SNOW Options History — July 2014 In July 2014, SNOW traded between $10.51 and $11.68. ATM implied volatility averaged 37.2%. The 30-day expected move averaged 10.8%. IV traded above realized volatility by 7.6% (HV 20d: 29.6%). Max pain ranged from $12.50 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.00.
Notable Days 2014-07-11 : Highest Volume — 10 contracts2014-07-08 : Largest IV spike — 31.5% change2014-07-08 : Largest Expected Move — 13.7%Monthly Statistics Metric Avg Min Max Open Close Price $11.12 $10.51 $11.68 $11.58 $11.27 Max Pain $12.50 $12.50 $12.50 $12.50 $12.50 ATM IV 37.2% 27.6% 45.6% 36.8% 35.9% Expected Move 10.8% 7.9% 13.7% 10.5% 10.3% HV 20d 29.6% 25.5% 32.5% 31.7% 28.0% HV 60d 37.6% 35.3% 41.8% 41.8% 35.3% Term Structure 4.4% -4.0% 14.8% 1.5% -4.0% VWIV 40.2% 40.2% 40.2% 40.2% 40.2% Skew 25d 2.8% -11.1% 15.6% -2.9% 2.4% Skew 10d 19.6% 1.2% 91.5% 8.2% 4.8% Call IV 25d 37.3% 29.1% 43.5% 42.0% 39.3% Put IV 25d 40.1% 29.7% 47.6% 39.1% 41.7% Bid-Ask Spread % 68.87 31.90 110.37 39.35 108.07 Gamma HHI 0.90 0.68 0.99 0.85 0.98 Net GEX 5.8K 4.3K 7.6K 5.6K 7.6K Net DEX -108.8K -173.9K -54.7K -171.3K -100.2K Net VEX -691 -911 -497 -911 -614 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.227 0 10 5 0 Total OI 405.455 384 428 418 384
Daily Data (22 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 2014-07-01 $11.58 $12.50 36.8% 10.5% 31.7% 0.0% 0.0% -2.9% 1.5% 5.6K -171.3K -911 0.00 39.35 N/A N/A 5 0 354 64 2014-07-02 $11.66 $12.50 27.9% 8.0% 28.3% 0.0% 0.0% 8.6% 14.8% 5.4K -171.6K -889 0.00 44.19 N/A N/A 0 0 354 64 2014-07-03 $11.68 $12.50 27.6% 7.9% 27.9% 0.0% 0.0% 8.5% 14.4% 5.3K -173.9K -906 0.00 42.38 N/A N/A 0 0 354 64 2014-07-07 $11.59 $12.50 33.9% 12.3% 28.1% 0.0% 0.0% -11.1% -2.6% 5.5K -164.9K -867 0.00 96.24 N/A N/A 0 0 354 64 2014-07-08 $11.21 $12.50 44.6% 13.7% 30.5% 0.0% 0.0% 4.0% -2.6% 5.6K -129.3K -786 0.00 31.90 N/A N/A 0 0 354 64 2014-07-09 $11.35 $12.50 40.8% 11.9% 30.4% 0.0% 0.0% 2.3% 2.2% 5.6K -136.1K -818 0.00 34.09 N/A N/A 0 0 354 64 2014-07-10 $11.41 $12.50 34.2% 9.8% 30.4% 0.0% 0.0% 6.1% 3.9% 5.6K -128.7K -789 0.00 43.43 N/A N/A 0 0 354 64 2014-07-11 $11.43 $12.50 40.4% 11.6% 29.5% 0.0% 40.2% 5.8% 0.1% 5.7K -136.1K -807 0.00 34.20 N/A N/A 0 10 354 64 2014-07-14 $11.38 $12.50 38.1% 10.9% 29.6% 0.0% 0.0% -9.2% -3.4% 6.2K -145.9K -806 0.00 46.48 N/A N/A 0 0 354 64 2014-07-15 $11.10 $12.50 39.8% 11.4% 27.3% 0.0% 0.0% 9.8% 10.8% 6.0K -111.4K -709 0.00 49.91 N/A N/A 0 10 354 64 2014-07-16 $11.00 $12.50 40.7% 11.7% 27.7% 0.0% 0.0% 11.2% 7.2% 5.6K -100.7K -728 0.00 44.21 N/A N/A 0 0 354 74 2014-07-17 $10.51 $12.50 42.6% 12.2% 32.5% 0.0% 0.0% 15.6% 3.7% 4.3K -54.7K -530 0.00 49.61 N/A N/A 0 0 354 74 2014-07-18 $10.73 $12.50 39.3% 11.3% 31.8% 0.0% 0.0% 12.7% 9.7% 5.3K -60.8K -582 0.00 48.81 N/A N/A 0 2 354 74 2014-07-21 $10.74 $12.50 37.8% 10.8% 31.8% 0.0% 0.0% -10.4% 2.4% 6.0K -90.6K -645 0.00 107.51 N/A N/A 0 0 351 33 2014-07-22 $10.79 $12.50 45.6% 13.1% 31.8% 0.0% 0.0% 8.0% 0.8% 6.1K -72.1K -576 0.00 42.55 N/A N/A 0 0 351 33 2014-07-23 $10.80 $12.50 33.1% 9.5% 31.5% 0.0% 0.0% -2.2% 12.2% 5.7K -82.3K -594 0.00 107.94 N/A N/A 0 0 351 33 2014-07-24 $10.90 $12.50 34.0% 9.7% 31.7% 0.0% 0.0% 1.1% 7.2% 6.2K -73.3K -540 0.00 109.05 N/A N/A 0 0 351 33 2014-07-25 $10.90 $12.50 34.7% 10.0% 30.8% 0.0% 0.0% 1.1% 6.1% 6.2K -69.2K -541 0.00 108.37 N/A N/A 0 0 351 33 2014-07-28 $10.75 $12.50 36.3% 10.4% 25.6% 0.0% 0.0% -1.1% 8.0% 5.8K -65.6K -497 0.00 107.91 N/A N/A 0 0 351 33 2014-07-29 $10.81 $12.50 36.6% 10.5% 25.5% 0.0% 0.0% -4.2% 0.2% 6.2K -80.3K -553 0.00 110.37 N/A N/A 0 0 351 33 2014-07-30 $11.14 $12.50 37.0% 10.6% 27.7% 0.0% 0.0% 5.5% 3.8% 6.5K -74.1K -509 0.00 108.51 N/A N/A 0 0 351 33 2014-07-31 $11.27 $12.50 35.9% 10.3% 28.0% 0.0% 0.0% 2.4% -4.0% 7.6K -100.2K -614 0.00 108.07 N/A N/A 0 0 351 33
« Jun 2014 | All History | Aug 2014 » Home SNOW History July 2014