SNOW Options History — October 2016

In October 2016, SNOW traded between $16.18 and $17.12. ATM implied volatility averaged 43.4%, placing in the 15.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 2.0% (HV 20d: 41.5%). Max pain ranged from $7.50 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.38.

Notable Days

2016-10-21: Highest Volume — 660 contracts
2016-10-06: Largest IV spike — 28.2% change
2016-10-07: Highest IV Rank — 21.4%
2016-10-28: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.59	$16.18	$17.12	$16.74	$16.46
Max Pain	$13.95	$7.50	$17.50	$7.50	$15.00
ATM IV	43.4%	32.3%	49.7%	44.0%	47.7%
Expected Move	12.6%	9.3%	14.1%	12.6%	13.7%
HV 20d	41.5%	30.2%	75.0%	74.0%	33.8%
HV 60d	50.2%	49.2%	50.8%	49.2%	50.8%
IV Rank	15.0%	3.4%	21.4%	15.5%	19.4%
IV Percentile	54.3%	3.6%	74.6%	57.5%	69.8%
Term Structure	-2.9%	-5.6%	4.2%	-2.2%	-5.4%
VWIV	44.1%	32.3%	52.2%	47.0%	52.2%
Skew 25d	7.4%	-0.3%	16.1%	11.1%	7.3%
Skew 10d	14.3%	-7.8%	36.7%	15.4%	12.6%
Call IV 25d	42.4%	35.6%	49.1%	43.4%	47.3%
Put IV 25d	49.7%	45.4%	54.6%	54.4%	54.6%
Bid-Ask Spread %	83.11	38.51	95.00	93.89	94.96
Gamma HHI	0.45	0.32	0.54	0.44	0.46
Net GEX	3.8K	1.9K	6.9K	2.2K	4.5K
Net DEX	-855.1K	-1.3M	-431.8K	-872.6K	-441.6K
Net VEX	-478	-701	-206	-214	-656
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.10	1.43	1.43	0.10
Total Volume	457.667	124	660	124	585
Total OI	653.238	378	937	653	387

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
2016-10-03	$16.74	$7.50	44.0%	12.6%	74.0%	15.5%	47.0%	11.1%	-2.2%	2.2K	-872.6K	-214	1.43	93.89	N/A	N/A	51	73	557	96
2016-10-04	$16.88	$7.50	40.1%	11.5%	73.7%	11.5%	45.2%	8.0%	4.2%	2.2K	-882.0K	-235	1.43	92.08	N/A	N/A	51	73	557	96
2016-10-05	$16.34	$7.50	32.3%	9.3%	75.0%	3.4%	41.3%	8.7%	3.4%	2.0K	-845.9K	-206	1.28	94.49	N/A	N/A	57	73	557	96
2016-10-06	$16.26	$0.00	41.4%	11.9%	56.9%	12.8%	0.0%	5.0%	-1.7%	2.0K	-843.4K	-219	1.28	85.14	N/A	N/A	57	73	563	96
2016-10-07	$16.23	$0.00	49.7%	12.7%	44.9%	21.4%	43.0%	2.0%	-3.3%	1.9K	-840.9K	-215	0.22	56.69	N/A	N/A	332	73	563	96
2016-10-10	$16.85	$17.50	40.7%	12.2%	36.9%	12.1%	44.8%	5.5%	-3.1%	3.4K	-984.3K	-454	0.21	64.52	N/A	N/A	342	73	634	96
2016-10-11	$16.52	$15.00	34.3%	12.9%	36.2%	5.5%	44.2%	0.5%	-5.6%	3.5K	-968.4K	-461	0.21	38.51	N/A	N/A	342	73	644	96
2016-10-12	$16.85	$15.00	43.5%	12.5%	34.2%	15.0%	47.2%	4.1%	-2.6%	3.8K	-1.0M	-398	0.21	55.40	N/A	N/A	342	73	644	96
2016-10-13	$16.26	$15.00	43.5%	12.5%	34.3%	15.0%	46.0%	-0.3%	-2.5%	3.5K	-948.8K	-462	0.21	60.23	N/A	N/A	342	73	644	96
2016-10-14	$16.50	$15.00	43.6%	12.5%	34.7%	15.1%	44.7%	9.9%	-3.4%	3.2K	-968.9K	-395	0.21	80.11	N/A	N/A	342	73	644	96
2016-10-17	$16.38	$15.00	44.1%	12.7%	30.2%	15.7%	50.0%	7.6%	-2.1%	2.6K	-959.9K	-382	0.14	92.89	N/A	N/A	539	73	644	96
2016-10-18	$17.12	$15.00	44.1%	12.6%	34.1%	15.6%	32.3%	16.1%	-4.2%	6.8K	-1.3M	-666	0.14	94.47	N/A	N/A	539	73	841	96
2016-10-19	$16.85	$15.00	45.3%	13.0%	34.3%	16.9%	47.3%	11.5%	-4.8%	6.9K	-1.3M	-563	0.14	93.82	N/A	N/A	539	73	841	96
2016-10-20	$16.86	$15.00	44.3%	12.7%	33.8%	15.8%	33.6%	13.4%	-3.4%	6.6K	-1.3M	-606	0.12	93.42	N/A	N/A	586	73	841	96
2016-10-21	$16.72	$15.00	44.6%	12.8%	34.0%	16.2%	46.5%	9.3%	-4.0%	4.0K	-1.2M	-651	0.13	94.03	N/A	N/A	586	74	811	96
2016-10-24	$16.72	$15.00	43.7%	12.5%	33.4%	15.3%	48.4%	10.8%	-3.6%	4.0K	-440.5K	-701	0.11	82.29	N/A	N/A	519	55	316	62
2016-10-25	$16.77	$15.00	42.8%	12.3%	33.3%	14.3%	35.3%	12.3%	-2.2%	4.0K	-448.1K	-629	0.11	95.00	N/A	N/A	519	55	316	62
2016-10-26	$16.75	$15.00	44.7%	12.8%	33.1%	16.3%	35.9%	11.0%	-4.3%	4.1K	-452.4K	-633	0.11	94.99	N/A	N/A	520	55	319	62
2016-10-27	$16.19	$15.00	48.8%	14.0%	35.2%	20.5%	48.4%	0.5%	-4.8%	4.3K	-431.8K	-644	0.10	94.13	N/A	N/A	525	55	320	62
2016-10-28	$16.18	$15.00	49.0%	14.1%	34.9%	20.7%	48.9%	0.3%	-4.8%	4.6K	-432.7K	-655	0.10	94.28	N/A	N/A	525	55	325	62
2016-10-31	$16.46	$15.00	47.7%	13.7%	33.8%	19.4%	52.2%	7.3%	-5.4%	4.5K	-441.6K	-656	0.10	94.96	N/A	N/A	530	55	325	62