SNOW Options History — November 2016

In November 2016, SNOW traded between $14.89 and $17.93. ATM implied volatility averaged 42.7%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded above realized volatility by 6.9% (HV 20d: 35.8%). Max pain ranged from $15.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.26.

Notable Days

2016-11-07: Highest Volume — 589 contracts
2016-11-15: Largest IV drop — 10.0% change
2016-11-01: Highest IV Rank — 30.3%
2016-11-01: Largest Expected Move — 16.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.52	$14.89	$17.93	$16.19	$17.60
Max Pain	$15.24	$15.00	$17.50	$15.00	$17.50
ATM IV	42.7%	35.5%	58.3%	58.3%	40.0%
Expected Move	12.0%	10.2%	16.7%	16.7%	11.5%
HV 20d	35.8%	34.0%	38.4%	34.0%	36.0%
HV 60d	51.5%	50.5%	52.5%	50.8%	50.7%
IV Rank	14.2%	6.8%	30.3%	30.3%	11.3%
IV Percentile	41.2%	7.9%	86.1%	86.1%	28.6%
Term Structure	-1.6%	-11.9%	3.6%	-11.9%	-0.6%
VWIV	44.3%	36.4%	57.4%	57.4%	42.4%
Skew 25d	9.4%	-1.1%	19.0%	13.0%	19.0%
Skew 10d	16.9%	1.2%	32.5%	32.5%	31.8%
Call IV 25d	38.8%	31.0%	53.2%	48.0%	36.2%
Put IV 25d	48.2%	36.0%	61.6%	61.0%	55.2%
Bid-Ask Spread %	86.01	46.26	101.60	82.27	96.83
Gamma HHI	0.50	0.43	0.69	0.44	0.53
Net GEX	5.1K	3.2K	6.7K	5.2K	5.0K
Net DEX	-713.1K	-854.3K	-426.3K	-426.3K	-824.3K
Net VEX	-1.0K	-1.5K	-654	-733	-685
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.26	0.17	0.31	0.26	0.18
Total Volume	555.429	501	589	575	505
Total OI	637.714	397	684	397	602

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
2016-11-01	$16.19	$15.00	58.3%	16.7%	34.0%	30.3%	57.4%	13.0%	-11.9%	5.2K	-426.3K	-733	0.26	82.27	N/A	N/A	456	119	335	62
2016-11-02	$15.65	$15.00	53.3%	15.3%	34.2%	25.1%	53.3%	8.4%	-7.4%	4.8K	-622.8K	-1.4K	0.26	79.53	N/A	N/A	456	119	535	126
2016-11-03	$14.89	$17.50	50.4%	12.8%	38.2%	22.1%	45.1%	3.4%	-2.3%	5.0K	-553.4K	-1.4K	0.27	95.66	N/A	N/A	456	123	534	126
2016-11-04	$15.00	$15.00	45.8%	12.2%	38.4%	17.4%	41.2%	8.9%	-2.6%	4.4K	-545.1K	-1.5K	0.27	91.22	N/A	N/A	456	123	534	130
2016-11-07	$15.41	$15.00	47.7%	11.9%	37.0%	19.3%	46.2%	3.6%	-0.7%	3.2K	-572.3K	-1.5K	0.31	80.38	N/A	N/A	451	138	534	130
2016-11-08	$15.70	$15.00	46.2%	12.2%	37.4%	17.8%	51.9%	8.8%	-2.0%	4.2K	-646.8K	-1.3K	0.31	91.94	N/A	N/A	451	138	539	145
2016-11-09	$16.06	$15.00	42.2%	12.1%	37.7%	13.7%	50.6%	8.4%	-5.9%	5.0K	-693.7K	-1.1K	0.31	91.47	N/A	N/A	446	138	539	145
2016-11-10	$16.14	$15.00	44.2%	12.7%	35.6%	15.8%	40.4%	1.5%	-1.6%	4.9K	-707.5K	-1.2K	0.31	92.90	N/A	N/A	446	138	539	145
2016-11-11	$16.27	$15.00	41.3%	11.9%	35.3%	12.8%	41.0%	3.8%	-1.7%	5.3K	-723.3K	-1.1K	0.31	93.79	N/A	N/A	446	138	539	145
2016-11-14	$16.00	$15.00	44.5%	12.8%	35.7%	16.0%	42.7%	-1.1%	1.8%	6.7K	-710.6K	-1.1K	0.31	92.33	N/A	N/A	446	138	539	145
2016-11-15	$16.57	$15.00	40.1%	11.5%	34.3%	11.4%	43.4%	10.0%	-0.2%	4.8K	-718.5K	-1.2K	0.31	93.32	N/A	N/A	445	138	539	145
2016-11-16	$16.80	$15.00	37.1%	10.6%	34.3%	8.4%	41.4%	12.7%	-0.1%	5.9K	-775.7K	-951	0.31	52.80	N/A	N/A	445	138	539	145
2016-11-17	$16.89	$15.00	38.5%	11.0%	34.3%	9.8%	41.5%	13.0%	0.0%	5.5K	-771.9K	-1.0K	0.31	63.49	N/A	N/A	445	138	539	145
2016-11-18	$17.30	$15.00	35.5%	10.2%	35.2%	6.8%	40.5%	13.6%	3.6%	6.4K	-818.4K	-918	0.31	96.39	N/A	N/A	440	138	539	145
2016-11-21	$17.36	$15.00	37.0%	10.6%	35.2%	8.3%	41.3%	13.7%	-0.5%	5.8K	-782.8K	-928	0.17	46.26	N/A	N/A	427	74	517	81
2016-11-22	$17.51	$15.00	39.8%	11.4%	35.3%	11.1%	43.1%	17.4%	-0.7%	4.7K	-824.6K	-657	0.17	73.41	N/A	N/A	427	74	517	81
2016-11-23	$17.93	$15.00	37.1%	10.6%	36.1%	8.3%	36.4%	5.8%	1.0%	4.3K	-854.3K	-654	0.17	101.60	N/A	N/A	427	74	517	81
2016-11-25	$17.45	$15.00	37.9%	10.9%	35.2%	9.3%	39.0%	1.6%	0.3%	5.2K	-820.2K	-694	0.17	98.64	N/A	N/A	427	74	517	81
2016-11-28	$17.08	$15.00	40.3%	11.6%	36.3%	11.7%	47.6%	15.1%	-1.2%	5.4K	-786.8K	-751	0.17	95.89	N/A	N/A	427	74	517	81
2016-11-29	$17.17	$15.00	40.0%	11.5%	35.9%	11.4%	44.5%	16.3%	-1.2%	5.5K	-796.2K	-697	0.18	96.21	N/A	N/A	427	78	517	81
2016-11-30	$17.60	$17.50	40.0%	11.5%	36.0%	11.3%	42.4%	19.0%	-0.6%	5.0K	-824.3K	-685	0.18	96.83	N/A	N/A	427	78	517	85