SNOW Options History — March 2015

In March 2015, SNOW traded between $8.30 and $9.42. ATM implied volatility averaged 41.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 21.8% (HV 20d: 19.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2015-03-26: Highest Volume — 423 contracts
  • 2015-03-11: Largest IV drop — 38.8% change
  • 2015-03-31: Highest IV Rank — 49.5%
  • 2015-03-31: Largest Expected Move — 15.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.85$8.30$9.42$9.42$8.66
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.0%32.0%52.9%38.8%52.9%
Expected Move11.5%9.2%15.2%11.1%15.2%
HV 20d19.2%15.3%22.0%22.0%21.8%
HV 60d26.0%24.4%28.2%28.2%25.3%
IV Rank26.4%8.8%49.5%22.1%49.5%
IV Percentile39.8%4.4%92.1%26.2%92.1%
Term Structure1.8%-15.1%18.5%2.5%-12.3%
VWIV41.0%30.0%50.7%42.6%47.2%
Skew 25d7.7%-5.2%26.5%9.9%15.4%
Skew 10d9.8%0.2%19.0%4.2%19.0%
Call IV 25d38.1%30.8%46.8%46.6%37.4%
Put IV 25d45.8%38.9%59.1%56.6%52.7%
Bid-Ask Spread %103.9636.38113.45105.47101.90
Gamma HHI0.600.490.800.510.80
Net GEX4.8K2.1K6.2K6.1K4.9K
Net DEX-56.2K-139.4K48.6K-139.4K-1.1K
Net VEX-1.0K-1.4K-448-1.3K-826
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.500.200.09
Total Volume125.6820423214423
Total OI897.3647511,0467511,046

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-03-02$9.42$10.0038.8%11.1%22.0%22.1%42.6%9.9%2.5%6.1K-139.4K-1.3K0.20105.47N/AN/A17935616135
2015-03-03$9.38$10.0032.6%9.4%21.8%10.1%30.0%26.5%18.5%5.8K-137.6K-1.4K0.20109.67N/AN/A17935635135
2015-03-04$9.33$10.0034.8%10.0%19.3%14.3%32.1%25.4%10.5%6.2K-135.0K-1.3K0.19113.45N/AN/A18035635135
2015-03-05$9.20$10.0036.2%13.4%19.6%17.0%46.0%-2.4%-6.3%5.6K-108.6K-1.3K0.13105.62N/AN/A26035655135
2015-03-06$8.98$10.0041.9%11.5%20.5%28.2%43.8%-5.2%-3.1%5.6K-82.3K-1.1K0.13106.07N/AN/A26035745135
2015-03-09$8.98$10.0047.3%10.2%20.4%38.6%0.0%3.1%11.1%4.9K-105.1K-1.2K0.00109.26N/AN/A00745135
2015-03-10$8.99$10.0052.3%9.4%19.5%48.2%0.0%9.7%6.1%4.5K-16.0K-7830.00107.58N/AN/A00745135
2015-03-11$8.98$10.0032.0%9.2%19.6%8.8%0.0%8.9%10.3%5.3K-88.5K-1.1K0.00107.74N/AN/A00745135
2015-03-12$9.02$10.0032.7%9.4%19.8%10.2%0.0%7.9%14.8%5.4K-97.3K-1.2K0.00108.78N/AN/A00745135
2015-03-13$9.05$10.0034.7%10.0%19.4%14.1%0.0%12.7%16.8%5.3K-100.0K-1.2K0.00108.07N/AN/A00745135
2015-03-16$9.00$10.0033.3%9.5%19.4%11.3%0.0%9.8%3.7%4.8K-54.4K-9670.00107.51N/AN/A00745135
2015-03-17$8.98$10.0032.3%9.3%16.2%9.4%0.0%8.4%-6.9%5.0K-41.2K-8960.00107.69N/AN/A10745135
2015-03-18$8.87$10.0034.4%9.9%16.1%13.5%32.2%5.9%3.8%4.7K-69.1K-1.1K0.50108.12N/AN/A21745135
2015-03-19$8.78$10.0038.4%11.0%15.3%21.2%0.0%-0.3%-3.0%4.1K-15.8K-7890.00107.53N/AN/A00743136
2015-03-20$8.70$10.0050.5%14.5%15.3%44.8%0.0%-1.0%-15.1%3.9K-18.1K-7960.00109.83N/AN/A00743136
2015-03-23$8.32$10.0042.5%12.2%19.9%29.2%41.6%-4.8%5.0%2.6K6.3K-6500.00107.35N/AN/A011735136
2015-03-24$8.30$10.0041.9%12.0%18.3%28.1%0.0%-5.0%5.3%2.1K48.6K-4480.00108.09N/AN/A2480735147
2015-03-25$8.38$10.0043.3%12.4%18.8%30.8%0.0%9.4%5.8%3.9K7.6K-7890.00102.61N/AN/A00899147
2015-03-26$8.50$10.0051.4%14.7%19.8%46.5%44.2%9.6%-9.0%5.0K-40.4K-1.1K0.09104.28N/AN/A38736899147
2015-03-27$8.48$10.0047.3%13.6%19.8%38.6%0.0%11.8%-8.6%4.7K-17.5K-9420.00104.12N/AN/A00899147
2015-03-30$8.49$10.0051.0%14.6%19.9%45.8%50.7%13.8%-9.7%5.0K-32.2K-1.0K0.0936.38N/AN/A38736899147
2015-03-31$8.66$10.0052.9%15.2%21.8%49.5%47.2%15.4%-12.3%4.9K-1.1K-8260.09101.90N/AN/A38736899147