SNOW Options History — September 2016

In September 2016, SNOW traded between $14.67 and $17.80. ATM implied volatility averaged 40.9%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded below realized volatility by 26.3% (HV 20d: 67.1%). Max pain ranged from $7.50 to $17.50. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 1.35.

Notable Days

2016-09-07: Highest Volume — 354 contracts
2016-09-13: Largest IV spike — 38.9% change
2016-09-13: Highest IV Rank — 26.3%
2016-09-30: Largest Expected Move — 12.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.39	$14.67	$17.80	$14.87	$16.25
Max Pain	$8.33	$7.50	$17.50	$17.50	$7.50
ATM IV	40.9%	36.4%	54.4%	42.2%	42.9%
Expected Move	11.4%	10.4%	12.3%	12.1%	12.3%
HV 20d	67.1%	35.5%	77.4%	36.9%	73.5%
HV 60d	46.1%	32.9%	51.2%	32.9%	48.9%
IV Rank	12.3%	7.7%	26.3%	13.7%	14.4%
IV Percentile	34.6%	10.3%	81.0%	46.4%	52.4%
Term Structure	0.1%	-3.8%	3.6%	-3.8%	2.4%
VWIV	40.8%	38.1%	43.5%	42.0%	42.7%
Skew 25d	6.5%	-5.2%	14.6%	2.8%	3.2%
Skew 10d	10.4%	-11.0%	23.5%	4.5%	5.6%
Call IV 25d	37.7%	30.5%	43.5%	40.2%	41.4%
Put IV 25d	44.2%	37.3%	48.9%	43.0%	44.6%
Bid-Ask Spread %	92.17	77.47	102.86	102.86	91.66
Gamma HHI	0.39	0.26	0.53	0.33	0.48
Net GEX	1.1K	-242	2.1K	148	1.9K
Net DEX	-879.0K	-1.1M	-689.3K	-720.3K	-839.4K
Net VEX	-251	-407	-188	-252	-211
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.35	0.58	1.62	1.35	1.30
Total Volume	147.714	120	354	122	129
Total OI	712.667	629	874	629	653

Daily Data (21 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
2016-09-01	$14.87	$17.50	42.2%	12.1%	36.9%	13.7%	42.0%	2.8%	-3.8%	148	-720.3K	-252	1.35	102.86	N/A	N/A	52	70	521	108
2016-09-02	$14.87	$15.00	40.4%	11.6%	36.4%	11.8%	40.9%	3.3%	-1.0%	429	-715.1K	-298	1.50	102.55	N/A	N/A	52	78	523	108
2016-09-06	$14.67	$7.50	50.6%	12.0%	36.1%	22.4%	39.8%	14.0%	-1.6%	433	-689.3K	-281	1.48	91.42	N/A	N/A	52	77	523	118
2016-09-07	$14.81	$7.50	40.2%	11.7%	35.5%	11.6%	38.8%	11.3%	-2.6%	434	-694.9K	-277	0.98	90.30	N/A	N/A	179	175	523	117
2016-09-08	$16.96	$7.50	48.0%	11.1%	59.1%	19.7%	42.7%	4.0%	-1.4%	1.2K	-1.0M	-359	0.58	77.47	N/A	N/A	143	83	664	210
2016-09-09	$15.41	$7.50	36.8%	11.7%	69.9%	8.1%	39.0%	-5.2%	-0.3%	560	-812.7K	-407	1.24	91.05	N/A	N/A	67	83	636	211
2016-09-12	$16.70	$7.50	39.2%	11.5%	74.8%	10.6%	43.5%	7.9%	-3.2%	165	-968.1K	-305	1.24	87.86	N/A	N/A	67	83	634	211
2016-09-13	$17.15	$7.50	54.4%	11.8%	73.5%	26.3%	43.4%	12.9%	-3.6%	-48	-1.0M	-266	1.34	95.64	N/A	N/A	64	86	634	211
2016-09-14	$17.80	$7.50	39.3%	11.3%	74.2%	10.7%	40.5%	7.1%	-0.1%	-242	-1.1M	-201	1.56	92.55	N/A	N/A	57	89	639	211
2016-09-15	$17.20	$7.50	41.1%	11.8%	75.3%	12.5%	38.1%	-0.8%	-3.2%	-126	-1.0M	-190	1.62	93.31	N/A	N/A	55	89	636	207
2016-09-16	$17.34	$7.50	38.8%	11.1%	74.7%	10.2%	40.0%	3.4%	2.4%	1.2K	-1.0M	-188	1.62	91.42	N/A	N/A	55	89	639	207
2016-09-19	$16.52	$7.50	39.7%	11.4%	77.0%	11.1%	41.9%	4.5%	-1.3%	1.6K	-853.8K	-205	1.55	89.83	N/A	N/A	47	73	545	95
2016-09-20	$16.50	$7.50	39.4%	11.3%	77.0%	10.8%	43.5%	6.5%	0.9%	1.5K	-850.5K	-223	1.55	89.10	N/A	N/A	47	73	545	96
2016-09-21	$16.74	$7.50	39.0%	11.2%	77.1%	10.4%	39.6%	8.5%	0.6%	1.5K	-862.9K	-239	1.55	90.56	N/A	N/A	47	73	545	96
2016-09-22	$17.01	$7.50	36.5%	10.5%	77.1%	7.8%	38.6%	12.0%	3.1%	1.5K	-885.1K	-200	1.35	92.62	N/A	N/A	54	73	545	96
2016-09-23	$16.98	$7.50	36.4%	10.4%	77.1%	7.7%	40.3%	14.6%	3.6%	2.1K	-890.2K	-222	1.35	93.31	N/A	N/A	54	73	555	96
2016-09-26	$16.68	$7.50	38.4%	11.0%	77.4%	9.7%	40.3%	6.1%	2.7%	2.1K	-866.7K	-246	1.35	90.80	N/A	N/A	54	73	555	96
2016-09-27	$16.76	$7.50	37.1%	10.6%	77.0%	8.5%	39.9%	9.3%	2.5%	2.0K	-871.6K	-243	1.30	97.91	N/A	N/A	56	73	555	96
2016-09-28	$16.58	$7.50	38.5%	11.1%	77.0%	9.9%	39.9%	5.6%	3.5%	2.1K	-861.6K	-234	1.30	92.73	N/A	N/A	56	73	557	96
2016-09-29	$16.45	$7.50	39.6%	11.4%	73.4%	11.0%	42.1%	5.4%	3.2%	2.1K	-852.3K	-228	1.30	90.54	N/A	N/A	56	73	557	96
2016-09-30	$16.25	$7.50	42.9%	12.3%	73.5%	14.4%	42.7%	3.2%	2.4%	1.9K	-839.4K	-211	1.30	91.66	N/A	N/A	56	73	557	96