SNOW Options History — January 2017

In January 2017, SNOW traded between $16.98 and $21.50. ATM implied volatility averaged 53.9%, placing in the 35.0% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded above realized volatility by 9.8% (HV 20d: 44.1%). Max pain ranged from $10.00 to $22.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.20.

Notable Days

2017-01-13: Highest Volume — 980 contracts
2017-01-13: Largest IV spike — 107.1% change
2017-01-13: Highest IV Rank — 100.0%
2017-01-13: Largest Expected Move — 27.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.37	$16.98	$21.50	$17.91	$20.70
Max Pain	$17.25	$10.00	$22.50	$10.00	$17.50
ATM IV	53.9%	40.7%	95.6%	43.1%	67.0%
Expected Move	15.7%	12.4%	27.4%	12.4%	19.2%
HV 20d	44.1%	25.4%	55.3%	35.1%	54.3%
HV 60d	40.1%	34.7%	43.8%	35.7%	42.9%
IV Rank	35.0%	12.1%	100.0%	14.6%	57.1%
IV Percentile	74.6%	35.3%	100.0%	50.4%	95.2%
Term Structure	-10.5%	-48.0%	4.8%	4.8%	-16.9%
VWIV	51.4%	31.2%	83.4%	43.8%	66.5%
Skew 25d	5.2%	-0.3%	21.4%	6.4%	9.3%
Skew 10d	9.1%	-4.2%	33.5%	17.5%	23.3%
Call IV 25d	52.5%	41.1%	69.3%	44.2%	62.1%
Put IV 25d	57.6%	45.1%	90.7%	50.6%	71.4%
Bid-Ask Spread %	92.86	85.42	106.66	94.13	99.37
Gamma HHI	0.44	0.31	0.65	0.44	0.48
Net GEX	5.7K	3.1K	19.9K	3.7K	3.6K
Net DEX	-1.1M	-2.3M	-790.2K	-855.7K	-811.4K
Net VEX	-520	-655	-369	-509	-627
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.09	0.44	0.13	0.38
Total Volume	514	331	980	495	370
Total OI	704.8	539	1,251	580	599

Daily Data (20 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
2017-01-03	$17.91	$10.00	43.1%	12.4%	35.1%	14.6%	43.8%	6.4%	4.8%	3.7K	-855.7K	-509	0.13	94.13	N/A	N/A	437	58	515	65
2017-01-04	$18.00	$10.00	45.7%	13.1%	30.5%	17.2%	50.3%	4.0%	1.9%	3.8K	-861.0K	-464	0.13	95.00	N/A	N/A	444	58	515	65
2017-01-05	$17.86	$22.50	43.4%	14.0%	30.5%	14.8%	31.2%	5.1%	-6.7%	3.8K	-851.7K	-499	0.14	89.62	N/A	N/A	444	63	515	65
2017-01-06	$17.96	$22.50	42.4%	13.0%	25.4%	13.8%	31.4%	3.5%	-4.1%	3.6K	-858.9K	-427	0.14	90.78	N/A	N/A	444	63	515	70
2017-01-09	$17.01	$22.50	46.6%	13.4%	31.3%	18.2%	37.0%	2.0%	-3.2%	4.3K	-795.9K	-493	0.14	90.09	N/A	N/A	444	63	515	70
2017-01-10	$17.22	$22.50	40.7%	14.0%	31.3%	12.1%	34.9%	5.0%	-7.3%	3.9K	-803.8K	-488	0.14	91.98	N/A	N/A	444	63	515	70
2017-01-11	$17.21	$22.50	45.5%	13.0%	28.8%	17.0%	35.7%	5.6%	-4.3%	3.8K	-809.1K	-425	0.14	89.79	N/A	N/A	444	63	515	70
2017-01-12	$16.98	$22.50	46.1%	13.2%	28.7%	25.8%	36.5%	5.5%	-3.8%	4.2K	-790.2K	-475	0.14	92.93	N/A	N/A	444	63	515	70
2017-01-13	$18.74	$22.50	95.6%	27.4%	46.1%	100.0%	83.4%	21.4%	-48.0%	3.1K	-911.0K	-369	0.09	106.66	N/A	N/A	897	83	515	70
2017-01-17	$20.22	$15.00	56.5%	16.2%	52.3%	41.4%	58.2%	2.1%	-13.9%	19.9K	-2.1M	-655	0.10	93.06	N/A	N/A	881	92	1,144	82
2017-01-18	$20.96	$15.00	52.2%	15.0%	52.6%	34.9%	59.6%	2.9%	-11.2%	9.2K	-2.3M	-590	0.09	85.42	N/A	N/A	881	83	1,155	93
2017-01-19	$20.41	$15.00	50.5%	14.5%	53.8%	32.4%	50.7%	2.5%	-9.8%	11.1K	-2.2M	-562	0.26	87.51	N/A	N/A	357	93	1,155	94
2017-01-20	$20.52	$15.00	52.5%	15.0%	53.8%	35.3%	52.2%	1.6%	-9.8%	5.3K	-2.2M	-545	0.26	88.68	N/A	N/A	357	93	1,147	104
2017-01-23	$20.99	$15.00	54.8%	15.7%	54.1%	38.8%	54.5%	1.8%	-9.7%	5.3K	-849.9K	-603	0.24	91.71	N/A	N/A	266	65	462	77
2017-01-24	$21.50	$15.00	53.8%	15.4%	53.8%	37.3%	60.3%	7.2%	-10.3%	4.9K	-897.2K	-528	0.25	92.32	N/A	N/A	266	67	467	77
2017-01-25	$21.13	$15.00	55.7%	16.0%	54.4%	40.2%	58.8%	-0.3%	-12.7%	4.7K	-880.6K	-510	0.25	93.75	N/A	N/A	268	67	467	79
2017-01-26	$20.75	$15.00	58.2%	16.7%	55.1%	43.9%	59.2%	7.4%	-12.4%	5.1K	-858.3K	-516	0.25	93.96	N/A	N/A	268	67	469	79
2017-01-27	$20.91	$15.00	61.7%	17.7%	54.4%	49.2%	59.7%	5.5%	-15.3%	5.0K	-867.3K	-491	0.25	96.62	N/A	N/A	268	67	469	79
2017-01-30	$20.45	$15.00	65.7%	18.8%	55.3%	55.2%	65.0%	5.0%	-16.7%	6.3K	-814.2K	-626	0.44	93.85	N/A	N/A	268	117	469	79
2017-01-31	$20.70	$17.50	67.0%	19.2%	54.3%	57.1%	66.5%	9.3%	-16.9%	3.6K	-811.4K	-627	0.38	99.37	N/A	N/A	268	102	469	130