SNOW Options History — May 2015

In May 2015, SNOW traded between $10.25 and $12.56. ATM implied volatility averaged 44.0%, placing in the 31.9% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 19.3% (HV 20d: 24.7%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.18.

Notable Days

  • 2015-05-22: Highest Volume — 248 contracts
  • 2015-05-13: Largest IV drop — 46.9% change
  • 2015-05-12: Highest IV Rank — 100.0%
  • 2015-05-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.22$10.25$12.56$10.25$12.56
Max Pain$10.25$10.00$12.50$10.00$12.50
ATM IV44.0%26.6%82.2%51.1%37.5%
Expected Move10.9%7.6%14.7%14.7%10.7%
HV 20d24.7%22.3%26.7%25.2%24.7%
HV 60d24.6%23.8%25.6%23.9%25.6%
IV Rank31.9%0.0%100.0%46.0%19.5%
IV Percentile41.9%0.0%100.0%81.7%23.4%
Term Structure-3.7%-22.8%10.5%-12.2%-3.7%
VWIV39.3%31.8%51.1%51.1%37.5%
Skew 25d6.2%-6.5%16.7%5.2%5.0%
Skew 10d26.1%2.8%93.6%15.5%9.0%
Call IV 25d36.6%28.5%56.7%56.7%40.4%
Put IV 25d42.8%33.9%61.9%61.9%45.4%
Bid-Ask Spread %103.7994.65110.34110.34105.94
Gamma HHI0.560.500.700.620.70
Net GEX14.3K12.1K21.2K12.1K20.4K
Net DEX-490.5K-834.6K-299.3K-299.3K-834.6K
Net VEX-1.4K-1.6K-1.1K-1.4K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.000.390.120.28
Total Volume124.80248153213
Total OI945.358841,0688841,068

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-05-01$10.25$10.0051.1%14.7%25.2%46.0%51.1%5.2%-12.2%12.1K-299.3K-1.4K0.12110.34N/AN/A13716777107
2015-05-04$10.45$10.0044.1%12.2%24.3%32.4%0.0%7.7%-2.5%13.2K-336.5K-1.4K0.0099.89N/AN/A00777107
2015-05-05$10.35$10.0047.2%11.2%24.2%38.5%39.0%5.3%-0.6%13.1K-311.8K-1.3K0.11101.21N/AN/A14816777107
2015-05-06$10.52$10.0047.9%12.2%24.4%39.7%42.5%8.5%-10.0%13.8K-346.5K-1.4K0.11100.03N/AN/A15016787107
2015-05-07$10.92$10.0052.5%13.0%26.1%48.8%45.4%10.2%-12.0%13.2K-444.0K-1.2K0.1796.65N/AN/A13924789107
2015-05-08$10.99$10.0062.0%11.3%25.7%67.2%0.0%-2.8%-22.8%13.1K-452.1K-1.4K0.00109.00N/AN/A360792125
2015-05-11$11.02$10.0074.2%13.1%25.2%91.0%0.0%16.7%-21.9%13.1K-462.9K-1.1K0.00107.57N/AN/A016805125
2015-05-12$10.91$10.0082.2%10.7%25.0%100.0%32.7%8.8%7.9%12.7K-437.0K-1.4K0.35106.52N/AN/A6222807141
2015-05-13$10.99$10.0043.6%12.5%25.0%29.5%42.8%8.5%-16.5%12.5K-454.1K-1.4K0.35106.73N/AN/A6222807141
2015-05-14$11.00$10.0039.3%11.3%24.9%21.5%34.2%9.7%0.9%12.4K-456.6K-1.3K0.39100.01N/AN/A5622807141
2015-05-15$11.41$10.0026.6%7.6%26.7%0.0%48.8%16.1%4.0%13.2K-551.4K-1.4K0.21104.52N/AN/A10422808141
2015-05-18$11.49$10.0036.4%10.4%23.5%17.5%0.0%-6.5%-3.0%12.3K-505.8K-1.5K0.00105.61N/AN/A190767141
2015-05-19$11.38$10.0030.0%8.6%24.0%6.1%0.0%5.3%10.5%12.8K-481.0K-1.5K0.00108.50N/AN/A00786141
2015-05-20$11.35$10.0030.3%8.7%24.1%6.5%33.0%4.6%4.9%13.5K-478.6K-1.4K0.21109.01N/AN/A10722783141
2015-05-21$11.33$10.0031.8%9.1%23.0%9.2%34.2%2.5%5.2%13.1K-464.3K-1.4K0.21108.76N/AN/A10722783141
2015-05-22$11.45$10.0037.6%10.8%23.0%19.7%43.4%-6.4%-5.3%14.2K-494.4K-1.4K0.1099.46N/AN/A22622783141
2015-05-26$11.56$10.0032.0%9.2%22.3%9.7%31.8%8.3%6.5%17.1K-532.1K-1.6K0.1094.65N/AN/A22222905141
2015-05-27$12.09$10.0035.1%10.1%26.1%15.2%35.7%13.8%1.2%19.8K-692.0K-1.5K0.1596.57N/AN/A21432905141
2015-05-28$12.35$12.5037.7%10.8%26.4%20.0%37.8%3.1%-4.0%21.2K-775.7K-1.3K0.23104.77N/AN/A16137907151
2015-05-29$12.56$12.5037.5%10.7%24.7%19.5%37.5%5.0%-3.7%20.4K-834.6K-1.4K0.28105.94N/AN/A16647912156