SNOW Options History — December 2016

In December 2016, SNOW traded between $16.83 and $19.16. ATM implied volatility averaged 40.5%, placing in the 11.9% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 1.4% (HV 20d: 39.1%). Max pain ranged from $10.00 to $17.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.16.

Notable Days

2016-12-14: Highest Volume — 529 contracts
2016-12-12: Largest IV spike — 52.2% change
2016-12-13: Highest IV Rank — 24.5%
2016-12-19: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.37	$16.83	$19.16	$16.83	$17.85
Max Pain	$10.71	$10.00	$17.50	$17.50	$10.00
ATM IV	40.5%	30.8%	52.8%	39.9%	43.6%
Expected Move	11.3%	8.8%	12.9%	11.4%	12.5%
HV 20d	39.1%	32.9%	42.0%	37.7%	36.3%
HV 60d	37.7%	35.6%	51.7%	51.7%	35.7%
IV Rank	11.9%	1.9%	24.5%	11.3%	15.1%
IV Percentile	33.7%	1.2%	79.8%	27.8%	54.4%
Term Structure	2.1%	-10.7%	16.7%	-1.6%	2.1%
VWIV	44.9%	37.8%	52.6%	44.6%	41.9%
Skew 25d	4.9%	-3.6%	17.3%	11.7%	-3.6%
Skew 10d	10.6%	-6.9%	29.0%	15.9%	-6.9%
Call IV 25d	37.6%	32.2%	43.8%	40.5%	43.8%
Put IV 25d	42.4%	36.0%	58.9%	52.2%	40.2%
Bid-Ask Spread %	90.11	80.60	103.84	96.17	97.47
Gamma HHI	0.45	0.32	0.57	0.57	0.43
Net GEX	3.8K	3.0K	5.4K	5.4K	3.5K
Net DEX	-893.1K	-953.7K	-770.2K	-770.2K	-861.8K
Net VEX	-491	-742	-378	-742	-423
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.16	0.13	0.18	0.18	0.13
Total Volume	507.476	494	529	505	495
Total OI	598.524	578	623	602	580

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
2016-12-01	$16.83	$17.50	39.9%	11.4%	37.7%	11.3%	44.6%	11.7%	-1.6%	5.4K	-770.2K	-742	0.18	96.17	N/A	N/A	427	78	517	85
2016-12-02	$17.31	$17.50	41.5%	11.9%	32.9%	12.9%	44.5%	17.3%	-4.0%	4.7K	-808.2K	-629	0.18	97.02	N/A	N/A	427	78	517	85
2016-12-05	$18.17	$10.00	42.1%	11.3%	36.0%	13.6%	45.4%	5.7%	1.7%	4.3K	-870.8K	-592	0.18	86.59	N/A	N/A	427	78	517	85
2016-12-06	$18.07	$10.00	40.2%	11.1%	35.8%	11.6%	46.4%	4.3%	2.1%	4.6K	-866.8K	-574	0.18	83.16	N/A	N/A	427	78	517	85
2016-12-07	$18.91	$10.00	31.5%	10.2%	38.0%	2.6%	40.5%	9.7%	5.3%	3.4K	-923.0K	-498	0.18	85.01	N/A	N/A	427	78	517	85
2016-12-08	$18.93	$10.00	35.1%	10.5%	37.8%	6.4%	45.9%	2.6%	2.3%	3.8K	-929.4K	-556	0.17	80.60	N/A	N/A	446	78	527	85
2016-12-09	$19.16	$10.00	34.5%	10.4%	37.8%	5.7%	39.4%	2.2%	4.1%	4.5K	-953.7K	-539	0.17	84.86	N/A	N/A	446	78	537	85
2016-12-12	$18.44	$10.00	52.5%	11.2%	41.3%	24.3%	49.7%	5.4%	1.2%	4.2K	-914.0K	-480	0.17	86.42	N/A	N/A	446	78	537	85
2016-12-13	$18.59	$10.00	52.8%	11.1%	40.4%	24.5%	52.0%	6.1%	2.8%	3.7K	-926.4K	-427	0.17	85.63	N/A	N/A	446	78	537	85
2016-12-14	$18.29	$10.00	39.0%	11.2%	39.8%	10.3%	39.4%	5.6%	3.1%	3.9K	-904.8K	-455	0.17	86.76	N/A	N/A	451	78	537	85
2016-12-15	$18.88	$10.00	34.9%	10.0%	40.9%	6.1%	49.9%	11.2%	4.5%	3.6K	-934.0K	-545	0.17	86.37	N/A	N/A	449	78	538	85
2016-12-16	$18.47	$10.00	42.5%	12.2%	42.0%	13.9%	52.2%	6.3%	-0.5%	3.5K	-907.4K	-529	0.17	88.97	N/A	N/A	449	78	535	85
2016-12-19	$18.70	$10.00	45.1%	12.9%	41.5%	16.6%	41.3%	5.5%	-10.7%	3.2K	-910.4K	-405	0.13	91.98	N/A	N/A	436	58	514	64
2016-12-20	$18.68	$10.00	40.1%	11.5%	41.6%	11.5%	52.6%	1.7%	2.6%	3.3K	-908.5K	-414	0.13	90.03	N/A	N/A	436	58	514	65
2016-12-21	$18.67	$10.00	40.5%	11.6%	41.6%	11.9%	46.0%	1.6%	2.0%	3.3K	-909.2K	-408	0.13	92.65	N/A	N/A	437	58	514	65
2016-12-22	$18.37	$10.00	39.3%	11.3%	41.4%	10.7%	38.2%	0.7%	4.2%	3.2K	-891.9K	-445	0.13	89.20	N/A	N/A	437	58	515	65
2016-12-23	$18.32	$10.00	43.7%	12.5%	40.0%	15.2%	47.4%	1.9%	0.3%	3.8K	-878.7K	-498	0.13	95.42	N/A	N/A	437	58	515	65
2016-12-27	$18.60	$10.00	40.6%	11.6%	39.2%	12.0%	41.4%	1.9%	2.1%	3.0K	-908.0K	-390	0.13	90.27	N/A	N/A	437	58	515	65
2016-12-28	$18.27	$10.00	30.8%	8.8%	40.0%	1.9%	37.8%	1.5%	16.7%	3.2K	-891.1K	-384	0.13	103.84	N/A	N/A	437	58	515	65
2016-12-29	$18.24	$10.00	39.9%	11.4%	39.2%	11.2%	46.2%	3.0%	3.4%	3.3K	-887.3K	-378	0.13	93.92	N/A	N/A	437	58	515	65
2016-12-30	$17.85	$10.00	43.6%	12.5%	36.3%	15.1%	41.9%	-3.6%	2.1%	3.5K	-861.8K	-423	0.13	97.47	N/A	N/A	437	58	515	65