SNOW Options History — July 2016

In July 2016, SNOW traded between $13.39 and $15.05. ATM implied volatility averaged 40.7%, placing in the 12.2% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.6% (HV 20d: 34.1%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.38.

Notable Days

2016-07-01: Highest Volume — 558 contracts
2016-07-06: Largest IV drop — 26.9% change
2016-07-05: Highest IV Rank — 22.7%
2016-07-06: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.38	$13.39	$15.05	$13.60	$14.54
Max Pain	$12.25	$7.50	$12.50	$7.50	$12.50
ATM IV	40.7%	35.3%	51.0%	43.0%	38.9%
Expected Move	11.7%	10.1%	13.6%	12.3%	11.2%
HV 20d	34.1%	29.7%	37.9%	37.9%	29.7%
HV 60d	35.9%	34.4%	36.8%	36.2%	34.4%
IV Rank	12.2%	6.5%	22.7%	16.8%	10.3%
IV Percentile	35.8%	8.7%	73.8%	48.4%	29.4%
Term Structure	1.5%	-5.1%	9.8%	9.8%	2.5%
VWIV	39.7%	35.3%	45.5%	37.7%	38.9%
Skew 25d	2.3%	-5.6%	9.1%	2.7%	-1.4%
Skew 10d	6.2%	-5.4%	15.7%	6.2%	2.5%
Call IV 25d	37.5%	31.2%	45.0%	39.3%	37.3%
Put IV 25d	39.8%	30.2%	47.2%	42.1%	35.8%
Bid-Ask Spread %	49.20	31.87	65.86	31.87	50.87
Gamma HHI	0.68	0.35	0.91	0.91	0.77
Net GEX	5.6K	2.0K	8.8K	8.8K	7.4K
Net DEX	-1.2M	-1.7M	-708.5K	-1.6M	-785.5K
Net VEX	-349	-484	-205	-484	-338
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.10	1.02	0.10	0.41
Total Volume	268.9	81	558	558	187
Total OI	1,089.7	599	1,559	1,559	702

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
2016-07-01	$13.60	$7.50	43.0%	12.3%	37.9%	16.8%	37.7%	2.7%	9.8%	8.8K	-1.6M	-484	0.10	31.87	N/A	N/A	507	51	1,259	300
2016-07-05	$13.39	$12.50	51.0%	13.4%	36.2%	22.7%	42.3%	1.1%	-1.2%	8.3K	-1.5M	-483	0.11	53.67	N/A	N/A	450	51	1,213	300
2016-07-06	$13.73	$12.50	37.3%	13.6%	35.4%	8.6%	44.0%	4.3%	-5.1%	4.7K	-1.6M	-430	0.11	51.26	N/A	N/A	450	51	1,206	300
2016-07-07	$13.88	$12.50	40.0%	11.6%	35.1%	11.4%	39.1%	0.3%	-0.2%	5.5K	-1.6M	-387	0.11	37.38	N/A	N/A	450	51	1,206	300
2016-07-08	$13.93	$12.50	39.8%	11.5%	35.2%	11.2%	41.1%	2.6%	1.4%	5.3K	-1.6M	-386	0.11	34.70	N/A	N/A	458	51	1,202	300
2016-07-11	$14.04	$12.50	47.7%	12.9%	34.7%	19.3%	45.5%	4.5%	-4.5%	5.7K	-1.6M	-348	0.11	62.28	N/A	N/A	464	51	1,212	300
2016-07-12	$14.52	$12.50	43.0%	12.3%	35.5%	14.5%	39.7%	-3.0%	-1.5%	3.7K	-1.7M	-252	0.72	35.57	N/A	N/A	71	51	1,218	300
2016-07-13	$14.45	$12.50	42.1%	12.1%	35.8%	13.6%	39.8%	8.6%	-2.6%	4.3K	-1.7M	-289	0.65	50.06	N/A	N/A	79	51	1,216	300
2016-07-14	$14.40	$12.50	40.8%	11.7%	35.2%	12.2%	39.0%	6.8%	-1.6%	5.1K	-1.7M	-285	0.35	65.86	N/A	N/A	147	51	1,222	300
2016-07-15	$14.40	$12.50	42.9%	12.3%	35.2%	14.4%	41.2%	5.9%	-2.4%	2.1K	-1.6M	-327	0.33	55.92	N/A	N/A	146	48	1,142	300
2016-07-18	$14.47	$12.50	40.6%	11.6%	31.7%	12.0%	38.7%	7.2%	4.0%	2.0K	-716.4K	-252	0.84	53.88	N/A	N/A	44	37	534	67
2016-07-19	$14.30	$12.50	38.9%	11.2%	32.6%	10.3%	38.5%	-5.6%	4.7%	2.0K	-708.5K	-273	1.02	46.15	N/A	N/A	44	45	534	67
2016-07-20	$14.96	$12.50	38.5%	11.0%	34.6%	9.8%	38.4%	9.1%	5.7%	2.0K	-755.0K	-205	0.34	48.66	N/A	N/A	133	45	534	65
2016-07-21	$14.89	$12.50	38.6%	11.1%	34.8%	9.9%	38.7%	1.1%	3.7%	7.1K	-818.2K	-398	0.38	47.26	N/A	N/A	133	50	628	65
2016-07-22	$15.05	$12.50	35.3%	10.1%	34.8%	6.5%	35.3%	2.4%	5.3%	7.8K	-833.0K	-359	0.38	46.44	N/A	N/A	133	50	628	70
2016-07-25	$14.90	$12.50	41.5%	11.9%	35.5%	13.0%	41.7%	1.2%	-1.0%	6.8K	-818.7K	-378	0.41	63.81	N/A	N/A	133	54	628	70
2016-07-26	$14.88	$12.50	36.6%	10.5%	31.3%	8.0%	36.9%	1.4%	5.4%	7.8K	-814.7K	-376	0.41	48.26	N/A	N/A	133	54	628	74
2016-07-27	$14.72	$12.50	38.9%	11.1%	30.3%	10.2%	38.7%	-0.1%	3.5%	7.3K	-801.0K	-369	0.41	49.22	N/A	N/A	133	54	628	74
2016-07-28	$14.64	$12.50	37.8%	10.8%	30.7%	9.1%	38.0%	-2.2%	4.5%	7.5K	-784.7K	-359	0.41	50.79	N/A	N/A	133	54	628	74
2016-07-29	$14.54	$12.50	38.9%	11.2%	29.7%	10.3%	38.9%	-1.4%	2.5%	7.4K	-785.5K	-338	0.41	50.87	N/A	N/A	133	54	628	74