SNOW Options History — May 2014 In May 2014, SNOW traded between $10.25 and $11.75. ATM implied volatility averaged 45.9%. The 30-day expected move averaged 12.2%. IV traded above realized volatility by 4.3% (HV 20d: 41.6%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.45.
Notable Days 2014-05-19 : Highest Volume — 205 contracts2014-05-27 : Largest IV drop — 42.1% change2014-05-13 : Largest Expected Move — 14.0%Monthly Statistics Metric Avg Min Max Open Close Price $10.81 $10.25 $11.75 $11.27 $11.41 Max Pain $10.66 $10.00 $12.50 $12.50 $10.00 ATM IV 45.9% 27.5% 78.8% 39.1% 28.3% Expected Move 12.2% 7.9% 14.0% 11.2% 8.1% HV 20d 41.6% 31.7% 49.0% 44.2% 49.0% HV 60d 39.1% 37.1% 42.8% 38.2% 42.8% Term Structure 3.9% -7.1% 18.5% 2.1% 17.2% VWIV 45.2% 42.9% 48.9% 42.9% 43.1% Skew 25d 8.3% -4.2% 31.5% 3.6% -0.9% Skew 10d 23.3% -3.3% 97.1% 5.0% 8.2% Call IV 25d 41.1% 30.4% 49.3% 39.3% 35.2% Put IV 25d 49.4% 32.4% 79.5% 42.9% 34.3% Bid-Ask Spread % 91.76 33.02 125.32 112.62 48.15 Gamma HHI 0.70 0.43 0.98 0.98 0.76 Net GEX 1.8K -113 4.7K -113 4.2K Net DEX -59.9K -183.9K 15.3K 9.3K -177.7K Net VEX -495 -1.1K -45 -67 -1.0K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.45 0.00 3.00 0.00 0.00 Total Volume 22.095 0 205 0 0 Total OI 234.952 33 463 33 463
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 2014-05-01 $11.27 $12.50 39.1% 11.2% 44.2% 0.0% 0.0% 3.6% 2.1% -113 9.3K -67 0.00 112.62 N/A N/A 0 0 14 19 2014-05-02 $11.02 $12.50 41.9% 12.0% 44.6% 0.0% 42.9% -2.8% 0.1% -30 10.8K -61 0.00 112.15 N/A N/A 1 0 14 19 2014-05-05 $10.62 $0.00 42.0% 12.7% 45.7% 0.0% 0.0% 3.3% 6.0% 35 12.5K -49 0.00 122.49 N/A N/A 2 0 15 19 2014-05-06 $10.39 $0.00 41.0% 12.9% 45.2% 0.0% 48.9% 5.6% 2.0% 58 13.3K -45 3.00 124.78 N/A N/A 2 6 15 19 2014-05-07 $10.46 $12.50 42.2% 12.7% 45.5% 0.0% 0.0% 5.3% 0.9% -31 14.9K -59 0.00 125.00 N/A N/A 0 0 17 25 2014-05-08 $10.46 $12.50 44.5% 12.8% 40.3% 0.0% 0.0% 31.5% 1.6% -33 14.6K -61 1.00 125.32 N/A N/A 1 1 17 25 2014-05-09 $10.37 $12.50 46.2% 12.8% 31.7% 0.0% 43.4% 7.7% 2.0% -22 15.3K -63 0.00 123.99 N/A N/A 2 0 18 26 2014-05-12 $10.89 $10.00 64.3% 13.6% 37.1% 0.0% 0.0% 1.5% -6.7% -59 11.6K -72 0.00 124.62 N/A N/A 20 0 20 26 2014-05-13 $11.18 $10.00 78.8% 14.0% 38.3% 0.0% 0.0% 6.5% -7.0% 100 -11.0K -111 0.00 120.22 N/A N/A 0 0 40 26 2014-05-14 $10.70 $10.00 74.2% 12.6% 40.5% 0.0% 47.8% -4.2% -7.1% 111 -5.7K -93 0.00 124.95 N/A N/A 202 0 40 26 2014-05-15 $10.60 $10.00 48.5% 13.9% 38.7% 0.0% 0.0% 11.6% 5.7% 2.9K -81.2K -624 0.00 107.05 N/A N/A 20 0 242 26 2014-05-16 $10.58 $10.00 48.7% 14.0% 38.6% 0.0% 0.0% 11.9% 0.8% 3.1K -63.2K -559 0.00 104.90 N/A N/A 0 0 242 26 2014-05-19 $10.72 $10.00 45.6% 13.1% 39.2% 0.0% 45.6% 12.8% 2.7% 2.9K -91.2K -606 0.49 37.91 N/A N/A 138 67 241 20 2014-05-20 $10.36 $10.00 44.8% 12.8% 38.9% 0.0% 44.9% 8.8% 6.7% 3.3K -95.5K -933 0.00 102.93 N/A N/A 1 0 375 87 2014-05-21 $10.25 $10.00 45.9% 13.2% 38.5% 0.0% 0.0% 7.1% 4.6% 2.8K -88.7K -932 0.00 33.02 N/A N/A 0 0 375 87 2014-05-22 $10.54 $10.00 48.6% 13.9% 40.2% 0.0% 0.0% 11.6% 2.7% 3.2K -109.8K -951 0.00 100.57 N/A N/A 0 0 375 87 2014-05-23 $10.67 $10.00 47.5% 13.6% 39.0% 0.0% 0.0% 27.2% 3.5% 3.1K -115.0K -964 0.00 36.60 N/A N/A 0 0 375 87 2014-05-27 $11.47 $10.00 27.5% 7.9% 45.8% 0.0% 0.0% 19.1% 10.1% 4.4K -163.5K -1.0K 0.00 44.34 N/A N/A 0 0 375 87 2014-05-28 $11.27 $10.00 29.3% 8.4% 45.6% 0.0% 0.0% -1.5% 18.5% 4.0K -174.4K -1.1K 0.00 46.63 N/A N/A 0 0 375 87 2014-05-29 $11.75 $10.00 35.1% 10.1% 47.8% 0.0% 43.1% 9.6% 15.8% 4.7K -183.9K -1.0K 0.00 48.81 N/A N/A 0 1 375 87 2014-05-30 $11.41 $10.00 28.3% 8.1% 49.0% 0.0% 0.0% -0.9% 17.2% 4.2K -177.7K -1.0K 0.00 48.15 N/A N/A 0 0 375 88
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