SNOW Options History — February 2017

In February 2017, SNOW traded between $20.56 and $24.30. ATM implied volatility averaged 43.7%, placing in the 22.1% IV rank vs the trailing year. The 30-day expected move averaged 12.0%. IV traded below realized volatility by 4.5% (HV 20d: 48.2%). Max pain ranged from $17.50 to $22.50. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.44.

Notable Days

2017-02-27: Highest Volume — 467 contracts
2017-02-06: Largest IV spike — 22.0% change
2017-02-01: Highest IV Rank — 40.5%
2017-02-01: Largest Expected Move — 16.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.23	$20.56	$24.30	$20.56	$23.52
Max Pain	$21.71	$17.50	$22.50	$17.50	$22.50
ATM IV	43.7%	37.3%	55.9%	55.9%	48.1%
Expected Move	12.0%	10.7%	16.0%	16.0%	13.8%
HV 20d	48.2%	39.8%	60.0%	54.6%	42.6%
HV 60d	44.4%	41.5%	46.0%	41.5%	45.6%
IV Rank	22.1%	12.5%	40.5%	40.5%	28.8%
IV Percentile	48.7%	12.3%	87.3%	87.3%	77.0%
Term Structure	-2.5%	-11.4%	1.2%	-6.4%	-11.4%
VWIV	45.6%	41.2%	58.6%	58.6%	45.6%
Skew 25d	5.6%	-1.7%	10.4%	-1.7%	10.1%
Skew 10d	13.0%	3.3%	26.4%	23.0%	17.7%
Call IV 25d	40.9%	36.0%	67.2%	67.2%	42.9%
Put IV 25d	46.5%	41.6%	65.6%	65.6%	52.9%
Bid-Ask Spread %	83.62	71.65	96.96	96.96	87.46
Gamma HHI	0.37	0.27	0.63	0.44	0.63
Net GEX	1.5K	-763	7.5K	3.1K	7.5K
Net DEX	-962.0K	-1.1M	-771.0K	-812.4K	-863.5K
Net VEX	-519	-867	-365	-585	-867
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.38	0.52	0.38	0.39
Total Volume	410.632	369	467	370	462
Total OI	665.632	554	747	604	694

Daily Data (19 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
2017-02-01	$20.56	$17.50	55.9%	16.0%	54.6%	40.5%	58.6%	-1.7%	-6.4%	3.1K	-812.4K	-585	0.38	96.96	N/A	N/A	268	102	469	135
2017-02-02	$20.86	$20.00	48.9%	11.8%	54.6%	30.0%	42.3%	6.4%	-1.3%	2.4K	-850.1K	-482	0.40	79.08	N/A	N/A	270	107	469	135
2017-02-03	$22.14	$20.00	43.4%	10.9%	57.3%	21.7%	43.8%	3.0%	0.3%	-404	-939.8K	-488	0.42	71.65	N/A	N/A	262	111	470	171
2017-02-06	$23.53	$20.00	52.9%	11.5%	60.0%	36.0%	45.8%	4.3%	0.6%	-98	-1.0M	-365	0.42	75.53	N/A	N/A	269	112	470	175
2017-02-07	$23.26	$20.00	47.5%	11.6%	55.3%	27.9%	41.2%	2.4%	-1.1%	866	-1.1M	-388	0.44	81.38	N/A	N/A	269	119	493	176
2017-02-08	$23.89	$22.50	39.5%	11.3%	55.4%	15.8%	43.9%	5.6%	-1.9%	496	-1.1M	-377	0.44	78.85	N/A	N/A	269	119	493	183
2017-02-09	$23.62	$22.50	40.5%	11.6%	56.0%	17.3%	43.8%	5.4%	0.4%	861	-1.1M	-421	0.51	79.62	N/A	N/A	269	137	498	183
2017-02-10	$24.23	$22.50	37.3%	10.7%	55.0%	12.5%	45.1%	6.3%	1.2%	33	-1.1M	-503	0.52	83.70	N/A	N/A	264	137	508	221
2017-02-13	$23.82	$22.50	38.5%	11.0%	47.2%	14.3%	45.3%	5.0%	0.9%	230	-1.1M	-532	0.47	83.58	N/A	N/A	289	137	501	221
2017-02-14	$23.39	$22.50	41.8%	12.0%	41.8%	19.3%	43.7%	4.3%	-2.9%	1.2K	-1.1M	-484	0.47	81.06	N/A	N/A	289	137	526	221
2017-02-15	$23.96	$22.50	39.1%	11.2%	40.9%	15.2%	45.7%	3.8%	-1.7%	4.0K	-1.1M	-479	0.45	82.20	N/A	N/A	302	137	526	221
2017-02-16	$23.60	$22.50	44.0%	12.6%	39.8%	22.5%	47.7%	7.4%	-4.1%	640	-1.1M	-483	0.45	86.72	N/A	N/A	302	137	518	221
2017-02-17	$23.39	$22.50	41.0%	11.7%	40.2%	18.1%	43.9%	4.0%	-3.3%	-763	-1.0M	-442	0.45	85.50	N/A	N/A	305	137	518	221
2017-02-21	$24.30	$22.50	41.3%	11.8%	41.4%	18.5%	48.8%	5.6%	-3.7%	-311	-836.6K	-410	0.39	87.03	N/A	N/A	266	103	381	173
2017-02-22	$23.94	$22.50	41.2%	11.8%	41.7%	18.4%	47.5%	7.6%	-3.5%	1.2K	-821.9K	-505	0.49	86.94	N/A	N/A	262	128	395	171
2017-02-23	$22.94	$22.50	42.2%	12.1%	44.4%	19.9%	46.8%	10.4%	-2.6%	-329	-771.0K	-596	0.48	84.51	N/A	N/A	269	128	400	196
2017-02-24	$22.98	$22.50	40.6%	11.6%	43.6%	17.4%	42.6%	7.4%	-1.3%	179	-792.3K	-647	0.40	88.47	N/A	N/A	330	131	412	196
2017-02-27	$23.43	$22.50	45.6%	13.1%	43.9%	25.0%	45.1%	9.0%	-5.4%	6.8K	-845.3K	-815	0.38	88.52	N/A	N/A	338	129	483	203
2017-02-28	$23.52	$22.50	48.1%	13.8%	42.6%	28.8%	45.6%	10.1%	-11.4%	7.5K	-863.5K	-867	0.39	87.46	N/A	N/A	333	129	491	203