SNDK Options History — April 2016

In April 2016, SNDK traded between $74.90 and $76.82. ATM implied volatility averaged 18.2%, placing in the 4.7% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded above realized volatility by 9.2% (HV 20d: 9.0%). Max pain ranged from $72.50 to $75.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 4.48.

Notable Days

  • 2016-04-21: Highest Volume — 23,347 contracts
  • 2016-04-21: Largest IV spike — 29.0% change
  • 2016-04-21: Highest IV Rank — 10.7%
  • 2016-04-01: Largest Expected Move — 11.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$75.96$74.90$76.82$76.22$75.18
Max Pain$74.93$72.50$75.50$72.50$75.50
ATM IV18.2%14.7%22.6%21.5%19.7%
Expected Move5.2%3.1%11.5%11.5%6.2%
HV 20d9.0%8.3%10.1%9.5%10.1%
HV 60d30.3%17.0%38.7%38.7%17.2%
IV Rank4.7%0.0%10.7%9.2%6.9%
IV Percentile7.7%0.0%23.0%12.7%17.1%
Term Structure-0.7%-6.5%4.2%-0.2%-0.4%
VWIV25.1%11.6%39.7%37.8%19.2%
Skew 25d11.8%4.2%23.0%9.3%15.2%
Skew 10d17.8%5.8%27.1%7.2%16.4%
Call IV 25d12.9%7.8%15.8%15.7%9.3%
Put IV 25d24.7%19.3%34.8%25.0%24.5%
Bid-Ask Spread %96.1871.08110.60108.40110.60
Gamma HHI0.160.110.260.210.12
Net GEX8.2M3.1M14.2M11.8M3.2M
Net DEX-143.7M-233.0M-63.1M-201.6M-63.1M
Net VEX-1.3M-1.5M-1.1M-1.5M-1.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio4.480.9014.102.052.39
Total Volume10,188.816,14223,3477,4516,602
Total OI214,137.619143,548271,049260,564172,232

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$76.22$72.5021.5%11.5%9.5%9.2%37.8%9.3%-0.2%11.8M-201.6M-1.5M2.05108.40N/AN/A2,4425,00982,078178,486
2016-04-04$76.25$75.0022.3%6.3%9.4%10.3%39.7%8.8%-1.1%10.2M-233.0M-1.4M3.2998.24N/AN/A1,8125,96281,864177,373
2016-04-05$75.43$75.0022.2%5.6%9.2%10.2%22.9%15.5%-0.8%6.0M-153.6M-1.5M3.0497.96N/AN/A1,8275,56181,882178,439
2016-04-06$75.85$75.0021.4%6.0%9.1%9.2%27.0%9.5%-1.4%11.1M-182.4M-1.4M2.8498.86N/AN/A1,7634,99981,884179,436
2016-04-07$76.31$75.0019.5%4.9%9.1%6.5%23.7%7.1%-1.5%11.1M-181.5M-1.4M2.6491.54N/AN/A1,8134,78681,359180,104
2016-04-08$76.45$75.0016.5%3.1%9.0%2.3%17.4%6.0%0.1%10.2M-199.4M-1.4M3.05100.72N/AN/A1,7905,46181,396180,231
2016-04-11$76.82$75.0015.7%3.2%9.0%1.2%16.0%4.2%-2.7%12.0M-210.4M-1.2M6.3092.28N/AN/A1,68610,63081,460178,953
2016-04-12$76.72$75.0016.2%3.4%8.9%1.9%11.6%10.1%-6.5%14.2M-189.0M-1.2M2.9188.44N/AN/A1,7555,10881,524181,287
2016-04-13$76.75$75.0016.3%4.0%8.3%2.1%20.0%10.8%-3.2%12.1M-207.7M-1.2M3.7381.29N/AN/A1,5935,94481,466181,656
2016-04-14$75.92$75.0016.5%4.8%9.1%2.4%15.0%10.7%-0.5%11.3M-148.8M-1.2M0.9071.08N/AN/A8,8427,97981,455182,939
2016-04-15$75.75$75.0016.9%4.9%9.1%2.9%34.4%10.9%1.5%12.0M-213.0M-1.2M9.9073.38N/AN/A2,13721,15084,536186,513
2016-04-18$76.07$75.0016.4%4.7%9.1%2.2%19.5%11.6%-0.0%10.1M-120.5M-1.1M3.33103.10N/AN/A1,6435,47153,71389,835
2016-04-19$75.78$75.0016.2%4.6%9.1%2.0%36.7%14.9%-0.1%7.9M-114.0M-1.1M4.08103.39N/AN/A1,6376,67953,78191,342
2016-04-20$75.65$75.0017.5%5.0%8.9%3.7%34.2%13.0%-0.5%6.5M-96.0M-1.1M5.41101.76N/AN/A1,5598,42853,85394,060
2016-04-21$74.90$75.0022.6%6.6%8.5%10.7%35.8%23.0%-2.5%3.9M-72.4M-1.4M14.1090.98N/AN/A1,54621,80153,86499,108
2016-04-22$75.50$75.0018.2%5.2%8.6%4.8%18.9%12.8%0.3%4.0M-82.5M-1.4M7.0695.04N/AN/A1,63911,57753,881115,236
2016-04-25$75.62$75.0018.3%5.3%8.6%4.9%30.0%13.0%-1.2%3.3M-79.7M-1.4M6.6099.77N/AN/A1,5159,99753,740115,088
2016-04-26$75.82$75.0017.1%4.1%8.5%3.3%31.1%14.8%-0.1%3.1M-86.0M-1.4M5.67101.00N/AN/A1,6589,39553,756115,673
2016-04-27$75.85$75.0014.7%5.0%8.5%0.0%20.1%12.4%4.2%3.3M-84.5M-1.4M2.72106.62N/AN/A1,7824,84553,792116,311
2016-04-28$76.25$75.5017.0%5.0%8.7%3.2%16.5%14.3%1.3%5.0M-98.4M-1.4M2.09105.44N/AN/A1,9884,15453,988117,316
2016-04-29$75.18$75.5019.7%6.2%10.1%6.9%19.2%15.2%-0.4%3.2M-63.1M-1.3M2.39110.60N/AN/A1,9464,65654,142118,090