SNDK Options History — May 2016

In May 2016, SNDK traded between $74.64 and $76.58. ATM implied volatility averaged 24.5%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 14.3% (HV 20d: 10.2%). Max pain ranged from $75.50 to $77.50. Net GEX was positive for 10 of 10 trading days. Term structure was in contango for 0 of 10 days. Put/call ratio averaged 2.60.

Notable Days

2016-05-10: Highest Volume — 11,272 contracts
2016-05-13: Largest IV drop — 49.3% change
2016-05-06: Highest IV Rank — 21.7%
2016-05-03: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.64	$74.64	$76.58	$75.51	$76.18
Max Pain	$76.90	$75.50	$77.50	$75.50	$77.50
ATM IV	24.5%	13.7%	30.5%	21.8%	13.7%
Expected Move	4.5%	3.9%	5.2%	4.4%	4.2%
HV 20d	10.2%	9.1%	11.4%	10.2%	10.7%
HV 60d	16.4%	16.0%	17.2%	17.2%	16.0%
IV Rank	13.7%	0.0%	21.7%	9.7%	0.0%
IV Percentile	34.7%	0.0%	54.8%	21.0%	0.0%
Term Structure	-10.9%	-23.7%	-0.1%	-5.8%	-7.9%
VWIV	14.1%	7.9%	18.6%	17.3%	7.9%
Skew 25d	6.9%	-6.2%	15.5%	10.9%	14.7%
Skew 10d	13.3%	2.2%	32.3%	16.6%	32.3%
Call IV 25d	29.8%	14.2%	43.9%	18.9%	23.2%
Put IV 25d	36.6%	20.0%	59.4%	29.7%	37.9%
Bid-Ask Spread %	112.39	93.91	181.79	109.14	181.79
Gamma HHI	0.14	0.11	0.21	0.12	0.16
Net GEX	5.6M	2.9M	9.3M	4.4M	9.3M
Net DEX	-76.4M	-94.3M	-55.2M	-81.6M	-87.9M
Net VEX	-1.1M	-1.5M	-678.0K	-1.3M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.60	2.16	3.66	2.26	2.36
Total Volume	7,118.8	5,672	11,272	6,312	7,506
Total OI	175,727.7	172,166	180,948	172,166	180,134

Daily Data (10 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
2016-05-02	$75.51	$75.50	21.8%	4.4%	10.2%	9.7%	17.3%	10.9%	-5.8%	4.4M	-81.6M	-1.3M	2.26	109.14	N/A	N/A	1,938	4,374	54,150	118,016
2016-05-03	$75.31	$75.50	18.4%	5.2%	9.5%	5.1%	18.6%	5.8%	-0.5%	3.6M	-70.0M	-1.2M	2.16	107.94	N/A	N/A	1,927	4,170	54,201	118,606
2016-05-04	$75.01	$75.50	19.5%	4.8%	9.4%	6.5%	17.7%	11.6%	-0.1%	3.0M	-64.7M	-1.3M	2.64	111.47	N/A	N/A	1,647	4,342	54,178	118,925
2016-05-05	$74.64	$77.50	28.5%	4.3%	9.1%	19.0%	17.1%	15.5%	-2.9%	2.9M	-55.2M	-1.5M	2.42	93.91	N/A	N/A	1,657	4,015	54,188	119,904
2016-05-06	$75.41	$77.50	30.5%	4.6%	9.9%	21.7%	0.0%	-6.2%	-3.7%	5.4M	-75.5M	-1.0M	3.06	100.19	N/A	N/A	1,771	5,425	54,177	120,143
2016-05-09	$75.44	$77.50	29.0%	4.3%	9.7%	19.7%	18.3%	-2.4%	-19.3%	4.0M	-68.6M	-1.1M	2.66	115.84	N/A	N/A	1,679	4,471	54,038	121,160
2016-05-10	$76.58	$77.50	28.9%	3.9%	11.3%	19.5%	9.3%	14.5%	-23.7%	8.8M	-92.7M	-678.0K	3.66	101.62	N/A	N/A	2,420	8,852	54,061	121,228
2016-05-11	$76.18	$77.50	28.2%	4.7%	11.4%	18.5%	11.3%	2.2%	-22.5%	7.0M	-73.4M	-911.1K	2.38	99.98	N/A	N/A	2,215	5,272	54,438	124,782
2016-05-12	$76.18	$77.50	27.0%	4.8%	10.7%	16.9%	9.1%	2.2%	-22.9%	7.7M	-94.3M	-805.9K	2.36	101.98	N/A	N/A	2,235	5,272	54,578	126,370
2016-05-13	$76.18	$77.50	13.7%	4.2%	10.7%	0.0%	7.9%	14.7%	-7.9%	9.3M	-87.9M	-1.1M	2.36	181.79	N/A	N/A	2,234	5,272	53,993	126,141