SNOW Options History — April 2015

In April 2015, SNOW traded between $8.67 and $10.28. ATM implied volatility averaged 44.1%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 19.6% (HV 20d: 24.5%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2015-04-10: Highest Volume — 432 contracts
  • 2015-04-20: Largest IV spike — 75.7% change
  • 2015-04-02: Highest IV Rank — 55.6%
  • 2015-04-01: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.46$8.67$10.28$8.67$10.11
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV44.1%29.5%56.0%54.3%50.4%
Expected Move12.3%8.5%15.6%15.6%14.4%
HV 20d24.5%21.6%29.1%21.9%25.3%
HV 60d24.1%22.2%26.2%25.1%23.7%
IV Rank32.4%3.9%55.6%52.2%44.6%
IV Percentile52.1%2.4%95.6%94.0%77.8%
Term Structure1.4%-13.2%24.7%-13.2%-9.1%
VWIV50.7%48.3%52.2%48.3%50.3%
Skew 25d8.2%-6.1%32.8%14.6%-6.1%
Skew 10d15.8%-9.2%44.3%19.5%-9.2%
Call IV 25d42.8%24.7%56.6%38.2%56.6%
Put IV 25d51.0%41.3%61.0%52.8%50.4%
Bid-Ask Spread %106.4598.21113.57102.85108.42
Gamma HHI0.610.560.780.610.64
Net GEX8.3K5.4K12.4K5.5K11.8K
Net DEX-176.9K-306.2K-34.1K-80.6K-267.1K
Net VEX-1.4K-1.6K-967-1.2K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.050.120.090.12
Total Volume328.6670432423153
Total OI974.6198231,0651,046884

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-04-01$8.67$10.0054.3%15.6%21.9%52.2%48.3%14.6%-13.2%5.5K-80.6K-1.2K0.09102.85N/AN/A38736899147
2015-04-02$8.67$0.0056.0%14.3%21.6%55.6%0.0%25.7%-1.3%5.4K-34.1K-9670.09106.93N/AN/A38736899147
2015-04-06$8.93$0.0043.2%9.1%23.0%30.7%0.0%32.8%18.3%5.9K-87.4K-1.2K0.09105.86N/AN/A38736899147
2015-04-07$9.15$0.0040.4%10.0%24.6%25.2%0.0%2.5%5.2%7.1K-117.8K-1.3K0.09105.02N/AN/A38736899147
2015-04-08$9.15$0.0034.4%9.8%24.6%13.4%0.0%3.0%7.2%6.9K-139.5K-1.4K0.00104.92N/AN/A00899147
2015-04-09$9.10$0.0037.1%10.6%24.7%18.7%0.0%2.1%7.8%6.8K-136.8K-1.4K0.09106.02N/AN/A38736899147
2015-04-10$9.30$0.0032.9%9.4%25.8%10.6%0.0%7.5%7.4%7.8K-127.3K-1.3K0.09104.63N/AN/A39636899147
2015-04-13$9.24$0.0034.4%9.9%25.9%13.5%0.0%7.3%9.2%7.4K-162.9K-1.4K0.07104.97N/AN/A39626908157
2015-04-14$9.13$0.0036.2%10.4%26.2%16.9%0.0%6.1%1.0%6.8K-115.0K-1.3K0.07104.78N/AN/A39626908157
2015-04-15$9.22$0.0035.7%10.2%26.4%16.0%0.0%5.8%10.9%6.6K-143.4K-1.4K0.07104.69N/AN/A39627908157
2015-04-16$9.20$0.0033.3%9.6%25.9%11.4%0.0%18.9%24.7%6.7K-137.2K-1.4K0.07111.04N/AN/A39627908155
2015-04-17$9.25$0.0029.5%8.5%25.6%3.9%0.0%21.7%17.1%6.8K-127.0K-1.3K0.07113.57N/AN/A39627908136
2015-04-20$9.67$0.0051.8%14.9%29.1%47.4%51.9%4.2%-6.5%7.7K-186.9K-1.4K0.0598.21N/AN/A32915717106
2015-04-21$9.64$10.0049.6%14.2%22.7%43.1%49.7%4.4%-2.9%8.9K-224.1K-1.5K0.05108.16N/AN/A32915762106
2015-04-22$9.62$10.0050.6%14.5%22.7%45.1%50.7%4.5%-3.9%9.1K-200.6K-1.4K0.05108.71N/AN/A32915762106
2015-04-23$9.90$10.0049.6%14.2%23.9%43.2%49.7%6.7%-8.3%10.0K-254.9K-1.5K0.05107.08N/AN/A28415762106
2015-04-24$10.02$10.0050.9%14.6%23.8%45.6%50.9%8.0%-10.1%10.4K-272.8K-1.6K0.05107.14N/AN/A28415776106
2015-04-27$10.24$10.0051.9%14.9%24.0%47.6%52.0%-1.6%-7.9%11.4K-306.2K-1.5K0.12106.59N/AN/A13716776106
2015-04-28$10.26$10.0051.4%14.7%23.9%46.7%51.4%-2.3%-10.1%12.4K-292.1K-1.4K0.12107.54N/AN/A13716777107
2015-04-29$10.28$10.0052.3%15.0%23.7%48.3%52.2%6.4%-5.5%12.2K-301.6K-1.4K0.12108.32N/AN/A13716777107
2015-04-30$10.11$10.0050.4%14.4%25.3%44.6%50.3%-6.1%-9.1%11.8K-267.1K-1.4K0.12108.42N/AN/A13716777107