SNOW Options History — August 2017

Name: SNOW Options Analytics - August 2017
Creator: Options Analysis Suite

In August 2017, SNOW traded between $23.75 and $23.75. ATM implied volatility averaged 78.6%, placing in the 71.1% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 77.6% (HV 20d: 1.0%). Net GEX was positive for 8 of 8 trading days. Term structure was in contango for 2 of 8 days. Put/call ratio averaged 0.20.

Notable Days

2017-08-01: Highest Volume — 161 contracts
2017-08-09: Largest IV drop — 42.6% change
2017-08-08: Highest IV Rank — 92.8%
2017-08-02: Largest Expected Move — 22.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.75	$23.75	$23.75	$23.75	$23.75
ATM IV	78.6%	57.0%	99.4%	76.2%	57.8%
Expected Move	17.5%	15.2%	22.5%	21.8%	16.6%
HV 20d	1.0%	0.9%	1.3%	1.3%	0.9%
HV 60d	2.9%	2.8%	2.9%	2.9%	2.8%
IV Rank	71.1%	48.6%	92.8%	68.6%	49.4%
IV Percentile	96.1%	89.3%	99.2%	98.0%	89.7%
Term Structure	-1.7%	-4.3%	4.9%	4.9%	-4.3%
Skew 25d	9.8%	8.3%	13.2%	12.8%	9.0%
Skew 10d	25.8%	13.6%	31.0%	13.6%	31.0%
Call IV 25d	113.0%	95.1%	154.7%	150.1%	103.9%
Put IV 25d	122.7%	103.4%	167.9%	162.9%	113.0%
Bid-Ask Spread %	116.31	114.48	116.93	114.48	116.93
Gamma HHI	0.50	0.50	0.50	0.50	0.50
Net GEX	3.2K	2.5K	3.9K	3.9K	2.5K
Net DEX	49.5K	46.9K	52.0K	46.9K	52.0K
Net VEX	-2.6K	-2.7K	-2.3K	-2.7K	-2.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.20	0.20	0.20	0.20	0.20
Total Volume	161	161	161	161	161
Total OI	1,061.5	1,061	1,062	1,062	1,061

Daily Data (8 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
2017-08-01	$23.75	$0.00	76.2%	21.8%	1.3%	68.6%	0.0%	12.8%	4.9%	3.9K	46.9K	-2.7K	0.20	114.48	N/A	N/A	134	27	548	514
2017-08-02	$23.75	$0.00	78.5%	22.5%	1.2%	71.0%	0.0%	13.2%	4.7%	3.8K	47.2K	-2.7K	0.20	114.48	N/A	N/A	134	27	548	514
2017-08-03	$23.75	$0.00	81.1%	15.2%	0.9%	73.7%	0.0%	8.3%	-3.3%	3.6K	47.5K	-2.7K	0.20	116.93	N/A	N/A	134	27	548	514
2017-08-04	$23.75	$0.00	84.0%	15.3%	0.9%	76.7%	0.0%	8.4%	-3.5%	3.5K	47.7K	-2.7K	0.20	116.93	N/A	N/A	134	27	548	514
2017-08-07	$23.75	$0.00	94.7%	15.9%	0.9%	87.9%	0.0%	8.7%	-3.8%	2.8K	51.9K	-2.6K	0.20	116.93	N/A	N/A	134	27	547	514
2017-08-08	$23.75	$0.00	99.4%	16.1%	0.9%	92.8%	0.0%	8.8%	-4.0%	2.8K	51.4K	-2.5K	0.20	116.93	N/A	N/A	134	27	547	514
2017-08-09	$23.75	$0.00	57.0%	16.3%	0.9%	48.6%	0.0%	8.9%	-4.1%	2.6K	51.6K	-2.3K	0.20	116.93	N/A	N/A	134	27	547	514
2017-08-10	$23.75	$0.00	57.8%	16.6%	0.9%	49.4%	0.0%	9.0%	-4.3%	2.5K	52.0K	-2.3K	0.20	116.93	N/A	N/A	134	27	547	514