SNOW Options History — October 2014

In October 2014, SNOW traded between $8.94 and $10.67. ATM implied volatility averaged 51.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 16.3% (HV 20d: 35.3%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.29.

Notable Days

2014-10-29: Highest Volume — 205 contracts
2014-10-16: Largest IV drop — 36.0% change
2014-10-15: Highest IV Rank — 33.3%
2014-10-22: Largest Expected Move — 14.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.71	$8.94	$10.67	$9.55	$10.67
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	51.6%	39.1%	78.0%	44.7%	46.7%
Expected Move	13.5%	12.3%	14.5%	12.4%	12.5%
HV 20d	35.3%	24.1%	47.9%	33.0%	47.6%
HV 60d	35.9%	32.7%	40.8%	33.2%	40.1%
IV Rank	15.9%	7.7%	33.3%	11.4%	12.7%
IV Percentile	84.1%	42.9%	98.8%	74.2%	80.9%
Term Structure	-1.6%	-11.0%	9.4%	1.9%	-0.1%
VWIV	52.5%	41.4%	58.1%	52.7%	52.3%
Skew 25d	1.7%	-10.1%	14.3%	8.4%	2.4%
Skew 10d	12.6%	3.2%	24.0%	10.3%	3.2%
Call IV 25d	46.3%	40.8%	52.1%	49.8%	44.3%
Put IV 25d	48.0%	36.2%	62.3%	58.2%	46.6%
Bid-Ask Spread %	100.76	89.26	107.21	96.22	89.26
Gamma HHI	0.40	0.27	0.82	0.30	0.82
Net GEX	568	-36	3.1K	580	3.1K
Net DEX	-1.4K	-67.7K	13.2K	-773	-67.7K
Net VEX	-120	-189	-84	-102	-174
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.00	0.35	0.34	0.24
Total Volume	89.304	0	205	0	205
Total OI	367.13	157	513	494	259

Daily Data (23 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
2014-10-01	$9.55	$0.00	44.7%	12.4%	33.0%	11.4%	0.0%	8.4%	1.9%	580	-773	-102	0.00	96.22	N/A	N/A	0	0	455	39
2014-10-02	$9.54	$0.00	40.3%	13.7%	32.7%	8.5%	0.0%	4.2%	2.3%	710	-4.1K	-127	0.00	106.68	N/A	N/A	0	0	455	39
2014-10-03	$9.67	$0.00	42.8%	13.6%	33.6%	10.1%	0.0%	14.3%	9.4%	728	-2.7K	-114	0.00	106.69	N/A	N/A	0	0	455	39
2014-10-06	$9.51	$0.00	39.1%	13.3%	32.8%	7.7%	0.0%	-2.9%	-0.9%	434	1.2K	-91	0.00	93.56	N/A	N/A	0	0	455	39
2014-10-07	$9.27	$0.00	41.0%	13.6%	24.1%	8.9%	52.7%	-2.8%	3.7%	470	2.2K	-97	0.00	104.80	N/A	N/A	0	19	455	39
2014-10-08	$9.39	$7.50	54.0%	13.1%	25.3%	17.5%	55.3%	-4.6%	-2.7%	678	3.9K	-138	0.34	100.13	N/A	N/A	148	50	455	58
2014-10-09	$9.09	$7.50	52.0%	13.5%	26.5%	16.2%	0.0%	-10.1%	-6.9%	345	9.2K	-121	0.00	100.13	N/A	N/A	0	10	455	58
2014-10-10	$8.94	$7.50	59.7%	13.3%	25.5%	21.3%	0.0%	-7.3%	-3.7%	337	9.5K	-126	0.00	98.16	N/A	N/A	0	0	455	58
2014-10-13	$9.02	$7.50	71.3%	14.0%	24.5%	28.9%	0.0%	-4.9%	-11.0%	296	13.2K	-99	0.00	107.21	N/A	N/A	0	0	455	58
2014-10-14	$9.22	$7.50	61.4%	12.7%	27.0%	22.4%	41.4%	-2.0%	-9.8%	109	11.5K	-87	0.34	101.90	N/A	N/A	148	50	455	58
2014-10-15	$9.24	$7.50	78.0%	14.0%	26.7%	33.3%	48.8%	-3.8%	-3.9%	281	10.2K	-109	0.34	105.89	N/A	N/A	148	50	455	58
2014-10-16	$9.20	$7.50	49.9%	13.9%	25.9%	14.8%	0.0%	-9.6%	0.9%	227	9.3K	-117	0.00	100.92	N/A	N/A	0	0	455	58
2014-10-17	$9.17	$7.50	52.2%	12.5%	25.7%	16.3%	0.0%	-8.3%	-6.7%	96	10.8K	-99	0.00	95.35	N/A	N/A	0	0	455	58
2014-10-20	$10.09	$7.50	47.7%	14.1%	43.3%	13.3%	54.7%	8.8%	1.7%	326	4.2K	-125	0.35	99.94	N/A	N/A	114	40	121	36
2014-10-21	$10.20	$7.50	46.6%	14.0%	43.2%	12.6%	58.1%	4.9%	3.3%	45	7.7K	-135	0.35	101.97	N/A	N/A	114	40	121	46
2014-10-22	$9.91	$7.50	48.4%	14.5%	44.4%	13.8%	56.5%	7.2%	1.5%	25	9.0K	-128	0.35	104.77	N/A	N/A	114	40	121	46
2014-10-23	$9.90	$7.50	52.7%	13.8%	42.5%	16.6%	58.0%	7.9%	-3.4%	-36	10.7K	-117	0.35	100.80	N/A	N/A	114	40	121	46
2014-10-24	$9.96	$7.50	53.4%	13.9%	42.3%	17.1%	51.7%	6.7%	-1.8%	14	10.2K	-124	0.35	100.61	N/A	N/A	114	40	121	46
2014-10-27	$9.95	$7.50	52.9%	13.0%	42.3%	16.8%	0.0%	6.1%	-2.4%	73	9.0K	-84	0.00	105.01	N/A	N/A	0	0	121	36
2014-10-28	$10.62	$7.50	51.4%	14.1%	47.9%	15.8%	0.0%	8.1%	-3.4%	191	4.6K	-92	0.00	101.16	N/A	N/A	46	0	121	36
2014-10-29	$10.64	$7.50	51.5%	14.4%	47.5%	15.9%	50.6%	8.2%	-3.3%	1.3K	-29.0K	-156	0.24	101.90	N/A	N/A	165	40	167	46
2014-10-30	$10.57	$7.50	48.2%	12.3%	47.6%	13.7%	49.9%	8.9%	-0.7%	2.8K	-63.1K	-189	0.24	94.43	N/A	N/A	165	40	213	46
2014-10-31	$10.67	$7.50	46.7%	12.5%	47.6%	12.7%	52.3%	2.4%	-0.1%	3.1K	-67.7K	-174	0.24	89.26	N/A	N/A	165	40	213	46