112,824	206,335
2016-03-07	$76.73	$72.50	18.7%	4.5%	25.6%	2.0%	24.6%	11.2%	-3.1%	18.6M	-342.7M	-2.1M	0.88	66.67	N/A	N/A	15,503	13,646	113,144	206,468
2016-03-08	$76.14	$72.50	20.3%	6.1%	25.0%	4.2%	23.7%	15.5%	2.9%	16.8M	-343.7M	-1.8M	2.90	66.93	N/A	N/A	5,227	15,156	106,325	198,331
2016-03-09	$76.60	$72.50	18.7%	4.2%	23.4%	2.0%	25.1%	13.9%	-6.0%	17.6M	-346.1M	-1.9M	1.21	70.14	N/A	N/A	10,569	12,760	105,535	199,013
2016-03-10	$76.31	$72.50	17.3%	3.4%	23.7%	0.0%	24.8%	15.6%	-7.6%	14.8M	-324.6M	-1.8M	1.02	69.89	N/A	N/A	4,339	4,407	102,736	195,265
2016-03-11	$76.68	$72.50	17.5%	4.5%	23.3%	0.3%	24.4%	13.2%	-2.8%	15.5M	-323.7M	-1.7M	1.00	54.94	N/A	N/A	4,166	4,155	101,328	195,434
2016-03-14	$76.46	$72.50	16.3%	4.4%	23.5%	0.0%	23.1%	10.5%	5.1%	16.0M	-320.5M	-1.6M	2.50	69.06	N/A	N/A	4,825	12,055	101,432	194,840
2016-03-15	$75.80	$72.50	19.1%	5.5%	24.1%	3.9%	30.3%	8.6%	-0.6%	16.1M	-331.2M	-1.7M	4.18	64.20	N/A	N/A	3,534	14,771	102,247	202,962
2016-03-16	$76.17	$72.50	16.1%	4.6%	24.1%	0.0%	22.3%	13.1%	1.5%	17.9M	-341.2M	-1.7M	2.92	64.90	N/A	N/A	3,329	9,721	102,459	205,311
2016-03-17	$76.25	$72.50	15.1%	4.1%	23.7%	0.0%	15.5%	8.7%	1.9%	16.3M	-321.4M	-1.5M	1.68	66.05	N/A	N/A	3,353	5,621	102,515	207,480
2016-03-18	$76.57	$72.50	14.8%	3.9%	23.0%	0.0%	27.1%	13.8%	6.3%	13.1M	-340.1M	-1.5M	2.36	70.72	N/A	N/A	3,231	7,615	102,518	208,908
2016-03-21	$76.73	$72.50	17.3%	4.9%	20.7%	3.5%	22.1%	10.6%	-0.6%	13.0M	-227.8M	-1.6M	3.93	106.69	N/A	N/A	2,467	9,696	80,871	159,152
2016-03-22	$77.15	$72.50	16.7%	4.7%	19.5%	2.7%	18.1%	10.0%	-0.1%	12.5M	-243.0M	-1.5M	4.05	104.32	N/A	N/A	2,548	10,318	81,398	162,003
2016-03-23	$76.23	$72.50	19.1%	9.1%	13.7%	5.9%	26.3%	9.9%	-1.3%	13.1M	-211.1M	-1.5M	2.09	106.06	N/A	N/A	2,550	5,317	81,575	168,056
2016-03-24	$75.58	$72.50	22.4%	9.2%	13.1%	10.5%	24.3%	13.3%	-1.0%	9.8M	-168.5M	-1.5M	2.34	105.14	N/A	N/A	4,270	10,010	81,604	169,522
2016-03-28	$75.73	$72.50	23.8%	10.1%	12.7%	12.4%	34.8%	11.7%	-0.8%	7.8M	-167.7M	-1.5M	1.42	104.10	N/A	N/A	4,131	5,880	81,714	172,538
2016-03-29	$76.02	$72.50	22.7%	9.9%	12.7%	10.8%	37.1%	8.9%	-1.5%	7.8M	-172.5M	-1.4M	2.85	106.18	N/A	N/A	2,005	5,710	81,897	174,647
2016-03-30	$76.01	$72.50	21.9%	6.5%	11.0%	9.8%	20.7%	11.0%	0.2%	8.2M	-170.1M	-1.4M	3.54	106.80	N/A	N/A	1,850	6,542	82,008	175,393
2016-03-31	$76.13	$72.50	22.1%	11.1%	9.9%	10.1%	36.5%	8.9%	-0.6%	10.1M	-181.7M	-1.5M	2.88	111.27	N/A	N/A	1,858	5,349	82,085	177,848