SNOW Options History — January 2016

In January 2016, SNOW traded between $7.03 and $8.69. ATM implied volatility averaged 61.6%, placing in the 38.6% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 1.5% (HV 20d: 63.1%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 0.74.

Notable Days

2016-01-12: Highest Volume — 10,155 contracts
2016-01-12: Largest IV spike — 87.7% change
2016-01-12: Highest IV Rank — 100.0%
2016-01-28: Largest Expected Move — 20.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.10	$7.03	$8.69	$7.65	$8.41
Max Pain	$11.03	$7.50	$12.50	$7.50	$12.50
ATM IV	61.6%	46.8%	126.0%	57.3%	63.8%
Expected Move	15.1%	9.7%	20.3%	12.6%	18.3%
HV 20d	63.1%	21.0%	82.5%	24.3%	82.5%
HV 60d	53.8%	40.4%	60.5%	40.6%	57.9%
IV Rank	38.6%	20.5%	100.0%	41.4%	37.6%
IV Percentile	89.1%	66.3%	100.0%	95.2%	95.6%
Term Structure	-5.5%	-31.6%	8.5%	1.4%	0.3%
VWIV	75.8%	34.8%	155.6%	44.5%	126.4%
Skew 25d	7.1%	-19.0%	35.6%	9.3%	21.8%
Skew 10d	14.7%	-20.1%	70.5%	15.1%	-13.7%
Call IV 25d	51.9%	35.8%	93.4%	38.5%	35.8%
Put IV 25d	58.9%	42.5%	96.5%	47.8%	57.5%
Bid-Ask Spread %	47.51	28.75	93.03	30.53	45.80
Gamma HHI	0.55	0.33	0.75	0.42	0.47
Net GEX	-9.1K	-23.4K	3.0K	885	-11.7K
Net DEX	4.6M	-65.2K	10.8M	15.3K	8.3M
Net VEX	-2.5K	-10.0K	-171	-171	-10.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.10	2.57	0.16	1.96
Total Volume	2,303.474	77	10,155	220	77
Total OI	9,780	392	23,668	392	23,668

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
2016-01-04	$7.65	$0.00	57.3%	12.6%	24.3%	41.4%	0.0%	9.3%	1.4%	885	15.3K	-171	0.16	30.53	N/A	N/A	189	31	331	61
2016-01-05	$7.61	$0.00	47.3%	12.8%	24.2%	28.0%	44.5%	9.4%	-1.0%	2.4K	240	-180	0.24	29.45	N/A	N/A	234	57	366	61
2016-01-06	$7.47	$7.50	50.5%	9.7%	21.7%	32.2%	34.8%	6.2%	8.5%	3.0K	-2.9K	-254	0.24	48.98	N/A	N/A	234	57	411	87
2016-01-07	$7.24	$7.50	60.7%	12.8%	23.2%	45.9%	44.8%	5.5%	1.6%	2.2K	2.4K	-253	0.24	67.95	N/A	N/A	234	57	411	87
2016-01-08	$7.10	$7.50	60.2%	13.1%	21.0%	45.2%	46.0%	4.4%	-1.5%	2.2K	7.4K	-232	0.24	50.97	N/A	N/A	234	57	411	87
2016-01-11	$7.03	$7.50	67.2%	11.0%	21.0%	54.5%	43.5%	0.9%	-2.7%	1.9K	15.2K	-209	0.24	38.81	N/A	N/A	234	57	411	87
2016-01-12	$8.69	$7.50	126.0%	13.4%	81.6%	100.0%	48.5%	9.6%	0.6%	1.7K	-65.2K	-446	2.42	57.18	N/A	N/A	2,971	7,184	411	92
2016-01-13	$8.62	$12.50	46.8%	13.4%	81.7%	20.5%	85.2%	1.2%	3.8%	-10.6K	6.2M	-2.1K	0.45	45.91	N/A	N/A	2,776	1,247	4,111	7,960
2016-01-14	$8.68	$12.50	48.2%	13.8%	81.6%	22.0%	84.4%	2.5%	-0.9%	-12.7K	6.3M	-1.6K	0.10	42.87	N/A	N/A	2,776	271	3,121	8,012
2016-01-15	$8.51	$12.50	48.8%	14.0%	81.9%	22.6%	87.6%	13.6%	-9.7%	-23.4K	6.3M	-3.9K	0.96	52.13	N/A	N/A	801	771	3,621	8,597
2016-01-19	$8.49	$12.50	50.3%	14.4%	81.4%	24.1%	58.4%	-6.0%	-10.2%	-21.0K	6.4M	-2.8K	2.57	42.56	N/A	N/A	265	682	3,555	8,414
2016-01-20	$8.50	$12.50	60.5%	17.3%	80.7%	34.3%	70.5%	0.6%	-21.8%	-19.8K	6.5M	-3.0K	0.60	28.75	N/A	N/A	295	176	3,585	8,463
2016-01-21	$8.20	$12.50	69.1%	19.8%	81.6%	43.0%	115.3%	35.6%	-11.9%	-22.1K	6.1M	-3.7K	0.98	47.30	N/A	N/A	779	765	3,640	8,531
2016-01-22	$8.45	$12.50	58.9%	16.9%	82.2%	32.7%	53.0%	35.6%	-15.7%	-6.9K	7.4M	-1.2K	0.11	93.03	N/A	N/A	579	64	4,274	9,305
2016-01-25	$8.35	$12.50	60.2%	17.3%	82.3%	34.0%	79.6%	-19.0%	3.0%	-22.4K	6.6M	-4.6K	0.12	46.42	N/A	N/A	621	73	4,295	9,315
2016-01-26	$8.33	$12.50	62.3%	17.9%	82.2%	36.1%	108.7%	19.3%	-10.5%	-19.5K	6.9M	-3.7K	0.82	44.82	N/A	N/A	5,238	4,278	4,372	9,305
2016-01-27	$8.35	$12.50	61.9%	17.8%	82.1%	35.7%	155.6%	-10.3%	-6.5%	-16.8K	9.1M	-8.8K	0.70	53.49	N/A	N/A	1,715	1,207	9,323	13,437
2016-01-28	$8.22	$12.50	70.7%	20.3%	82.3%	44.5%	77.1%	-5.8%	-31.6%	622	10.8M	-363	0.86	35.65	N/A	N/A	3,488	2,992	10,001	13,601
2016-01-29	$8.41	$12.50	63.8%	18.3%	82.5%	37.6%	126.4%	21.8%	0.3%	-11.7K	8.3M	-10.0K	1.96	45.80	N/A	N/A	26	51	10,541	13,127