SNOW Options History — August 2014

In August 2014, SNOW traded between $11.06 and $11.99. ATM implied volatility averaged 40.8%, placing in the 4.9% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded above realized volatility by 11.0% (HV 20d: 29.9%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.20.

Notable Days

2014-08-14: Highest Volume — 21 contracts
2014-08-12: Largest IV spike — 45.7% change
2014-08-28: Highest IV Rank — 11.1%
2014-08-18: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.41	$11.06	$11.99	$11.33	$11.51
Max Pain	$12.50	$12.50	$12.50	$12.50	$12.50
ATM IV	40.8%	30.9%	66.3%	41.1%	31.8%
Expected Move	11.8%	9.6%	13.3%	11.8%	12.3%
HV 20d	29.9%	26.1%	33.5%	28.1%	33.5%
HV 60d	32.6%	28.9%	36.0%	35.3%	29.5%
IV Rank	4.9%	2.2%	11.1%	2.2%	2.9%
IV Percentile	23.1%	5.6%	70.3%	5.6%	7.8%
Term Structure	3.4%	-16.7%	24.7%	-7.7%	13.7%
Skew 25d	-0.4%	-9.3%	6.3%	4.5%	6.3%
Skew 10d	9.5%	-0.9%	31.0%	4.5%	2.8%
Call IV 25d	37.8%	32.5%	46.7%	40.5%	32.6%
Put IV 25d	37.4%	28.8%	48.0%	45.1%	38.8%
Bid-Ask Spread %	99.93	77.62	114.70	108.76	91.72
Gamma HHI	0.96	0.93	0.99	0.97	0.95
Net GEX	7.2K	6.0K	8.3K	6.6K	7.0K
Net DEX	-124.8K	-163.8K	-76.9K	-130.4K	-142.3K
Net VEX	-602	-717	-423	-699	-568
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.20	0.00	5.00	0.00	0.00
Total Volume	1.667	0	21	0	0
Total OI	381.524	374	395	384	377

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
2014-08-01	$11.33	$12.50	41.1%	11.8%	28.1%	0.0%	0.0%	4.5%	-7.7%	6.6K	-130.4K	-699	0.00	108.76	N/A	N/A	0	0	351	33
2014-08-04	$11.22	$0.00	42.4%	9.8%	28.1%	0.0%	0.0%	-9.3%	13.5%	6.7K	-116.9K	-677	0.00	110.57	N/A	N/A	0	0	351	33
2014-08-05	$11.62	$0.00	37.7%	12.0%	28.4%	0.0%	0.0%	5.8%	5.6%	7.1K	-131.1K	-661	0.00	110.30	N/A	N/A	0	0	351	33
2014-08-06	$11.68	$0.00	36.7%	13.2%	28.1%	0.0%	0.0%	-8.5%	-5.1%	6.7K	-144.5K	-699	0.00	107.94	N/A	N/A	0	0	351	33
2014-08-07	$11.58	$0.00	39.0%	11.1%	28.3%	0.0%	0.0%	-4.4%	-7.6%	7.4K	-136.7K	-687	0.00	110.35	N/A	N/A	0	0	351	33
2014-08-08	$11.99	$0.00	38.9%	9.6%	30.8%	0.0%	0.0%	2.9%	-1.1%	8.3K	-153.2K	-688	0.00	108.09	N/A	N/A	0	0	351	33
2014-08-11	$11.89	$0.00	45.5%	10.3%	30.9%	0.0%	0.0%	0.9%	0.5%	7.8K	-163.8K	-717	0.00	114.70	N/A	N/A	0	0	351	33
2014-08-12	$11.53	$0.00	66.3%	9.9%	31.7%	0.0%	0.0%	-8.8%	3.2%	6.9K	-146.4K	-681	0.00	111.12	N/A	N/A	0	0	351	33
2014-08-13	$11.53	$0.00	66.0%	10.5%	31.4%	0.0%	0.0%	1.1%	1.1%	6.9K	-139.6K	-666	0.00	112.86	N/A	N/A	0	0	351	33
2014-08-14	$11.46	$0.00	36.1%	10.4%	26.1%	0.0%	0.0%	1.2%	-2.0%	7.7K	-121.3K	-619	0.00	83.73	N/A	N/A	21	0	351	33
2014-08-15	$11.06	$0.00	39.5%	11.3%	28.9%	0.0%	0.0%	-4.9%	-16.7%	6.0K	-135.1K	-638	0.00	88.71	N/A	N/A	0	0	372	23
2014-08-18	$11.15	$0.00	32.6%	13.3%	29.0%	0.0%	0.0%	3.0%	4.7%	7.6K	-76.9K	-423	0.00	104.49	N/A	N/A	1	0	351	23
2014-08-19	$11.24	$0.00	41.1%	13.3%	29.1%	0.0%	0.0%	-2.2%	-8.1%	7.6K	-102.1K	-523	0.00	103.08	N/A	N/A	0	0	351	23
2014-08-20	$11.11	$0.00	38.5%	12.4%	29.5%	0.0%	0.0%	-0.7%	17.8%	7.3K	-108.3K	-549	5.00	86.46	N/A	N/A	1	5	351	23
2014-08-21	$11.28	$0.00	38.2%	13.0%	29.8%	0.0%	0.0%	3.4%	6.0%	7.3K	-93.7K	-483	0.00	102.41	N/A	N/A	0	0	352	28
2014-08-22	$11.06	$0.00	39.5%	12.7%	30.7%	0.0%	0.0%	1.8%	24.7%	6.9K	-91.9K	-492	1.00	99.47	N/A	N/A	1	1	352	28
2014-08-25	$11.38	$0.00	39.1%	12.6%	31.7%	0.0%	0.0%	4.5%	7.8%	7.7K	-108.3K	-513	0.00	88.96	N/A	N/A	0	0	353	29
2014-08-26	$11.49	$0.00	30.9%	12.5%	31.8%	2.2%	0.0%	1.1%	9.2%	8.2K	-141.1K	-585	0.00	78.58	N/A	N/A	5	0	353	29
2014-08-27	$11.34	$0.00	32.5%	12.5%	30.6%	3.3%	0.0%	-2.6%	7.4%	8.0K	-124.3K	-547	0.00	77.62	N/A	N/A	0	0	348	29
2014-08-28	$11.12	$0.00	44.3%	13.2%	31.1%	11.1%	0.0%	-4.1%	4.9%	6.5K	-113.3K	-528	0.00	98.52	N/A	N/A	0	0	348	29
2014-08-29	$11.51	$0.00	31.8%	12.3%	33.5%	2.9%	0.0%	6.3%	13.7%	7.0K	-142.3K	-568	0.00	91.72	N/A	N/A	0	0	348	29