SNOW Options History — March 2014

Name: SNOW Options Analytics - March 2014
Creator: Options Analysis Suite

In March 2014, SNOW traded between $13.04 and $14.27. ATM implied volatility averaged 39.4%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 12.0% (HV 20d: 27.4%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.40.

Notable Days

2014-03-14: Highest Volume — 11 contracts
2014-03-13: Largest IV drop — 36.3% change
2014-03-05: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.73	$13.04	$14.27	$13.47	$13.04
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	39.4%	30.8%	48.4%	42.4%	38.7%
Expected Move	10.5%	8.3%	13.4%	12.2%	11.1%
HV 20d	27.4%	19.4%	35.3%	19.4%	35.3%
Term Structure	16.4%	-14.5%	49.5%	-11.0%	-7.1%
VWIV	32.8%	32.4%	33.1%	32.4%	33.1%
Skew 25d	2.0%	-2.5%	7.0%	2.5%	-1.3%
Skew 10d	9.6%	8.3%	11.0%	8.9%	9.9%
Call IV 25d	31.7%	29.2%	33.5%	29.2%	33.3%
Put IV 25d	33.6%	31.0%	38.8%	31.8%	32.0%
Bid-Ask Spread %	128.32	121.14	131.97	131.97	131.04
Gamma HHI	0.97	0.56	1.00	0.56	0.99
Net GEX	82	0	305	0	103
Net DEX	-3.9K	-15.5K	0	0	-1.4K
Net VEX	-10	-18	0	0	-12
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.00	1.00	1.00	0.00
Total Volume	1.286	0	11	0	0
Total OI	5.762	0	16	0	5

Daily Data (21 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
2014-03-03	$13.47	$0.00	42.4%	12.2%	0.0%	0.0%	0.0%	0.0%	-11.0%	0	0	0	0.00	131.97	N/A	N/A	0	0	0	0
2014-03-04	$13.70	$0.00	46.1%	13.2%	0.0%	0.0%	0.0%	0.0%	-12.3%	0	0	0	0.00	131.87	N/A	N/A	0	0	0	0
2014-03-05	$13.66	$0.00	46.7%	13.4%	0.0%	0.0%	0.0%	0.0%	-12.9%	0	0	0	0.00	131.25	N/A	N/A	0	0	0	0
2014-03-06	$13.58	$0.00	46.4%	13.3%	0.0%	0.0%	0.0%	0.0%	-14.5%	0	0	0	0.00	129.91	N/A	N/A	0	0	0	0
2014-03-07	$13.90	$0.00	41.9%	8.3%	0.0%	0.0%	32.4%	0.0%	11.0%	0	0	0	1.00	127.36	N/A	N/A	1	1	0	0
2014-03-10	$13.96	$12.50	45.9%	8.8%	0.0%	0.0%	0.0%	0.0%	9.2%	14	-458	-5	1.00	128.48	N/A	N/A	1	1	1	1
2014-03-11	$13.97	$12.50	46.7%	9.0%	0.0%	0.0%	0.0%	0.0%	49.5%	19	-829	-13	0.00	124.42	N/A	N/A	0	0	2	2
2014-03-12	$14.08	$12.50	48.4%	9.0%	0.0%	0.0%	0.0%	0.0%	48.0%	17	-873	-13	0.00	131.90	N/A	N/A	0	0	2	2
2014-03-13	$14.04	$12.50	30.8%	8.8%	0.0%	0.0%	0.0%	0.0%	49.3%	18	-861	-13	0.00	129.82	N/A	N/A	0	0	2	2
2014-03-14	$13.88	$12.50	38.1%	10.9%	0.0%	0.0%	33.1%	0.0%	41.2%	14	-719	-13	0.00	124.23	N/A	N/A	11	0	2	2
2014-03-17	$13.99	$12.50	33.3%	9.5%	0.0%	0.0%	0.0%	0.0%	48.7%	264	-13.0K	-18	0.00	128.18	N/A	N/A	1	0	13	2
2014-03-18	$14.27	$12.50	35.3%	10.1%	0.0%	0.0%	0.0%	0.0%	46.0%	305	-15.5K	-18	0.00	127.14	N/A	N/A	11	0	14	2
2014-03-19	$14.01	$12.50	33.6%	9.6%	19.4%	0.0%	0.0%	0.0%	48.4%	281	-12.0K	-17	0.00	130.31	N/A	N/A	0	0	12	2
2014-03-20	$13.71	$12.50	33.8%	9.7%	21.3%	0.0%	0.0%	0.0%	40.4%	272	-13.6K	-14	0.00	121.14	N/A	N/A	0	0	12	2
2014-03-21	$13.39	$12.50	31.1%	8.9%	23.0%	0.0%	0.0%	0.0%	39.6%	76	-13.7K	-13	0.00	127.35	N/A	N/A	0	0	12	2
2014-03-24	$13.74	$12.50	39.1%	11.2%	24.1%	0.0%	0.0%	2.5%	-7.6%	56	-1.9K	-13	0.00	126.71	N/A	N/A	0	0	3	2
2014-03-25	$13.92	$12.50	34.4%	9.9%	23.8%	0.0%	0.0%	2.5%	-7.9%	50	-2.0K	-13	0.00	125.54	N/A	N/A	0	0	3	2
2014-03-26	$13.09	$12.50	36.1%	10.4%	32.5%	0.0%	0.0%	3.6%	-4.6%	94	-1.4K	-13	0.00	131.41	N/A	N/A	0	0	3	2
2014-03-27	$13.45	$12.50	37.7%	10.8%	33.9%	0.0%	0.0%	7.0%	-5.1%	72	-1.7K	-13	0.00	128.01	N/A	N/A	0	0	3	2
2014-03-28	$13.49	$12.50	40.3%	11.6%	33.1%	0.0%	0.0%	-2.5%	-3.6%	69	-1.7K	-13	0.00	126.58	N/A	N/A	0	0	3	2
2014-03-31	$13.04	$12.50	38.7%	11.1%	35.3%	0.0%	0.0%	-1.3%	-7.1%	103	-1.4K	-12	0.00	131.04	N/A	N/A	0	0	3	2