SNOW Options History — February 2015 In February 2015, SNOW traded between $9.42 and $10.25. ATM implied volatility averaged 48.8%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 13.9%. IV traded above realized volatility by 22.1% (HV 20d: 26.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.24.
Notable Days 2015-02-23 : Highest Volume — 229 contracts2015-02-27 : Largest IV drop — 22.7% change2015-02-27 : Highest IV Rank — 19.1%2015-02-04 : Largest Expected Move — 15.8%Monthly Statistics Metric Avg Min Max Open Close Price $9.87 $9.42 $10.25 $10.01 $9.45 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 48.8% 37.3% 55.2% 53.6% 37.3% Expected Move 13.9% 10.7% 15.8% 15.4% 10.7% HV 20d 26.7% 21.1% 33.0% 31.2% 22.2% HV 60d 28.3% 27.8% 28.5% 27.8% 28.2% IV Rank 14.7% 8.9% 19.1% 17.2% 19.1% IV Percentile 74.3% 18.3% 94.5% 93.6% 18.3% Term Structure -3.9% -10.6% 5.1% -5.0% 5.1% VWIV 49.6% 40.1% 55.2% 53.6% 40.1% Skew 25d 5.5% 1.6% 8.8% 5.9% 8.8% Skew 10d 8.1% 1.2% 14.4% 10.0% 2.7% Call IV 25d 47.1% 39.6% 56.5% 55.7% 43.5% Put IV 25d 52.6% 45.0% 63.5% 61.6% 52.3% Bid-Ask Spread % 101.54 85.53 107.04 103.26 105.43 Gamma HHI 0.49 0.48 0.51 0.48 0.50 Net GEX 6.2K 5.5K 6.9K 6.0K 5.5K Net DEX -197.8K -247.9K -142.5K -214.5K -142.5K Net VEX -1.5K -1.7K -1.4K -1.6K -1.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.24 0.00 0.31 0.31 0.21 Total Volume 184 0 229 10 205 Total OI 742.579 734 755 736 751
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 2015-02-02 $10.01 $10.00 53.6% 15.4% 31.2% 17.2% 53.6% 5.9% -5.0% 6.0K -214.5K -1.6K 0.00 103.26 N/A N/A 0 10 611 125 2015-02-03 $10.25 $10.00 55.0% 15.8% 32.9% 18.1% 55.0% 1.6% -6.0% 6.5K -234.9K -1.7K 0.31 101.30 N/A N/A 163 50 611 125 2015-02-04 $10.22 $10.00 55.2% 15.8% 33.0% 18.3% 55.2% 7.0% -4.8% 6.8K -242.6K -1.6K 0.31 85.53 N/A N/A 163 50 611 125 2015-02-05 $10.24 $0.00 49.1% 13.2% 32.7% 14.2% 0.0% 8.4% -3.8% 5.9K -247.9K -1.7K 0.31 87.49 N/A N/A 163 50 613 125 2015-02-06 $10.10 $0.00 48.8% 13.7% 32.2% 14.0% 0.0% 6.5% -6.6% 6.5K -226.8K -1.6K 0.31 102.32 N/A N/A 163 50 613 125 2015-02-09 $9.87 $0.00 49.7% 13.2% 32.8% 14.7% 0.0% 5.4% -7.7% 6.4K -199.0K -1.5K 0.30 100.61 N/A N/A 164 50 613 125 2015-02-10 $9.83 $0.00 46.3% 14.3% 32.4% 12.4% 0.0% 3.7% -4.4% 5.8K -200.8K -1.6K 0.30 95.61 N/A N/A 164 50 609 125 2015-02-11 $9.81 $0.00 48.4% 13.9% 31.6% 13.8% 0.0% 2.9% -7.7% 6.0K -203.8K -1.5K 0.30 102.23 N/A N/A 164 50 609 125 2015-02-12 $9.90 $0.00 46.0% 13.2% 22.4% 12.2% 0.0% 5.4% -3.9% 6.5K -194.1K -1.5K 0.30 104.85 N/A N/A 165 50 609 125 2015-02-13 $9.84 $0.00 50.8% 14.6% 22.2% 15.4% 0.0% 5.5% -1.5% 6.4K -188.1K -1.5K 0.26 103.18 N/A N/A 171 45 610 125 2015-02-17 $10.08 $0.00 48.1% 13.8% 23.7% 13.6% 0.0% 7.0% 0.1% 6.3K -217.3K -1.5K 0.26 103.11 N/A N/A 171 45 610 135 2015-02-18 $10.11 $0.00 50.9% 14.6% 22.9% 15.4% 0.0% 8.6% -2.4% 6.1K -216.2K -1.6K 0.26 104.47 N/A N/A 171 45 610 145 2015-02-19 $9.91 $0.00 51.2% 14.7% 23.3% 15.7% 51.2% 7.3% -10.6% 6.8K -205.8K -1.5K 0.00 103.59 N/A N/A 8 0 610 135 2015-02-20 $9.90 $10.00 48.8% 14.0% 22.3% 14.1% 0.0% 6.4% -3.7% 6.9K -216.4K -1.5K 0.00 103.44 N/A N/A 0 0 618 135 2015-02-23 $9.70 $10.00 51.2% 14.7% 21.1% 15.6% 51.2% 5.3% -3.2% 6.1K -150.4K -1.4K 0.18 103.54 N/A N/A 194 35 613 135 2015-02-24 $9.42 $10.00 47.6% 13.7% 22.8% 13.3% 47.8% 1.8% -3.0% 6.0K -151.8K -1.4K 0.18 106.35 N/A N/A 194 35 616 135 2015-02-25 $9.45 $10.00 40.9% 11.7% 22.9% 8.9% 44.4% 2.2% -4.4% 6.1K -145.1K -1.4K 0.18 105.94 N/A N/A 194 35 616 135 2015-02-26 $9.50 $10.00 48.2% 13.8% 22.4% 13.7% 48.1% 5.0% -0.6% 6.0K -159.5K -1.4K 0.18 107.04 N/A N/A 194 35 616 135 2015-02-27 $9.45 $10.00 37.3% 10.7% 22.2% 19.1% 40.1% 8.8% 5.1% 5.5K -142.5K -1.4K 0.21 105.43 N/A N/A 170 35 616 135
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