SNOW Options History — June 2014

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

In June 2014, SNOW traded between $10.33 and $11.46. ATM implied volatility averaged 40.3%. The 30-day expected move averaged 11.9%. IV traded below realized volatility by 0.7% (HV 20d: 41.0%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 2.50.

Notable Days

2014-06-19: Highest Volume — 300 contracts
2014-06-04: Largest IV spike — 50.1% change
2014-06-17: Largest Expected Move — 14.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.89	$10.33	$11.46	$11.40	$11.46
Max Pain	$12.02	$10.00	$12.50	$10.00	$12.50
ATM IV	40.3%	28.8%	49.8%	28.8%	32.4%
Expected Move	11.9%	8.3%	14.3%	8.3%	9.3%
HV 20d	41.0%	27.5%	48.2%	48.2%	31.5%
HV 60d	42.3%	40.4%	43.2%	42.8%	41.7%
Term Structure	3.8%	-9.0%	16.6%	16.6%	13.7%
VWIV	46.2%	46.2%	46.2%	46.2%	46.2%
Skew 25d	8.7%	-2.6%	43.4%	7.3%	4.9%
Skew 10d	21.9%	-2.3%	98.9%	10.8%	4.1%
Call IV 25d	36.5%	29.7%	45.5%	29.7%	31.0%
Put IV 25d	45.2%	35.6%	81.2%	37.0%	35.8%
Bid-Ask Spread %	55.26	29.77	109.84	47.94	44.90
Gamma HHI	0.69	0.55	0.83	0.77	0.82
Net GEX	4.1K	2.8K	5.3K	4.5K	5.3K
Net DEX	-125.7K	-182.9K	-73.6K	-177.4K	-165.3K
Net VEX	-829	-1.0K	-667	-1.0K	-880
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	2.50	0.00	10.00	0.00	10.00
Total Volume	15.619	0	300	0	11
Total OI	449.476	408	474	463	408

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
2014-06-02	$11.40	$10.00	28.8%	8.3%	48.2%	0.0%	0.0%	7.3%	16.6%	4.5K	-177.4K	-1.0K	0.00	47.94	N/A	N/A	0	0	375	88
2014-06-03	$11.39	$10.00	30.9%	8.9%	46.0%	0.0%	0.0%	1.8%	13.4%	4.6K	-182.9K	-1.0K	0.00	47.71	N/A	N/A	0	0	375	88
2014-06-04	$10.97	$10.00	46.4%	13.3%	47.5%	0.0%	0.0%	9.8%	-9.0%	3.4K	-135.5K	-879	0.00	43.84	N/A	N/A	0	0	375	88
2014-06-05	$11.15	$10.00	38.3%	11.0%	47.7%	0.0%	0.0%	-2.6%	13.3%	4.4K	-154.4K	-953	0.00	107.01	N/A	N/A	0	0	375	88
2014-06-06	$11.16	$12.50	37.4%	13.0%	47.7%	0.0%	0.0%	2.6%	0.5%	4.3K	-166.9K	-949	0.00	29.77	N/A	N/A	0	0	375	88
2014-06-09	$11.03	$12.50	38.6%	13.6%	47.8%	0.0%	0.0%	4.3%	-2.2%	4.4K	-150.8K	-894	0.00	30.13	N/A	N/A	0	0	375	88
2014-06-10	$10.91	$12.50	38.8%	13.0%	44.8%	0.0%	0.0%	2.0%	3.6%	4.2K	-138.6K	-883	0.00	57.40	N/A	N/A	0	0	375	88
2014-06-11	$10.92	$12.50	40.5%	13.1%	43.8%	0.0%	0.0%	14.1%	-2.1%	4.0K	-149.9K	-888	0.00	37.33	N/A	N/A	0	0	375	88
2014-06-12	$10.73	$12.50	46.2%	13.3%	41.3%	0.0%	46.2%	11.8%	-0.2%	3.8K	-127.2K	-842	0.00	33.36	N/A	N/A	1	0	375	88
2014-06-13	$10.74	$12.50	46.4%	13.3%	41.1%	0.0%	0.0%	12.7%	-2.0%	4.0K	-126.4K	-831	0.00	36.91	N/A	N/A	0	0	376	88
2014-06-16	$10.33	$12.50	46.8%	13.4%	43.5%	0.0%	0.0%	9.4%	-7.0%	3.2K	-73.6K	-667	0.00	39.13	N/A	N/A	0	10	376	88
2014-06-17	$10.36	$12.50	49.8%	14.3%	43.2%	0.0%	0.0%	11.7%	-7.2%	2.8K	-76.4K	-668	0.00	105.92	N/A	N/A	0	0	376	98
2014-06-18	$10.46	$12.50	46.2%	13.2%	41.6%	0.0%	0.0%	43.4%	-2.2%	2.9K	-89.4K	-723	0.00	33.56	N/A	N/A	0	0	376	98
2014-06-19	$10.75	$12.50	39.4%	11.3%	42.4%	0.0%	0.0%	11.8%	11.2%	3.6K	-111.7K	-736	0.00	41.49	N/A	N/A	300	0	376	98
2014-06-20	$10.75	$12.50	35.2%	10.1%	41.3%	0.0%	0.0%	-1.6%	7.7%	4.4K	-117.5K	-750	0.00	109.84	N/A	N/A	6	0	376	98
2014-06-23	$10.70	$12.50	45.1%	12.9%	41.2%	0.0%	0.0%	9.2%	1.4%	4.5K	-98.1K	-757	0.00	37.21	N/A	N/A	0	0	354	54
2014-06-24	$10.59	$12.50	42.1%	12.1%	31.2%	0.0%	0.0%	6.9%	1.6%	4.3K	-92.9K	-765	0.00	37.72	N/A	N/A	0	0	354	54
2014-06-25	$10.63	$12.50	36.6%	10.5%	30.9%	0.0%	0.0%	3.3%	10.8%	4.0K	-82.4K	-724	0.00	106.01	N/A	N/A	0	0	354	54
2014-06-26	$10.85	$12.50	39.3%	11.3%	27.5%	0.0%	0.0%	9.4%	8.8%	4.4K	-93.7K	-742	0.00	88.80	N/A	N/A	0	0	354	54
2014-06-27	$11.38	$12.50	40.8%	11.7%	31.4%	0.0%	0.0%	10.0%	9.6%	5.3K	-128.7K	-835	0.00	44.51	N/A	N/A	0	0	354	54
2014-06-30	$11.46	$12.50	32.4%	9.3%	31.5%	0.0%	0.0%	4.9%	13.7%	5.3K	-165.3K	-880	10.00	44.90	N/A	N/A	1	10	354	54