SNOW Options History — September 2014 In September 2014, SNOW traded between $9.61 and $11.90. ATM implied volatility averaged 41.0%, placing in the 8.9% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 1.2% (HV 20d: 39.7%). Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.07.
Notable Days 2014-09-25 : Highest Volume — 100 contracts2014-09-16 : Largest IV drop — 18.2% change2014-09-25 : Highest IV Rank — 12.9%2014-09-25 : Largest Expected Move — 13.6%Monthly Statistics Metric Avg Min Max Open Close Price $10.76 $9.61 $11.90 $11.90 $9.67 ATM IV 41.0% 33.3% 47.0% 33.3% 40.5% Expected Move 13.1% 11.7% 13.6% 12.9% 12.9% HV 20d 39.7% 35.2% 42.5% 35.2% 35.6% HV 60d 33.2% 30.3% 34.7% 30.3% 33.8% IV Rank 8.9% 3.8% 12.9% 3.8% 8.6% IV Percentile 54.5% 12.3% 90.5% 12.3% 50.7% Term Structure -0.6% -20.0% 13.5% 13.5% 2.2% Skew 25d 0.9% -16.6% 11.8% 11.8% 5.6% Skew 10d 13.1% -2.3% 81.0% 4.8% 11.3% Call IV 25d 43.9% 34.5% 50.3% 34.5% 48.5% Put IV 25d 44.7% 29.8% 58.8% 46.3% 54.0% Bid-Ask Spread % 100.86 87.35 109.81 96.63 101.16 Gamma HHI 0.79 0.28 0.99 0.97 0.28 Net GEX 4.6K 410 9.3K 8.3K 410 Net DEX -67.8K -165.0K 1.6K -165.0K 1.6K Net VEX -286 -568 -97 -568 -100 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.07 0.00 0.33 0.00 0.00 Total Volume 6.905 0 100 0 10 Total OI 394.667 373 484 377 484
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 2014-09-02 $11.90 $0.00 33.3% 12.9% 35.2% 3.8% 0.0% 11.8% 13.5% 8.3K -165.0K -568 0.00 96.63 N/A N/A 0 0 348 29 2014-09-03 $11.36 $0.00 34.4% 11.7% 37.1% 4.6% 0.0% -3.4% 9.6% 6.8K -152.7K -542 0.00 90.16 N/A N/A 0 0 348 29 2014-09-04 $11.43 $0.00 37.9% 12.1% 37.2% 6.9% 0.0% 3.4% 8.3% 7.0K -145.8K -550 0.00 95.10 N/A N/A 0 0 348 29 2014-09-05 $11.41 $0.00 35.9% 13.0% 37.1% 5.5% 0.0% -2.3% -1.1% 7.2K -138.8K -516 0.00 103.35 N/A N/A 0 0 348 29 2014-09-08 $11.08 $0.00 41.6% 12.8% 35.9% 9.3% 0.0% 2.0% 7.5% 8.0K -87.9K -389 0.00 87.35 N/A N/A 5 0 348 29 2014-09-09 $11.69 $0.00 36.9% 13.0% 41.2% 6.2% 0.0% 10.2% 4.1% 9.3K -136.0K -478 0.33 88.97 N/A N/A 3 1 349 29 2014-09-10 $11.45 $0.00 42.6% 13.1% 40.4% 10.0% 0.0% 4.4% 10.4% 9.2K -107.1K -428 0.00 103.00 N/A N/A 0 0 349 30 2014-09-11 $11.28 $0.00 41.6% 12.8% 40.7% 9.3% 0.0% -6.1% -3.4% 7.4K -138.2K -472 0.00 100.60 N/A N/A 9 0 349 30 2014-09-12 $11.39 $0.00 38.3% 13.1% 40.9% 7.1% 0.0% -10.8% -2.5% 8.8K -142.9K -477 0.00 95.56 N/A N/A 0 0 350 30 2014-09-15 $10.96 $0.00 45.0% 13.0% 41.2% 11.6% 0.0% -14.0% -17.1% 6.1K -61.2K -262 0.00 91.93 N/A N/A 0 0 350 30 2014-09-16 $10.88 $0.00 36.8% 13.4% 41.1% 6.2% 0.0% -10.3% -4.9% 3.6K -32.2K -143 0.00 103.86 N/A N/A 0 0 350 30 2014-09-17 $10.65 $0.00 37.8% 13.4% 41.6% 6.8% 0.0% -16.6% -20.0% 3.6K -35.5K -163 0.00 102.17 N/A N/A 0 5 350 30 2014-09-18 $10.77 $0.00 42.3% 13.3% 41.7% 9.8% 0.0% 0.8% -8.6% 3.3K -30.4K -151 0.00 107.32 N/A N/A 0 0 350 35 2014-09-19 $10.60 $0.00 43.1% 13.5% 41.5% 10.3% 0.0% -0.9% -12.7% 2.2K -23.7K -122 0.00 105.58 N/A N/A 0 1 350 35 2014-09-22 $10.26 $0.00 46.6% 13.4% 42.5% 12.6% 0.0% 6.5% -1.0% 1.5K -16.6K -97 0.00 106.32 N/A N/A 0 11 345 28 2014-09-23 $10.12 $0.00 46.8% 13.5% 40.8% 12.7% 0.0% 5.6% -3.8% 1.1K -6.2K -112 0.00 106.55 N/A N/A 0 0 345 39 2014-09-24 $10.08 $0.00 43.7% 12.6% 40.4% 10.7% 0.0% 6.9% 2.8% 573 -2.8K -98 0.00 105.90 N/A N/A 0 0 345 39 2014-09-25 $9.73 $0.00 47.0% 13.6% 41.6% 12.9% 0.0% 8.0% -0.3% 688 -1.6K -103 0.00 107.27 N/A N/A 100 0 345 39 2014-09-26 $9.62 $0.00 44.2% 13.4% 41.4% 11.1% 0.0% 8.3% 1.7% 709 -776 -120 0.00 109.53 N/A N/A 0 0 445 39 2014-09-29 $9.61 $0.00 43.7% 13.4% 38.5% 10.7% 0.0% 9.5% 3.2% 507 90 -118 0.00 109.81 N/A N/A 0 0 445 39 2014-09-30 $9.67 $0.00 40.5% 12.9% 35.6% 8.6% 0.0% 5.6% 2.2% 410 1.6K -100 0.00 101.16 N/A N/A 10 0 445 39
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