SNOW Options History — September 2015 In September 2015, SNOW traded between $8.54 and $9.68. ATM implied volatility averaged 43.7%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 5.7% (HV 20d: 38.0%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 1.22.
Notable Days 2015-09-09 : Highest Volume — 189 contracts2015-09-09 : Largest IV drop — 36.4% change2015-09-08 : Highest IV Rank — 61.6%2015-09-30 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $9.09 $8.54 $9.68 $8.86 $8.66 Max Pain $10.00 $10.00 $10.00 $10.00 $10.00 ATM IV 43.7% 36.4% 60.8% 45.6% 54.5% Expected Move 11.6% 9.4% 15.6% 13.1% 15.6% HV 20d 38.0% 21.0% 44.3% 25.3% 42.5% HV 60d 31.8% 26.2% 34.5% 26.2% 32.6% IV Rank 31.1% 18.1% 61.6% 34.6% 50.5% IV Percentile 48.5% 24.2% 96.8% 54.4% 92.5% Term Structure -6.3% -18.8% 7.8% -13.0% -18.8% VWIV 41.6% 33.3% 52.2% 33.3% 50.2% Skew 25d 5.1% -0.1% 10.8% 8.6% 1.5% Skew 10d 5.9% -1.0% 12.0% 12.0% 3.0% Call IV 25d 42.6% 33.7% 52.0% 46.5% 52.0% Put IV 25d 47.8% 36.0% 56.6% 55.1% 53.5% Bid-Ask Spread % 108.47 103.69 112.75 108.90 108.87 Gamma HHI 0.73 0.34 0.82 0.75 0.54 Net GEX 2.1K -733 4.0K 2.1K -338 Net DEX 11.5K -35.2K 48.9K 22.5K 48.9K Net VEX -393 -519 -243 -419 -243 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.22 1.21 1.23 1.23 1.21 Total Volume 169.095 0 189 185 186 Total OI 375.714 374 378 374 375
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 2015-09-01 $8.86 $0.00 45.6% 13.1% 25.3% 34.6% 0.0% 8.6% -13.0% 2.1K 22.5K -419 1.23 108.90 N/A N/A 83 102 267 107 2015-09-02 $8.88 $0.00 45.4% 13.0% 25.0% 34.2% 0.0% 8.6% -13.8% 2.2K 20.2K -419 1.23 109.34 N/A N/A 83 102 267 107 2015-09-03 $8.79 $10.00 47.4% 9.4% 24.4% 37.7% 33.3% 2.0% 7.8% 1.8K 27.2K -387 1.23 109.98 N/A N/A 83 102 267 107 2015-09-04 $8.64 $10.00 56.4% 9.7% 21.0% 53.8% 34.3% 2.3% 0.4% 808 40.9K -333 1.23 108.45 N/A N/A 83 102 267 107 2015-09-08 $8.80 $10.00 60.8% 9.7% 22.4% 61.6% 0.0% 5.5% -10.5% 1.3K 45.1K -295 0.00 108.69 N/A N/A 0 0 267 107 2015-09-09 $9.68 $10.00 38.6% 11.1% 41.4% 22.1% 40.1% 3.3% -4.6% 3.5K -35.2K -519 1.22 104.61 N/A N/A 85 104 267 107 2015-09-10 $9.55 $10.00 42.1% 12.1% 41.7% 28.4% 43.3% 2.6% -8.4% 3.0K -28.2K -510 1.22 105.19 N/A N/A 85 104 269 109 2015-09-11 $9.65 $10.00 36.4% 10.4% 41.2% 18.1% 38.1% 4.9% 1.1% 4.0K -28.0K -510 1.22 109.66 N/A N/A 85 104 269 109 2015-09-14 $9.59 $10.00 40.6% 11.7% 41.3% 25.7% 42.3% 4.2% -5.9% 3.3K -24.3K -489 1.22 107.87 N/A N/A 85 104 269 109 2015-09-15 $9.43 $10.00 37.9% 10.9% 41.8% 20.8% 0.0% 3.0% -13.4% 2.7K -10.2K -454 0.00 108.06 N/A N/A 0 0 269 109 2015-09-16 $9.66 $10.00 40.2% 11.5% 42.1% 24.9% 41.9% 5.0% -7.1% 3.5K -23.1K -480 1.22 107.61 N/A N/A 85 104 269 109 2015-09-17 $9.36 $10.00 38.0% 10.9% 43.9% 20.9% 42.3% 2.0% -7.7% 3.2K -13.9K -455 1.22 108.14 N/A N/A 85 104 269 109 2015-09-18 $9.25 $10.00 41.2% 11.8% 44.1% 26.6% 45.1% 10.8% -4.3% 2.8K -3.2K -445 1.22 112.75 N/A N/A 85 104 269 109 2015-09-21 $9.12 $10.00 37.3% 10.7% 44.3% 19.7% 38.4% 9.4% -1.1% 2.9K 6.0K -408 1.21 109.48 N/A N/A 84 102 268 107 2015-09-22 $9.00 $10.00 38.3% 11.0% 43.3% 21.6% 38.8% 8.8% -0.1% 2.5K 17.1K -376 1.21 103.69 N/A N/A 84 102 268 107 2015-09-23 $8.98 $10.00 37.4% 10.7% 43.3% 19.9% 38.6% 7.1% -1.2% 2.3K 23.7K -349 1.21 109.34 N/A N/A 84 102 268 107 2015-09-24 $9.00 $10.00 36.9% 10.6% 41.9% 19.1% 38.5% 7.7% -1.2% 2.4K 21.2K -360 1.21 108.95 N/A N/A 84 102 268 107 2015-09-25 $8.83 $10.00 42.4% 12.1% 42.2% 28.8% 42.1% 6.8% -0.1% 1.4K 43.7K -287 1.21 108.97 N/A N/A 84 102 268 107 2015-09-28 $8.70 $10.00 50.4% 14.5% 42.3% 43.2% 47.5% 3.9% -15.1% 23 42.3K -275 1.21 109.58 N/A N/A 84 102 268 107 2015-09-29 $8.54 $10.00 49.1% 14.1% 42.4% 40.8% 52.2% -0.1% -15.3% -733 48.6K -245 1.21 109.70 N/A N/A 84 102 268 107 2015-09-30 $8.66 $10.00 54.5% 15.6% 42.5% 50.5% 50.2% 1.5% -18.8% -338 48.9K -243 1.21 108.87 N/A N/A 84 102 268 107
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