SNOW Options History — November 2014

In November 2014, SNOW traded between $10.23 and $10.95. ATM implied volatility averaged 47.6%, placing in the 13.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded above realized volatility by 11.0% (HV 20d: 36.6%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.25.

Notable Days

2014-11-03: Highest Volume — 205 contracts
2014-11-24: Largest IV drop — 27.9% change
2014-11-06: Highest IV Rank — 16.6%
2014-11-17: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.48	$10.23	$10.95	$10.43	$10.72
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	47.6%	35.3%	52.6%	45.7%	44.6%
Expected Move	13.5%	11.6%	14.2%	13.7%	12.7%
HV 20d	36.6%	20.5%	48.0%	48.0%	21.8%
HV 60d	38.4%	36.1%	39.6%	39.6%	36.3%
IV Rank	13.3%	5.2%	16.6%	12.0%	11.3%
IV Percentile	77.0%	15.9%	92.1%	71.8%	60.9%
Term Structure	-1.8%	-16.9%	15.7%	0.8%	-8.7%
VWIV	57.6%	49.8%	63.5%	59.1%	51.7%
Skew 25d	12.6%	-11.7%	51.8%	5.6%	-11.7%
Skew 10d	27.8%	0.0%	110.7%	19.3%	12.5%
Call IV 25d	47.9%	36.1%	146.0%	45.4%	47.2%
Put IV 25d	60.5%	35.5%	157.2%	51.0%	35.5%
Bid-Ask Spread %	99.19	92.00	106.51	97.57	102.02
Gamma HHI	0.74	0.33	0.95	0.81	0.36
Net GEX	3.4K	399	7.7K	3.2K	424
Net DEX	-50.4K	-94.4K	-4.3K	-60.0K	-4.3K
Net VEX	-122	-178	-78	-178	-85
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.24	0.27	0.24	0.27
Total Volume	147.263	0	205	205	0
Total OI	233.895	164	259	259	164

Daily Data (19 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
2014-11-03	$10.43	$7.50	45.7%	13.7%	48.0%	12.0%	59.1%	5.6%	0.8%	3.2K	-60.0K	-178	0.24	97.57	N/A	N/A	165	40	213	46
2014-11-04	$10.34	$7.50	47.7%	13.6%	46.9%	13.4%	58.0%	0.7%	1.5%	3.5K	-51.9K	-174	0.24	99.88	N/A	N/A	165	40	213	46
2014-11-05	$10.35	$7.50	50.0%	13.2%	46.9%	14.9%	63.1%	-0.0%	-0.2%	3.2K	-52.0K	-175	0.24	94.38	N/A	N/A	165	40	213	46
2014-11-06	$10.40	$7.50	52.6%	13.3%	44.7%	16.6%	50.0%	8.1%	-3.0%	3.1K	-56.9K	-172	0.24	94.23	N/A	N/A	165	40	213	46
2014-11-07	$10.34	$7.50	46.8%	14.1%	44.2%	12.8%	58.2%	9.8%	0.3%	3.9K	-52.4K	-167	0.24	98.39	N/A	N/A	165	40	213	46
2014-11-10	$10.43	$7.50	49.4%	13.2%	44.2%	14.4%	49.8%	51.8%	-1.3%	7.5K	-67.0K	-127	0.24	92.00	N/A	N/A	165	40	213	46
2014-11-11	$10.30	$7.50	51.6%	14.2%	44.3%	16.0%	55.4%	10.3%	-5.4%	1.8K	-30.3K	-111	0.24	93.70	N/A	N/A	165	40	167	35
2014-11-12	$10.40	$7.50	52.5%	13.8%	44.3%	16.5%	63.5%	8.0%	-3.3%	4.2K	-59.0K	-141	0.24	101.48	N/A	N/A	165	40	213	46
2014-11-13	$10.40	$7.50	48.1%	14.0%	44.2%	13.6%	60.6%	11.2%	-2.9%	3.9K	-87.0K	-84	0.24	101.95	N/A	N/A	165	40	213	46
2014-11-14	$10.23	$7.50	48.3%	14.1%	44.8%	13.8%	0.0%	10.1%	-4.2%	4.9K	-53.8K	-135	0.00	105.20	N/A	N/A	0	0	213	36
2014-11-17	$10.45	$7.50	48.3%	14.2%	30.5%	13.7%	60.0%	41.4%	-5.9%	4.6K	-72.9K	-106	0.24	103.34	N/A	N/A	165	40	213	46
2014-11-18	$10.35	$7.50	47.0%	13.2%	30.5%	12.9%	53.9%	10.2%	-0.6%	5.3K	-65.0K	-111	0.24	92.57	N/A	N/A	165	40	213	46
2014-11-19	$10.24	$7.50	46.0%	13.1%	28.8%	12.2%	0.0%	8.2%	-5.9%	7.7K	-63.2K	-101	0.00	95.87	N/A	N/A	0	0	213	36
2014-11-20	$10.46	$7.50	46.7%	13.9%	29.6%	12.7%	60.6%	45.5%	-5.8%	4.8K	-69.4K	-94	0.24	101.83	N/A	N/A	165	40	213	36
2014-11-21	$10.60	$7.50	49.0%	13.7%	29.9%	14.2%	62.3%	8.7%	-16.9%	437	-94.4K	-99	0.25	104.22	N/A	N/A	157	40	213	36
2014-11-24	$10.82	$7.50	35.3%	13.1%	30.4%	5.2%	0.0%	-0.7%	15.7%	453	-5.2K	-89	0.00	106.51	N/A	N/A	0	0	128	36
2014-11-25	$10.93	$7.50	42.4%	13.3%	20.5%	9.8%	51.7%	9.6%	14.7%	505	-6.4K	-78	0.27	100.22	N/A	N/A	111	30	128	36
2014-11-26	$10.95	$7.50	52.0%	11.6%	20.5%	16.2%	0.0%	12.6%	-3.3%	399	-5.9K	-86	0.00	99.27	N/A	N/A	0	0	128	36
2014-11-28	$10.72	$7.50	44.6%	12.7%	21.8%	11.3%	0.0%	-11.7%	-8.7%	424	-4.3K	-85	0.00	102.02	N/A	N/A	0	0	128	36