SNOW Options History — December 2014

In December 2014, SNOW traded between $10.63 and $12.04. ATM implied volatility averaged 45.8%, placing in the 12.1% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 20.4% (HV 20d: 25.5%). Max pain ranged from $7.50 to $7.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2014-12-16: Highest Volume — 279 contracts
2014-12-04: Largest IV drop — 31.4% change
2014-12-15: Highest IV Rank — 17.9%
2014-12-02: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.21	$10.63	$12.04	$10.74	$11.94
Max Pain	$7.50	$7.50	$7.50	$7.50	$7.50
ATM IV	45.8%	35.5%	54.6%	44.2%	46.3%
Expected Move	13.2%	12.2%	13.8%	13.5%	13.6%
HV 20d	25.5%	19.9%	27.7%	21.6%	25.7%
HV 60d	34.1%	33.1%	36.3%	36.3%	33.1%
IV Rank	12.1%	5.3%	17.9%	11.0%	12.4%
IV Percentile	65.3%	15.8%	95.1%	58.5%	69.6%
Term Structure	-1.4%	-10.9%	21.8%	-1.1%	0.9%
VWIV	49.6%	36.3%	65.4%	44.6%	62.9%
Skew 25d	2.3%	-14.9%	17.7%	-7.0%	-2.5%
Skew 10d	23.6%	-6.2%	95.6%	12.4%	1.6%
Call IV 25d	45.1%	35.3%	50.7%	47.3%	48.3%
Put IV 25d	47.4%	35.2%	55.4%	40.3%	45.8%
Bid-Ask Spread %	99.14	90.12	107.25	107.17	99.49
Gamma HHI	0.49	0.30	0.69	0.47	0.50
Net GEX	318	53	651	335	317
Net DEX	-20.4K	-45.7K	-2.1K	-2.9K	-42.1K
Net VEX	-209	-433	-45	-71	-357
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	0.54	0.27	0.54
Total Volume	165.773	0	279	141	0
Total OI	213.545	164	280	164	268

Daily Data (22 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
2014-12-01	$10.74	$7.50	44.2%	13.5%	21.6%	11.0%	44.6%	-7.0%	-1.1%	335	-2.9K	-71	0.27	107.17	N/A	N/A	111	30	128	36
2014-12-02	$10.63	$7.50	42.4%	13.8%	20.2%	9.8%	64.9%	1.8%	9.4%	478	-2.3K	-67	0.27	100.66	N/A	N/A	111	30	128	36
2014-12-03	$10.64	$7.50	51.8%	13.7%	19.9%	16.1%	65.4%	2.2%	-4.1%	407	-2.1K	-66	0.27	103.96	N/A	N/A	111	30	128	36
2014-12-04	$10.80	$7.50	35.5%	13.7%	20.5%	5.3%	0.0%	1.1%	21.8%	279	-3.5K	-58	0.00	105.15	N/A	N/A	1	0	128	36
2014-12-05	$11.19	$7.50	44.1%	13.0%	23.7%	11.0%	46.8%	5.1%	-5.3%	280	-8.3K	-68	0.27	101.49	N/A	N/A	113	30	128	36
2014-12-08	$10.83	$7.50	42.6%	12.7%	26.8%	10.0%	37.0%	1.0%	-3.8%	328	-6.8K	-58	0.27	92.77	N/A	N/A	113	30	130	36
2014-12-09	$11.04	$7.50	44.0%	12.4%	27.4%	10.9%	36.3%	2.5%	-7.5%	140	-8.1K	-47	0.27	97.22	N/A	N/A	113	30	130	36
2014-12-10	$10.97	$7.50	45.7%	13.2%	27.0%	12.0%	39.5%	12.7%	-6.6%	154	-6.4K	-60	0.27	106.43	N/A	N/A	113	30	130	36
2014-12-11	$10.91	$7.50	52.8%	12.2%	27.1%	16.7%	46.3%	13.5%	-10.9%	212	-6.4K	-61	0.27	107.25	N/A	N/A	113	30	130	36
2014-12-12	$10.96	$7.50	52.5%	12.7%	27.1%	16.5%	38.8%	12.0%	-7.7%	143	-6.3K	-55	0.27	99.72	N/A	N/A	113	30	130	36
2014-12-15	$10.87	$7.50	54.6%	13.2%	26.4%	17.9%	46.7%	12.7%	-10.2%	193	-6.0K	-57	0.27	106.25	N/A	N/A	113	30	130	36
2014-12-16	$10.88	$7.50	51.6%	13.0%	25.6%	15.9%	52.8%	16.4%	-6.3%	131	-6.8K	-45	0.53	90.12	N/A	N/A	182	97	130	36
2014-12-17	$11.24	$7.50	47.8%	13.2%	27.3%	13.4%	62.3%	17.7%	3.0%	116	-34.6K	-392	0.53	97.55	N/A	N/A	182	97	188	92
2014-12-18	$11.53	$7.50	46.6%	13.6%	27.7%	12.6%	62.9%	5.6%	2.2%	528	-45.6K	-428	0.53	93.55	N/A	N/A	182	97	188	92
2014-12-19	$11.50	$7.50	47.6%	13.1%	27.3%	13.3%	0.0%	-4.8%	-1.7%	576	-45.7K	-433	0.00	96.99	N/A	N/A	0	0	188	92
2014-12-22	$11.43	$0.00	39.1%	13.5%	27.3%	7.7%	0.0%	-11.4%	1.3%	508	-34.4K	-392	0.54	97.02	N/A	N/A	180	97	176	92
2014-12-23	$11.43	$0.00	43.9%	13.1%	26.6%	10.9%	0.0%	-14.9%	-6.8%	651	-34.3K	-413	0.54	95.47	N/A	N/A	180	97	176	92
2014-12-24	$11.50	$0.00	46.4%	13.0%	26.5%	12.5%	0.0%	-6.8%	-2.4%	468	-31.9K	-388	0.54	94.36	N/A	N/A	180	97	176	92
2014-12-26	$11.69	$0.00	46.8%	13.2%	27.0%	12.7%	0.0%	-2.7%	-0.1%	450	-35.2K	-379	0.54	93.26	N/A	N/A	180	97	176	92
2014-12-29	$11.88	$0.00	42.1%	13.4%	25.7%	9.6%	0.0%	-0.4%	3.4%	244	-40.5K	-333	0.54	98.04	N/A	N/A	180	97	176	92
2014-12-30	$12.04	$0.00	39.7%	12.7%	25.8%	8.0%	0.0%	-3.0%	2.4%	53	-38.4K	-363	0.00	97.18	N/A	N/A	0	0	176	92
2014-12-31	$11.94	$0.00	46.3%	13.6%	25.7%	12.4%	0.0%	-2.5%	0.9%	317	-42.1K	-357	0.00	99.49	N/A	N/A	0	0	176	92