SNOW Options History — December 2015

In December 2015, SNOW traded between $7.84 and $9.25. ATM implied volatility averaged 40.1%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 1.4% (HV 20d: 38.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.21.

Notable Days

2015-12-18: Highest Volume — 228 contracts
2015-12-18: Largest IV spike — 37.1% change
2015-12-08: Highest IV Rank — 52.5%
2015-12-30: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.47	$7.84	$9.25	$9.25	$7.84
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	40.1%	31.5%	65.7%	38.1%	39.7%
Expected Move	10.6%	8.6%	12.5%	10.9%	11.4%
HV 20d	38.7%	23.5%	54.3%	54.3%	23.9%
HV 60d	43.5%	40.3%	47.5%	47.5%	40.4%
IV Rank	18.4%	7.0%	52.5%	15.7%	17.9%
IV Percentile	40.5%	4.0%	98.0%	36.1%	50.0%
Term Structure	-3.0%	-15.1%	8.8%	-1.7%	-11.5%
VWIV	42.9%	30.3%	56.1%	38.9%	51.7%
Skew 25d	-9.0%	-28.3%	13.4%	13.4%	-16.9%
Skew 10d	14.1%	-6.5%	66.4%	2.7%	10.9%
Call IV 25d	49.7%	33.5%	71.4%	40.2%	54.8%
Put IV 25d	40.7%	31.1%	54.7%	53.6%	37.9%
Bid-Ask Spread %	82.78	32.30	113.99	113.99	32.30
Gamma HHI	0.51	0.36	0.74	0.69	0.45
Net GEX	9	-963	940	-935	918
Net DEX	39.9K	23.9K	52.0K	23.9K	44.7K
Net VEX	-145	-195	-64	-195	-175
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.21	0.16	0.27	0.20	0.20
Total Volume	110.5	0	228	0	186
Total OI	269.273	197	432	197	432

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
2015-12-01	$9.25	$10.00	38.1%	10.9%	54.3%	15.7%	0.0%	13.4%	-1.7%	-935	23.9K	-195	0.00	113.99	N/A	N/A	0	0	111	86
2015-12-02	$9.13	$10.00	39.6%	11.4%	53.3%	17.7%	38.9%	13.1%	-8.8%	-903	38.7K	-157	0.20	113.06	N/A	N/A	59	12	111	86
2015-12-03	$9.16	$10.00	39.4%	8.6%	48.8%	17.5%	30.3%	3.7%	7.5%	-963	35.3K	-165	0.20	106.80	N/A	N/A	59	12	111	86
2015-12-04	$9.04	$10.00	45.0%	10.4%	47.1%	24.9%	36.1%	-2.0%	1.3%	-771	28.9K	-178	0.20	105.64	N/A	N/A	59	12	111	86
2015-12-07	$8.69	$10.00	56.0%	9.4%	46.7%	39.6%	0.0%	-17.1%	-6.2%	-289	36.0K	-152	0.00	59.53	N/A	N/A	0	0	111	86
2015-12-08	$8.67	$10.00	65.7%	10.1%	43.6%	52.5%	41.4%	-12.7%	2.4%	-298	35.8K	-153	0.20	58.85	N/A	N/A	59	12	111	86
2015-12-09	$8.83	$10.00	41.5%	11.9%	43.2%	20.3%	41.6%	-7.4%	-5.3%	-523	34.7K	-152	0.20	107.18	N/A	N/A	59	12	111	86
2015-12-10	$8.74	$10.00	36.5%	10.5%	43.2%	13.6%	42.2%	-11.8%	-2.1%	-328	36.8K	-143	0.20	106.87	N/A	N/A	59	12	111	86
2015-12-11	$8.56	$10.00	35.4%	10.2%	38.7%	12.2%	45.9%	-12.7%	-6.7%	-242	35.3K	-147	0.20	106.42	N/A	N/A	59	12	111	86
2015-12-14	$8.54	$10.00	37.4%	10.7%	37.8%	14.8%	48.0%	-13.3%	-4.7%	-218	35.7K	-139	0.20	107.14	N/A	N/A	59	12	111	86
2015-12-15	$8.49	$10.00	37.2%	10.7%	37.7%	14.5%	49.9%	-14.1%	-5.1%	-187	35.9K	-136	0.20	106.87	N/A	N/A	59	12	111	86
2015-12-16	$8.40	$10.00	36.0%	10.3%	37.8%	13.0%	52.2%	-15.5%	-2.0%	-189	35.1K	-136	0.24	107.31	N/A	N/A	59	14	111	86
2015-12-17	$8.20	$10.00	31.5%	9.0%	38.1%	7.0%	56.1%	-28.3%	7.9%	-144	35.2K	-136	0.20	93.84	N/A	N/A	69	14	111	86
2015-12-18	$7.98	$10.00	43.2%	12.4%	39.0%	22.6%	44.9%	-14.1%	-0.1%	517	52.0K	-64	0.17	89.80	N/A	N/A	195	33	121	86
2015-12-21	$8.14	$10.00	41.3%	11.8%	39.9%	20.1%	40.0%	-3.8%	-8.0%	552	50.1K	-118	0.16	102.48	N/A	N/A	195	31	241	101
2015-12-22	$8.15	$10.00	37.1%	10.7%	39.6%	14.5%	36.3%	-6.8%	-5.4%	637	48.1K	-138	0.27	105.64	N/A	N/A	115	31	241	101
2015-12-23	$8.08	$10.00	33.7%	9.6%	39.6%	9.8%	36.1%	-7.8%	-6.3%	602	49.4K	-123	0.27	38.66	N/A	N/A	115	31	291	101
2015-12-24	$8.19	$10.00	32.6%	9.3%	26.9%	8.4%	31.1%	-1.4%	8.8%	526	50.0K	-120	0.27	34.93	N/A	N/A	115	31	291	101
2015-12-28	$8.10	$10.00	35.6%	10.2%	25.1%	12.5%	39.7%	-10.1%	3.9%	570	49.3K	-115	0.20	35.65	N/A	N/A	155	31	291	101
2015-12-29	$8.11	$10.00	36.5%	10.5%	23.8%	13.6%	40.3%	-9.7%	-9.3%	940	44.2K	-173	0.20	38.81	N/A	N/A	155	31	331	101
2015-12-30	$8.00	$10.00	43.5%	12.5%	23.5%	22.9%	55.4%	-21.8%	-15.1%	917	43.2K	-185	0.20	49.37	N/A	N/A	155	31	331	101
2015-12-31	$7.84	$10.00	39.7%	11.4%	23.9%	17.9%	51.7%	-16.9%	-11.5%	918	44.7K	-175	0.20	32.30	N/A	N/A	155	31	331	101