SNOW Options History — April 2017

In April 2017, SNOW traded between $23.56 and $25.43. ATM implied volatility averaged 30.8%, placing in the 16.8% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded below realized volatility by 6.8% (HV 20d: 37.6%). Max pain ranged from $12.50 to $22.50. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 1.46.

Notable Days

2017-04-11: Highest Volume — 1,071 contracts
2017-04-28: Largest IV spike — 245.9% change
2017-04-28: Highest IV Rank — 50.9%
2017-04-28: Largest Expected Move — 15.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.01	$23.56	$25.43	$25.01	$23.58
Max Pain	$20.92	$12.50	$22.50	$12.50	$22.50
ATM IV	30.8%	10.4%	53.7%	41.7%	53.7%
Expected Move	9.6%	3.0%	15.4%	12.0%	15.4%
HV 20d	37.6%	27.1%	46.2%	44.7%	27.1%
HV 60d	42.0%	38.8%	47.8%	46.9%	38.8%
IV Rank	16.8%	0.0%	50.9%	19.2%	50.9%
IV Percentile	28.6%	0.0%	93.3%	49.2%	93.3%
Term Structure	-17.9%	-83.5%	28.4%	0.9%	-83.5%
VWIV	37.5%	9.5%	99.3%	43.8%	99.3%
Skew 25d	-5.8%	-24.7%	3.1%	1.3%	-12.8%
Skew 10d	1.6%	-14.8%	11.9%	5.3%	2.6%
Call IV 25d	24.5%	9.7%	45.5%	41.8%	23.6%
Put IV 25d	18.6%	7.8%	45.4%	43.2%	10.8%
Bid-Ask Spread %	55.40	10.02	98.68	98.68	43.47
Gamma HHI	0.56	0.50	0.75	0.67	0.50
Net GEX	4.7K	-11.9K	15.5K	13.0K	249
Net DEX	-510.7K	-1.0M	129.3K	-994.9K	129.3K
Net VEX	-3.3K	-5.2K	-881	-1.4K	-4.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.46	0.53	2.43	0.55	2.31
Total Volume	627.158	436	1,071	511	443
Total OI	1,271.526	813	1,774	813	1,170

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
2017-04-03	$25.01	$12.50	41.7%	12.0%	44.7%	19.2%	43.8%	1.3%	0.9%	13.0K	-994.9K	-1.4K	0.55	98.68	N/A	N/A	329	182	548	265
2017-04-04	$25.30	$12.50	40.7%	11.7%	44.8%	17.6%	40.5%	-0.2%	1.6%	15.5K	-1.0M	-1.4K	0.53	97.08	N/A	N/A	328	173	548	265
2017-04-05	$24.69	$12.50	36.8%	10.6%	45.9%	11.8%	40.4%	0.8%	5.4%	15.3K	-949.8K	-1.4K	0.55	93.22	N/A	N/A	329	181	550	272
2017-04-06	$25.43	$22.50	38.4%	12.1%	45.7%	14.1%	44.8%	3.1%	-3.0%	15.0K	-1.0M	-1.4K	0.55	79.39	N/A	N/A	328	181	550	287
2017-04-07	$25.04	$22.50	37.6%	12.0%	43.7%	13.0%	43.5%	2.3%	-4.5%	15.3K	-1.0M	-1.4K	0.55	80.59	N/A	N/A	328	181	549	287
2017-04-10	$23.62	$22.50	17.7%	12.1%	46.2%	0.0%	19.1%	-24.7%	-58.3%	11.6K	-686.6K	-881	0.86	10.02	N/A	N/A	469	404	549	287
2017-04-11	$23.56	$22.50	18.2%	10.7%	45.1%	0.6%	11.9%	-12.0%	-23.9%	-6.1K	-694.3K	-2.1K	0.74	62.50	N/A	N/A	617	454	772	489
2017-04-12	$23.60	$22.50	18.7%	5.4%	43.5%	1.3%	9.5%	-8.4%	-22.0%	208	-627.6K	-4.4K	0.74	58.36	N/A	N/A	617	454	1,033	739
2017-04-13	$23.68	$22.50	41.4%	11.9%	43.5%	30.5%	12.9%	-9.0%	-29.8%	7.1K	-681.3K	-5.2K	1.33	64.46	N/A	N/A	341	454	1,033	739
2017-04-17	$23.68	$22.50	43.8%	12.5%	43.3%	33.5%	13.6%	-9.6%	-33.1%	6.6K	-694.5K	-5.0K	1.33	65.50	N/A	N/A	341	454	1,035	739
2017-04-18	$23.65	$22.50	12.4%	3.6%	36.0%	0.0%	17.8%	-1.8%	28.4%	3.7K	-470.3K	-4.6K	2.03	32.78	N/A	N/A	211	429	965	739
2017-04-19	$23.56	$22.50	42.0%	12.1%	33.3%	35.6%	77.3%	-11.5%	-33.6%	-2.4K	-421.8K	-4.4K	2.03	44.39	N/A	N/A	211	429	965	739
2017-04-20	$23.72	$22.50	42.1%	12.1%	31.1%	35.7%	76.6%	-9.6%	-32.7%	6.5K	-490.9K	-4.3K	2.09	43.39	N/A	N/A	209	436	965	739
2017-04-21	$23.62	$22.50	46.3%	13.3%	28.2%	40.8%	85.4%	-11.0%	-38.2%	3.5K	-463.5K	-4.7K	2.09	44.60	N/A	N/A	209	436	965	731
2017-04-24	$23.62	$22.50	10.4%	3.0%	28.1%	0.0%	13.1%	-0.2%	2.4%	-68	89.2K	-4.2K	2.43	32.56	N/A	N/A	127	309	585	570
2017-04-25	$23.59	$22.50	10.8%	3.1%	28.1%	0.5%	14.0%	-0.6%	2.0%	-394	117.1K	-4.4K	2.43	32.63	N/A	N/A	127	309	585	575
2017-04-26	$23.62	$22.50	17.0%	4.9%	27.8%	7.8%	26.0%	-4.1%	-10.3%	-11.9K	112.4K	-3.3K	2.31	34.84	N/A	N/A	134	309	585	575
2017-04-27	$23.63	$22.50	15.5%	4.5%	27.7%	6.0%	22.8%	-2.8%	-7.0%	-3.4K	111.6K	-3.9K	2.31	34.05	N/A	N/A	134	309	595	575
2017-04-28	$23.58	$22.50	53.7%	15.4%	27.1%	50.9%	99.3%	-12.8%	-83.5%	249	129.3K	-4.4K	2.31	43.47	N/A	N/A	134	309	595	575