SNOW Options History — October 2015

In October 2015, SNOW traded between $8.31 and $9.22. ATM implied volatility averaged 48.3%, placing in the 34.2% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 9.7% (HV 20d: 38.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.21.

Notable Days

2015-10-12: Highest Volume — 197 contracts
2015-10-14: Largest IV drop — 62.3% change
2015-10-13: Highest IV Rank — 100.0%
2015-10-02: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.81	$8.31	$9.22	$8.31	$8.97
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	48.3%	36.2%	101.4%	48.1%	39.1%
Expected Move	11.3%	8.5%	16.2%	13.8%	11.2%
HV 20d	38.5%	31.8%	50.9%	44.8%	31.8%
HV 60d	36.1%	33.5%	36.8%	33.5%	35.4%
IV Rank	34.2%	13.3%	100.0%	39.0%	17.1%
IV Percentile	55.5%	23.4%	100.0%	64.7%	36.5%
Term Structure	-4.3%	-23.1%	14.4%	-14.2%	-9.1%
VWIV	56.7%	55.0%	58.3%	58.3%	55.0%
Skew 25d	1.2%	-11.3%	11.2%	-8.0%	11.2%
Skew 10d	5.3%	-10.9%	13.1%	-10.9%	8.6%
Call IV 25d	41.0%	30.0%	57.4%	57.4%	39.6%
Put IV 25d	42.2%	36.0%	57.2%	49.4%	50.8%
Bid-Ask Spread %	108.65	84.86	111.90	108.68	111.90
Gamma HHI	0.68	0.62	0.85	0.69	0.62
Net GEX	-53	-1.0K	3.0K	-854	-921
Net DEX	35.7K	8.0K	48.0K	47.0K	34.0K
Net VEX	-262	-348	-234	-240	-254
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.21	1.07	1.41	1.21	1.41
Total Volume	176.727	0	197	186	171
Total OI	293.773	192	386	375	193

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
2015-10-01	$8.31	$10.00	48.1%	13.8%	44.8%	39.0%	58.3%	-8.0%	-14.2%	-854	47.0K	-240	1.21	108.68	N/A	N/A	84	102	268	107
2015-10-02	$8.63	$10.00	56.6%	16.2%	47.0%	54.3%	55.0%	1.7%	-23.1%	-589	48.0K	-241	1.21	108.57	N/A	N/A	84	102	268	107
2015-10-05	$9.14	$0.00	47.9%	8.5%	50.9%	38.6%	0.0%	6.0%	10.2%	2.9K	8.0K	-348	0.00	109.74	N/A	N/A	0	0	268	106
2015-10-06	$9.22	$0.00	46.9%	10.2%	50.6%	37.0%	0.0%	-3.1%	-7.1%	3.0K	14.9K	-323	1.21	107.67	N/A	N/A	84	102	268	107
2015-10-07	$9.06	$0.00	54.0%	10.7%	37.2%	49.5%	0.0%	-4.6%	-5.5%	2.5K	17.4K	-320	1.21	107.49	N/A	N/A	84	102	268	107
2015-10-08	$9.16	$0.00	53.9%	10.5%	37.3%	49.5%	0.0%	-3.6%	0.4%	2.9K	8.5K	-322	1.21	108.45	N/A	N/A	84	102	268	107
2015-10-09	$8.95	$0.00	64.3%	11.2%	37.7%	67.9%	0.0%	-6.5%	-1.0%	2.3K	16.2K	-315	1.21	106.79	N/A	N/A	84	102	268	107
2015-10-12	$8.79	$0.00	74.2%	9.5%	38.1%	85.7%	0.0%	4.5%	13.0%	-1.0K	47.0K	-240	1.07	109.99	N/A	N/A	95	102	268	107
2015-10-13	$8.79	$0.00	101.4%	9.6%	37.8%	100.0%	0.0%	2.1%	14.4%	-856	45.4K	-250	1.07	110.54	N/A	N/A	95	102	279	107
2015-10-14	$8.60	$0.00	38.2%	11.0%	36.8%	15.9%	0.0%	0.1%	-7.1%	-822	43.6K	-249	1.07	110.55	N/A	N/A	95	102	279	107
2015-10-15	$8.61	$0.00	37.2%	10.7%	35.6%	14.6%	0.0%	1.1%	-2.9%	-790	43.6K	-243	1.07	110.82	N/A	N/A	95	102	279	106
2015-10-16	$8.52	$0.00	37.5%	10.8%	35.6%	15.0%	0.0%	0.7%	-1.3%	-789	46.3K	-240	1.07	111.12	N/A	N/A	95	102	279	106
2015-10-19	$8.64	$0.00	38.9%	11.2%	35.9%	16.8%	0.0%	-1.2%	-8.3%	-864	46.1K	-234	1.22	109.68	N/A	N/A	82	100	87	105
2015-10-20	$8.56	$0.00	46.9%	13.4%	35.8%	27.5%	0.0%	-11.3%	-9.1%	-848	39.3K	-245	1.22	84.86	N/A	N/A	82	100	87	105
2015-10-21	$8.56	$0.00	39.9%	11.4%	35.8%	18.2%	0.0%	2.0%	-4.5%	-806	43.0K	-237	1.22	104.86	N/A	N/A	82	100	87	105
2015-10-22	$8.72	$0.00	41.2%	11.8%	36.6%	19.8%	0.0%	3.0%	-9.2%	-865	44.7K	-240	1.22	111.26	N/A	N/A	82	100	87	105
2015-10-23	$8.92	$0.00	36.2%	10.4%	36.9%	13.3%	0.0%	5.8%	-8.8%	-963	37.2K	-251	1.22	110.63	N/A	N/A	82	100	87	105
2015-10-26	$8.94	$0.00	37.0%	10.6%	36.5%	14.3%	0.0%	6.3%	0.1%	-934	40.4K	-250	1.22	111.49	N/A	N/A	82	100	87	105
2015-10-27	$8.72	$0.00	45.1%	12.9%	37.0%	25.2%	0.0%	2.9%	-11.7%	-894	40.9K	-241	1.22	111.46	N/A	N/A	82	100	87	105
2015-10-28	$8.95	$0.00	38.7%	11.1%	37.8%	16.6%	0.0%	7.1%	-11.2%	-989	39.7K	-235	1.41	111.88	N/A	N/A	71	100	87	105
2015-10-29	$8.96	$0.00	38.1%	10.9%	34.2%	15.8%	0.0%	10.4%	0.9%	-928	34.0K	-254	1.41	111.90	N/A	N/A	71	100	88	105
2015-10-30	$8.97	$0.00	39.1%	11.2%	31.8%	17.1%	0.0%	11.2%	-9.1%	-921	34.0K	-254	1.41	111.90	N/A	N/A	71	100	88	105