SNOW Options History — January 2015

In January 2015, SNOW traded between $9.93 and $12.13. ATM implied volatility averaged 49.7%, placing in the 14.7% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded above realized volatility by 19.6% (HV 20d: 30.1%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.29.

Notable Days

  • 2015-01-08: Highest Volume — 595 contracts
  • 2015-01-09: Largest IV spike — 22.5% change
  • 2015-01-12: Highest IV Rank — 25.5%
  • 2015-01-30: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.70$9.93$12.13$12.13$10.13
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV49.7%33.9%66.2%43.2%53.5%
Expected Move14.2%13.4%15.3%13.5%15.3%
HV 20d30.1%23.4%35.3%25.8%32.4%
HV 60d31.0%27.7%36.2%32.6%27.7%
IV Rank14.7%4.3%25.5%10.4%17.2%
IV Percentile77.5%9.3%97.3%53.0%93.6%
Term Structure-2.7%-10.9%2.8%2.8%-5.5%
VWIV49.7%46.8%52.2%50.9%52.2%
Skew 25d5.9%-9.4%46.1%2.9%5.8%
Skew 10d16.4%2.8%106.7%2.8%13.3%
Call IV 25d46.0%38.8%52.1%46.3%52.1%
Put IV 25d52.0%32.2%93.0%49.2%57.9%
Bid-Ask Spread %97.7054.90104.3496.84104.17
Gamma HHI0.480.360.680.410.48
Net GEX4.5K-506.6K1496.4K
Net DEX-193.8K-270.9K-27.7K-44.9K-238.1K
Net VEX-1.4K-1.8K-326-326-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.290.001.000.520.31
Total Volume237.950595282213
Total OI629.7268836268736

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-01-02$12.13$0.0043.2%13.5%25.8%10.4%0.0%2.9%2.8%149-44.9K-3260.5296.84N/AN/A1859717692
2015-01-05$11.87$0.0033.9%13.4%27.5%4.3%0.0%-6.6%-4.1%-50-41.0K-3500.00100.19N/AN/A0018192
2015-01-06$11.79$0.0039.5%13.6%25.2%7.9%0.0%-9.4%-3.3%-7-38.4K-3510.0095.15N/AN/A0018192
2015-01-07$11.54$0.0043.9%13.7%23.4%10.9%50.9%5.5%-1.6%-27-27.7K-3760.0499.44N/AN/A2531018192
2015-01-08$11.28$10.0048.0%14.3%24.3%13.6%47.1%-3.5%-6.6%2.3K-180.1K-8940.26100.51N/AN/A473122378102
2015-01-09$11.25$10.0058.9%13.6%24.2%20.7%48.6%0.8%-0.1%3.9K-224.2K-1.3K0.2699.44N/AN/A473122498117
2015-01-12$11.03$10.0066.2%14.2%25.2%25.5%49.9%1.2%1.2%3.9K-211.5K-1.3K0.2698.64N/AN/A463122498117
2015-01-13$10.76$10.0055.4%13.7%26.7%18.5%46.8%-1.6%-3.5%5.9K-229.9K-1.6K0.34101.16N/AN/A330113608117
2015-01-14$10.08$10.0048.7%14.0%35.1%14.0%48.8%3.7%-10.9%5.6K-236.6K-1.7K0.40102.59N/AN/A283113682126
2015-01-15$10.16$10.0048.2%13.8%35.3%13.7%48.2%10.3%-3.8%6.2K-224.8K-1.7K0.4154.90N/AN/A277113709126
2015-01-16$10.27$10.0049.2%14.1%33.2%14.3%0.0%6.6%-2.8%6.3K-231.3K-1.8K1.0097.50N/AN/A1515710126
2015-01-20$10.10$10.0051.0%14.6%31.4%15.6%0.0%8.9%-1.5%5.8K-229.5K-1.8K0.00103.32N/AN/A00594125
2015-01-21$9.93$10.0049.3%14.1%31.6%14.4%0.0%4.7%-2.0%5.8K-170.1K-1.6K0.00104.23N/AN/A260594125
2015-01-22$10.11$10.0050.7%14.5%32.9%15.3%50.7%6.4%-1.0%6.2K-235.3K-1.8K0.2697.73N/AN/A19350620125
2015-01-23$10.36$10.0050.5%14.5%34.6%15.2%51.3%11.0%-1.7%6.6K-247.0K-1.8K0.2697.49N/AN/A19350609125
2015-01-26$10.41$10.0053.2%15.2%34.5%17.0%0.0%11.3%-4.4%6.5K-270.9K-1.8K0.0098.41N/AN/A100609125
2015-01-27$10.42$10.0051.4%14.7%33.7%15.8%51.4%46.1%-2.8%6.5K-270.3K-1.7K0.0098.91N/AN/A20609125
2015-01-28$10.21$10.0049.1%14.1%33.0%14.3%49.1%5.4%-2.5%6.0K-265.9K-1.8K0.2898.97N/AN/A18050611125
2015-01-29$10.25$10.0050.6%14.5%32.4%15.3%50.6%8.7%-0.1%6.2K-258.7K-1.8K0.31104.34N/AN/A16350611125
2015-01-30$10.13$10.0053.5%15.3%32.4%17.2%52.2%5.8%-5.5%6.4K-238.1K-1.7K0.31104.17N/AN/A16350611125