SNOW Options History — August 2016

In August 2016, SNOW traded between $14.13 and $16.13. ATM implied volatility averaged 40.3%, placing in the 11.7% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 12.2% (HV 20d: 28.2%). Max pain ranged from $12.50 to $17.50. Net GEX was positive for 22 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.23.

Notable Days

2016-08-01: Highest Volume — 188 contracts
2016-08-30: Largest IV drop — 24.7% change
2016-08-04: Highest IV Rank — 16.0%
2016-08-17: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.95	$14.13	$16.13	$14.31	$15.00
Max Pain	$14.78	$12.50	$17.50	$12.50	$17.50
ATM IV	40.3%	32.5%	44.5%	37.5%	40.3%
Expected Move	11.7%	9.3%	12.7%	10.8%	11.5%
HV 20d	28.2%	25.0%	36.7%	25.7%	36.7%
HV 60d	31.8%	30.2%	32.9%	32.3%	32.9%
IV Rank	11.7%	3.6%	16.0%	8.9%	11.7%
IV Percentile	36.2%	4.0%	56.0%	18.7%	34.9%
Term Structure	-2.0%	-12.4%	8.9%	3.5%	-0.0%
VWIV	41.0%	34.7%	43.7%	38.5%	41.4%
Skew 25d	7.3%	-5.1%	22.1%	-5.1%	3.2%
Skew 10d	11.5%	-2.0%	26.1%	2.4%	3.4%
Call IV 25d	34.7%	26.2%	44.2%	39.1%	38.4%
Put IV 25d	42.1%	34.0%	50.6%	34.0%	41.6%
Bid-Ask Spread %	76.27	47.17	104.62	54.24	101.85
Gamma HHI	0.66	0.29	0.87	0.72	0.34
Net GEX	6.2K	-71	18.4K	7.3K	123
Net DEX	-789.9K	-962.8K	-716.7K	-746.3K	-728.2K
Net VEX	-228	-335	-121	-322	-228
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.23	0.00	2.05	0.40	1.40
Total Volume	84.957	0	188	188	120
Total OI	670.565	572	724	702	630

Daily Data (23 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
2016-08-01	$14.31	$12.50	37.5%	10.8%	25.7%	8.9%	38.5%	-5.1%	3.5%	7.3K	-746.3K	-322	0.40	54.24	N/A	N/A	134	54	628	74
2016-08-02	$14.64	$12.50	40.6%	11.6%	25.7%	12.0%	43.5%	-0.6%	2.2%	7.8K	-788.3K	-315	1.46	53.63	N/A	N/A	37	54	628	74
2016-08-03	$14.39	$12.50	36.0%	10.3%	25.6%	7.3%	38.6%	-0.2%	4.4%	8.3K	-760.1K	-335	1.50	53.98	N/A	N/A	36	54	626	74
2016-08-04	$14.33	$15.00	44.5%	11.8%	25.5%	16.0%	41.2%	5.5%	-1.1%	6.8K	-755.1K	-321	1.50	60.69	N/A	N/A	36	54	628	74
2016-08-05	$14.13	$15.00	37.1%	12.2%	26.1%	8.4%	42.0%	9.5%	-5.2%	6.8K	-730.0K	-309	1.50	53.46	N/A	N/A	36	54	628	74
2016-08-08	$14.44	$15.00	34.2%	11.8%	27.0%	5.4%	41.7%	13.1%	-3.5%	9.2K	-759.5K	-290	1.42	47.75	N/A	N/A	38	54	630	74
2016-08-09	$14.18	$15.00	41.1%	11.7%	25.0%	12.6%	41.0%	6.0%	-3.3%	7.3K	-738.9K	-281	1.38	48.50	N/A	N/A	39	54	632	74
2016-08-10	$14.16	$15.00	40.5%	11.6%	25.0%	11.9%	41.2%	5.9%	-2.8%	8.1K	-720.9K	-240	1.38	49.71	N/A	N/A	39	54	636	74
2016-08-11	$14.22	$15.00	41.3%	11.8%	25.0%	12.7%	41.2%	7.3%	-5.5%	8.7K	-728.3K	-249	1.23	49.95	N/A	N/A	39	48	636	74
2016-08-12	$14.16	$15.00	41.5%	11.9%	25.1%	12.9%	41.7%	4.6%	-5.0%	8.0K	-716.7K	-234	1.23	53.58	N/A	N/A	39	48	636	78
2016-08-15	$14.89	$15.00	41.3%	11.9%	30.9%	12.8%	41.3%	2.3%	-1.3%	14.8K	-818.2K	-234	1.23	47.17	N/A	N/A	39	48	636	78
2016-08-16	$15.19	$15.00	43.2%	12.4%	31.2%	14.7%	43.7%	7.5%	-4.3%	15.0K	-883.6K	-239	1.23	74.39	N/A	N/A	39	48	646	78
2016-08-17	$14.97	$15.00	44.4%	12.7%	27.5%	16.0%	0.0%	0.4%	-12.4%	18.4K	-853.2K	-170	0.00	100.25	N/A	N/A	0	0	646	78
2016-08-18	$15.47	$15.00	40.9%	11.7%	29.8%	12.3%	0.0%	9.4%	-3.6%	12.7K	-958.8K	-163	0.00	99.53	N/A	N/A	6	0	646	78
2016-08-19	$15.35	$15.00	42.1%	12.1%	29.8%	13.5%	42.1%	9.0%	-3.8%	669	-962.8K	-157	1.14	99.52	N/A	N/A	42	48	645	78
2016-08-22	$15.47	$15.00	42.4%	12.1%	29.6%	13.9%	42.4%	9.8%	-3.3%	636	-777.6K	-156	1.00	100.65	N/A	N/A	32	32	520	52
2016-08-23	$15.59	$15.00	40.4%	11.6%	29.6%	11.8%	40.6%	12.2%	-2.1%	569	-785.8K	-155	0.97	101.42	N/A	N/A	32	31	520	52
2016-08-24	$15.44	$15.00	42.0%	12.0%	29.5%	13.5%	0.0%	12.0%	-4.4%	417	-774.8K	-156	1.00	101.82	N/A	N/A	1	1	520	56
2016-08-25	$15.55	$15.00	37.6%	10.8%	29.4%	9.0%	37.7%	12.3%	-0.5%	406	-784.8K	-121	0.85	95.65	N/A	N/A	33	28	521	57
2016-08-26	$15.77	$15.00	42.7%	12.3%	29.4%	14.2%	42.9%	12.5%	-4.7%	414	-794.2K	-147	2.05	100.84	N/A	N/A	38	78	521	57
2016-08-29	$16.13	$15.00	43.1%	12.4%	29.1%	14.6%	41.9%	22.1%	2.1%	-71	-812.1K	-190	1.63	101.02	N/A	N/A	48	78	521	107
2016-08-30	$15.96	$15.00	32.5%	9.3%	29.0%	3.6%	34.7%	10.2%	8.9%	118	-790.6K	-236	1.62	104.62	N/A	N/A	50	81	521	107
2016-08-31	$15.00	$17.50	40.3%	11.5%	36.7%	11.7%	41.4%	3.2%	-0.0%	123	-728.2K	-228	1.40	101.85	N/A	N/A	50	70	521	109