SNOW Options History — April 2014 In April 2014, SNOW traded between $11.26 and $12.81. ATM implied volatility averaged 41.9%. The 30-day expected move averaged 12.2%. IV traded below realized volatility by 1.2% (HV 20d: 43.1%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.50.
Notable Days 2014-04-16 : Highest Volume — 22 contracts2014-04-10 : Largest IV spike — 26.3% change2014-04-25 : Largest Expected Move — 14.6%Monthly Statistics Metric Avg Min Max Open Close Price $12.09 $11.26 $12.81 $12.81 $11.34 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 41.9% 33.7% 50.8% 38.6% 38.7% Expected Move 12.2% 10.5% 14.6% 11.1% 11.1% HV 20d 43.1% 34.3% 48.8% 35.0% 44.6% Term Structure 5.6% -7.4% 61.1% 0.8% 1.7% VWIV 43.4% 43.4% 43.4% 43.4% 43.4% Skew 25d 1.6% -6.3% 6.5% 6.0% 3.2% Skew 10d 2.2% -6.9% 10.2% 10.2% 4.5% Call IV 25d 40.8% 36.3% 46.1% 36.8% 39.3% Put IV 25d 42.4% 36.6% 46.5% 42.8% 42.6% Bid-Ask Spread % 114.00 101.25 148.22 139.31 112.63 Gamma HHI 0.98 0.96 1.00 1.00 0.97 Net GEX 6 -232 248 112 -209 Net DEX 1.8K -1.1K 10.4K -1.1K 10.4K Net VEX -39 -80 -10 -12 -65 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.50 0.00 1.00 0.00 1.00 Total Volume 1.429 0 22 1 0 Total OI 16.619 5 33 5 33
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 2014-04-01 $12.81 $12.50 38.6% 11.1% 35.0% 0.0% 0.0% 6.0% 0.8% 112 -1.1K -12 0.00 139.31 N/A N/A 0 1 3 2 2014-04-02 $12.53 $12.50 42.6% 12.2% 35.6% 0.0% 0.0% 5.6% -7.4% 56 -218 -14 0.00 148.22 N/A N/A 0 0 3 3 2014-04-03 $12.55 $12.50 40.6% 11.6% 35.7% 0.0% 0.0% 4.5% -5.2% 69 -193 -14 0.00 137.21 N/A N/A 0 0 3 3 2014-04-04 $12.58 $12.50 38.2% 10.8% 34.3% 0.0% 0.0% 4.7% 54.2% 83 -236 -14 0.00 119.14 N/A N/A 0 0 3 3 2014-04-07 $12.20 $12.50 41.4% 10.7% 35.3% 0.0% 0.0% 3.2% 61.1% 66 271 -13 0.00 123.63 N/A N/A 0 0 3 3 2014-04-08 $12.06 $12.50 33.7% 12.7% 35.2% 0.0% 0.0% -1.5% 0.4% 84 1.1K -11 0.00 102.51 N/A N/A 0 0 3 3 2014-04-09 $12.68 $12.50 35.1% 13.0% 40.4% 0.0% 0.0% 6.5% -0.8% 140 261 -12 0.00 101.55 N/A N/A 0 0 3 3 2014-04-10 $11.75 $12.50 44.4% 12.7% 47.6% 0.0% 0.0% -6.3% -0.4% 47 1.5K -10 0.00 103.26 N/A N/A 0 0 3 3 2014-04-11 $11.84 $12.50 45.7% 13.1% 47.9% 0.0% 0.0% -4.4% -1.3% 60 1.5K -10 0.00 101.25 N/A N/A 0 0 3 3 2014-04-14 $11.96 $12.50 43.0% 12.3% 48.0% 0.0% 0.0% -3.1% 1.6% 71 1.4K -10 0.00 104.58 N/A N/A 2 0 3 3 2014-04-15 $12.08 $12.50 43.3% 12.4% 47.4% 0.0% 0.0% -2.1% 0.8% 138 116 -15 0.00 102.73 N/A N/A 0 0 5 3 2014-04-16 $12.40 $12.50 45.6% 13.1% 48.8% 0.0% 0.0% 2.9% -0.4% 248 -567 -16 1.00 103.09 N/A N/A 11 11 5 3 2014-04-17 $12.19 $12.50 44.1% 12.6% 48.6% 0.0% 0.0% 0.3% 1.0% 109 -613 -80 0.00 102.49 N/A N/A 0 0 16 14 2014-04-21 $12.02 $12.50 42.5% 12.2% 48.3% 0.0% 0.0% -0.6% 1.5% -85 846 -77 0.00 108.31 N/A N/A 0 0 14 14 2014-04-22 $12.29 $12.50 45.9% 13.2% 48.0% 0.0% 0.0% 2.5% -1.6% -89 63 -78 0.00 104.21 N/A N/A 0 0 14 14 2014-04-23 $12.00 $12.50 46.3% 13.3% 47.9% 0.0% 0.0% -0.5% -2.2% -90 314 -76 0.00 103.60 N/A N/A 0 0 14 14 2014-04-24 $12.11 $12.50 43.5% 12.5% 43.7% 0.0% 43.4% 1.2% 0.4% -91 115 -76 0.00 104.82 N/A N/A 0 5 14 14 2014-04-25 $11.66 $12.50 50.8% 14.6% 43.6% 0.0% 0.0% 4.3% 8.2% -208 5.7K -77 0.00 147.55 N/A N/A 0 0 14 19 2014-04-28 $11.26 $12.50 38.6% 11.1% 44.5% 0.0% 0.0% 3.9% 4.2% -159 8.8K -69 0.00 111.59 N/A N/A 0 0 14 19 2014-04-29 $11.50 $12.50 36.5% 10.5% 44.7% 0.0% 0.0% 4.2% 1.9% -232 8.2K -73 0.00 112.36 N/A N/A 0 0 14 19 2014-04-30 $11.34 $12.50 38.7% 11.1% 44.6% 0.0% 0.0% 3.2% 1.7% -209 10.4K -65 0.00 112.63 N/A N/A 0 0 14 19
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