SNOW Options History — November 2015

In November 2015, SNOW traded between $8.42 and $10.02. ATM implied volatility averaged 38.0%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 14.1% (HV 20d: 52.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 1.40.

Notable Days

2015-11-12: Highest Volume — 196 contracts
2015-11-10: Largest IV spike — 39.0% change
2015-11-10: Highest IV Rank — 27.6%
2015-11-13: Largest Expected Move — 13.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.08	$8.42	$10.02	$9.72	$9.20
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	38.0%	28.9%	47.0%	35.2%	38.1%
Expected Move	10.5%	7.7%	13.3%	10.1%	10.9%
HV 20d	52.1%	37.6%	61.7%	37.6%	61.7%
HV 60d	43.7%	38.3%	47.6%	38.3%	47.6%
IV Rank	15.7%	3.5%	27.6%	11.9%	15.8%
IV Percentile	32.4%	1.2%	63.5%	18.3%	36.1%
Term Structure	1.6%	-10.3%	14.3%	0.7%	-1.6%
VWIV	36.9%	28.3%	50.5%	31.9%	43.7%
Skew 25d	4.5%	-10.3%	20.6%	9.1%	15.0%
Skew 10d	5.0%	-13.6%	20.2%	8.3%	6.0%
Call IV 25d	40.0%	25.6%	52.0%	44.0%	40.4%
Put IV 25d	44.4%	36.4%	69.3%	53.1%	55.4%
Bid-Ask Spread %	108.72	56.13	117.70	114.86	111.82
Gamma HHI	0.56	0.38	0.71	0.70	0.63
Net GEX	-549	-1.5K	-48	-1.5K	-654
Net DEX	20.9K	2.4K	36.8K	21.7K	24.4K
Net VEX	-187	-284	-124	-259	-173
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.40	1.13	2.50	1.23	2.50
Total Volume	127.25	0	196	181	14
Total OI	180.55	168	203	193	183

Daily Data (20 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
2015-11-02	$9.72	$0.00	35.2%	10.1%	37.6%	11.9%	0.0%	9.1%	0.7%	-1.5K	21.7K	-259	1.23	114.86	N/A	N/A	81	100	88	105
2015-11-03	$9.97	$0.00	37.7%	10.8%	38.4%	15.2%	0.0%	-6.5%	-0.5%	-1.5K	19.9K	-284	1.23	109.30	N/A	N/A	81	100	98	105
2015-11-04	$9.37	$0.00	44.2%	12.7%	44.5%	23.9%	0.0%	6.7%	-9.9%	-461	8.3K	-213	1.23	109.05	N/A	N/A	81	100	98	70
2015-11-05	$9.70	$0.00	37.8%	9.5%	45.9%	15.3%	0.0%	4.7%	6.7%	-492	2.4K	-221	1.23	105.00	N/A	N/A	81	100	98	70
2015-11-06	$10.02	$0.00	39.7%	10.0%	46.0%	17.8%	0.0%	5.7%	-2.1%	-846	3.3K	-213	0.00	109.32	N/A	N/A	0	0	98	70
2015-11-09	$9.51	$0.00	33.8%	7.7%	49.7%	10.0%	0.0%	2.4%	2.1%	-840	12.3K	-195	0.00	107.58	N/A	N/A	0	0	98	70
2015-11-10	$9.22	$0.00	47.0%	10.3%	51.3%	27.6%	31.9%	20.1%	0.5%	-495	9.3K	-200	1.28	106.36	N/A	N/A	81	104	98	70
2015-11-11	$9.22	$10.00	28.9%	8.3%	50.5%	3.5%	28.3%	9.4%	14.3%	-493	14.9K	-202	1.28	113.30	N/A	N/A	81	104	98	74
2015-11-12	$8.70	$10.00	35.7%	10.2%	55.0%	12.5%	33.6%	2.9%	0.4%	-119	20.9K	-194	1.13	112.37	N/A	N/A	92	104	109	74
2015-11-13	$8.50	$10.00	46.4%	13.3%	55.5%	26.8%	50.5%	5.4%	4.6%	-48	19.6K	-192	1.33	117.70	N/A	N/A	78	104	109	74
2015-11-16	$8.42	$10.00	37.7%	10.8%	55.4%	15.2%	0.0%	-1.0%	2.9%	-195	32.3K	-148	0.00	113.03	N/A	N/A	0	0	114	74
2015-11-17	$8.49	$10.00	37.1%	10.6%	55.4%	14.4%	36.3%	-2.1%	5.6%	-315	36.8K	-124	1.33	112.99	N/A	N/A	78	104	114	74
2015-11-18	$8.63	$10.00	38.7%	11.1%	55.7%	16.5%	36.9%	1.3%	3.6%	-418	33.2K	-141	1.33	112.69	N/A	N/A	78	104	114	74
2015-11-19	$8.55	$10.00	39.1%	11.2%	55.4%	17.1%	36.9%	-8.7%	2.3%	-176	28.3K	-159	1.33	112.57	N/A	N/A	78	104	114	74
2015-11-20	$8.49	$10.00	37.5%	10.7%	54.7%	14.9%	41.2%	-1.0%	7.5%	-152	28.9K	-158	1.33	112.59	N/A	N/A	78	104	114	74
2015-11-23	$8.58	$10.00	39.7%	11.4%	54.9%	17.9%	0.0%	-10.3%	-6.5%	-229	30.4K	-145	0.00	111.79	N/A	N/A	0	0	103	74
2015-11-24	$8.60	$10.00	42.0%	12.0%	54.2%	20.9%	0.0%	0.8%	-10.3%	-230	30.0K	-147	0.00	112.65	N/A	N/A	0	0	103	74
2015-11-25	$9.29	$10.00	31.6%	9.1%	60.2%	7.1%	29.9%	14.8%	-0.7%	-942	21.0K	-176	1.52	113.33	N/A	N/A	67	102	103	74
2015-11-27	$9.48	$10.00	32.8%	9.4%	60.6%	8.6%	43.7%	20.6%	13.5%	-920	20.5K	-186	1.70	56.13	N/A	N/A	60	102	107	76
2015-11-30	$9.20	$10.00	38.1%	10.9%	61.7%	15.8%	0.0%	15.0%	-1.6%	-654	24.4K	-173	2.50	111.82	N/A	N/A	4	10	107	76