SNOW Options History — March 2017

In March 2017, SNOW traded between $21.95 and $24.96. ATM implied volatility averaged 41.6%, placing in the 19.0% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 1.2% (HV 20d: 40.4%). Max pain ranged from $12.50 to $22.50. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.48.

Notable Days

2017-03-22: Highest Volume — 586 contracts
2017-03-15: Largest IV drop — 31.3% change
2017-03-13: Highest IV Rank — 45.7%
2017-03-02: Largest Expected Move — 12.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.42	$21.95	$24.96	$23.38	$24.96
Max Pain	$13.80	$12.50	$22.50	$22.50	$12.50
ATM IV	41.6%	32.7%	59.4%	43.8%	35.0%
Expected Move	10.9%	9.4%	12.7%	12.6%	10.0%
HV 20d	40.4%	29.8%	45.7%	42.8%	45.0%
HV 60d	45.1%	42.5%	47.5%	44.5%	47.0%
IV Rank	19.0%	5.7%	45.7%	22.3%	9.0%
IV Percentile	38.5%	4.4%	96.4%	61.1%	6.7%
Term Structure	1.3%	-6.7%	9.8%	-4.8%	6.7%
VWIV	39.6%	35.7%	44.1%	44.1%	37.3%
Skew 25d	4.5%	-6.1%	10.5%	10.5%	2.9%
Skew 10d	5.8%	-20.0%	21.4%	17.8%	5.0%
Call IV 25d	37.6%	34.1%	41.1%	40.9%	37.3%
Put IV 25d	42.1%	33.8%	51.4%	51.4%	40.2%
Bid-Ask Spread %	89.76	83.63	96.08	85.50	95.33
Gamma HHI	0.52	0.33	0.80	0.61	0.69
Net GEX	4.6K	-5.4K	14.4K	7.2K	14.4K
Net DEX	-833.8K	-989.9K	-708.6K	-855.2K	-989.9K
Net VEX	-985	-1.5K	-544	-853	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.38	0.57	0.38	0.55
Total Volume	509.565	465	586	470	511
Total OI	742.391	577	814	701	814

Daily Data (23 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
2017-03-01	$23.38	$22.50	43.8%	12.6%	42.8%	22.3%	44.1%	10.5%	-4.8%	7.2K	-855.2K	-853	0.38	85.50	N/A	N/A	341	129	494	207
2017-03-02	$23.39	$22.50	44.4%	12.7%	42.6%	23.2%	42.9%	9.2%	-6.7%	6.0K	-863.2K	-753	0.38	89.87	N/A	N/A	341	129	484	207
2017-03-03	$23.18	$22.50	41.9%	12.0%	42.9%	19.4%	40.0%	8.9%	-4.2%	5.4K	-820.7K	-777	0.38	89.37	N/A	N/A	340	129	484	207
2017-03-06	$22.96	$12.50	43.8%	10.6%	38.0%	22.2%	38.2%	3.7%	2.5%	5.5K	-819.2K	-707	0.39	83.63	N/A	N/A	340	131	482	207
2017-03-07	$23.01	$12.50	45.1%	10.8%	30.9%	24.2%	36.7%	5.3%	0.5%	2.8K	-791.7K	-698	0.39	83.73	N/A	N/A	334	131	482	209
2017-03-08	$22.90	$12.50	43.1%	10.8%	30.7%	21.3%	37.8%	1.3%	1.2%	2.9K	-796.5K	-651	0.53	88.84	N/A	N/A	334	178	484	209
2017-03-09	$22.41	$12.50	42.3%	10.9%	29.8%	20.0%	41.2%	3.4%	-0.1%	-3.1K	-733.3K	-741	0.53	85.06	N/A	N/A	334	178	484	259
2017-03-10	$23.49	$12.50	54.2%	11.1%	34.5%	37.9%	40.1%	3.0%	-1.9%	3.6K	-830.8K	-676	0.53	89.37	N/A	N/A	334	178	484	259
2017-03-13	$22.52	$12.50	59.4%	11.1%	36.1%	45.7%	40.9%	3.2%	-0.5%	-2.5K	-749.7K	-683	0.53	87.64	N/A	N/A	335	178	484	259
2017-03-14	$21.95	$12.50	57.5%	10.8%	36.7%	42.8%	41.2%	1.2%	1.4%	-5.4K	-708.6K	-671	0.52	83.75	N/A	N/A	345	178	485	259
2017-03-15	$22.74	$12.50	39.5%	11.3%	38.8%	15.8%	39.8%	3.4%	-1.5%	-3.6K	-778.2K	-624	0.52	86.42	N/A	N/A	343	178	495	259
2017-03-16	$22.79	$12.50	37.6%	10.8%	37.6%	13.0%	39.9%	6.1%	-1.8%	-3.6K	-774.6K	-663	0.52	88.58	N/A	N/A	343	178	498	259
2017-03-17	$23.09	$12.50	37.3%	10.7%	37.7%	12.6%	38.3%	5.2%	1.1%	59	-811.9K	-627	0.52	87.26	N/A	N/A	343	178	500	259
2017-03-20	$24.66	$12.50	35.2%	10.1%	44.4%	9.3%	38.1%	5.2%	3.1%	409	-889.4K	-544	0.43	92.27	N/A	N/A	341	145	411	166
2017-03-21	$23.73	$12.50	40.8%	11.7%	44.6%	17.7%	39.7%	7.3%	2.3%	9.9K	-977.4K	-1.2K	0.41	89.23	N/A	N/A	412	171	563	166
2017-03-22	$22.97	$12.50	39.9%	11.4%	45.7%	16.5%	38.3%	-6.1%	2.1%	5.8K	-845.6K	-1.5K	0.42	94.64	N/A	N/A	412	174	564	249
2017-03-23	$23.84	$12.50	36.0%	10.3%	45.1%	10.6%	35.7%	0.0%	5.0%	7.3K	-812.2K	-1.5K	0.51	92.43	N/A	N/A	341	174	517	255
2017-03-24	$23.94	$12.50	37.6%	10.8%	45.1%	12.9%	37.6%	1.7%	1.4%	9.4K	-849.4K	-1.5K	0.51	93.85	N/A	N/A	340	174	537	255
2017-03-27	$23.83	$12.50	38.2%	11.0%	44.7%	13.9%	43.5%	6.4%	2.3%	8.5K	-824.9K	-1.5K	0.51	93.57	N/A	N/A	340	174	537	255
2017-03-28	$24.07	$12.50	36.9%	10.6%	44.8%	11.9%	39.0%	7.3%	5.0%	9.7K	-850.9K	-1.5K	0.51	96.08	N/A	N/A	340	174	537	255
2017-03-29	$24.21	$12.50	35.2%	10.1%	44.8%	9.4%	37.8%	4.3%	6.6%	11.3K	-884.4K	-1.5K	0.54	92.96	N/A	N/A	336	182	537	255
2017-03-30	$24.57	$12.50	32.7%	9.4%	45.0%	5.7%	42.7%	10.3%	9.8%	12.8K	-920.5K	-1.4K	0.57	95.20	N/A	N/A	317	182	538	265
2017-03-31	$24.96	$12.50	35.0%	10.0%	45.0%	9.0%	37.3%	2.9%	6.7%	14.4K	-989.9K	-1.4K	0.55	95.33	N/A	N/A	329	182	549	265