SNOW Options History — June 2015

In June 2015, SNOW traded between $11.65 and $12.74. ATM implied volatility averaged 35.3%, placing in the 15.5% IV rank vs the trailing year. The 30-day expected move averaged 10.0%. IV traded above realized volatility by 10.7% (HV 20d: 24.5%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.31.

Notable Days

  • 2015-06-01: Highest Volume — 226 contracts
  • 2015-06-30: Largest IV drop — 17.8% change
  • 2015-06-02: Highest IV Rank — 24.7%
  • 2015-06-02: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.28$11.65$12.74$12.35$11.65
Max Pain$10.34$10.00$12.50$12.50$10.00
ATM IV35.3%29.1%40.3%39.4%29.1%
Expected Move10.0%8.4%11.6%11.3%8.4%
HV 20d24.5%17.3%26.6%26.5%24.3%
HV 60d25.0%23.7%26.6%25.7%26.2%
IV Rank15.5%4.5%24.7%22.9%4.5%
IV Percentile15.8%1.2%35.3%32.9%1.2%
Term Structure-2.4%-9.1%10.8%-4.1%10.8%
VWIV37.7%35.0%41.5%39.5%39.4%
Skew 25d5.4%-4.7%17.5%5.1%17.5%
Skew 10d7.0%-7.2%12.2%7.9%11.4%
Call IV 25d34.8%27.0%44.8%43.7%27.0%
Put IV 25d40.2%36.4%48.8%48.8%44.5%
Bid-Ask Spread %105.30101.32109.50105.18109.50
Gamma HHI0.660.540.730.650.56
Net GEX20.7K16.8K24.1K18.8K16.8K
Net DEX-741.3K-889.6K-558.3K-756.3K-558.7K
Net VEX-1.1K-1.4K-793-1.4K-793
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.000.430.260.40
Total Volume165.955522622698
Total OI1,048.7279531,1041,083953

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-06-01$12.35$12.5039.4%11.3%26.5%22.9%39.5%5.1%-4.1%18.8K-756.3K-1.4K0.26105.18N/AN/A17947907176
2015-06-02$12.50$12.5040.3%11.6%26.3%24.7%0.0%-4.5%-8.9%20.3K-810.3K-1.3K0.00105.96N/AN/A50925176
2015-06-03$12.74$12.5039.3%11.3%25.6%22.7%39.1%-4.7%-9.1%20.9K-889.6K-1.2K0.28105.39N/AN/A16547925176
2015-06-04$12.59$10.0035.2%10.1%26.6%15.4%37.1%7.9%-4.1%20.1K-845.5K-1.3K0.28103.07N/AN/A16547925176
2015-06-05$12.66$10.0035.9%9.8%24.5%16.6%37.6%7.2%-3.8%21.5K-871.7K-1.1K0.27104.45N/AN/A16344925176
2015-06-08$12.48$10.0039.6%10.3%25.7%23.3%39.6%7.2%3.1%20.4K-819.8K-1.3K0.27101.32N/AN/A16344926178
2015-06-09$12.40$10.0039.0%10.0%26.0%22.3%37.4%5.7%-3.5%21.5K-795.9K-1.2K0.29103.29N/AN/A16648926178
2015-06-10$12.39$10.0036.3%10.4%25.5%17.3%38.6%5.5%-4.4%22.6K-780.1K-1.3K0.20105.22N/AN/A16633921173
2015-06-11$12.53$10.0035.9%10.3%25.5%16.6%38.2%5.3%-6.4%23.9K-820.2K-1.2K0.20103.32N/AN/A16633921168
2015-06-12$12.43$10.0035.7%10.2%26.0%16.2%38.4%5.3%-3.8%23.6K-808.0K-1.2K0.20103.14N/AN/A16633921168
2015-06-15$12.16$10.0034.0%9.7%25.2%13.2%36.7%4.8%-2.9%23.0K-740.0K-1.1K0.32104.45N/AN/A16753921168
2015-06-16$12.14$10.0033.8%9.7%25.2%12.8%35.5%3.5%-1.5%22.9K-707.1K-1.1K0.32104.03N/AN/A16753922163
2015-06-17$12.00$10.0035.2%10.1%25.3%15.5%37.3%3.0%-4.0%21.6K-662.1K-1.2K0.32107.92N/AN/A16753922163
2015-06-18$12.04$10.0033.7%9.7%25.3%12.8%36.5%4.8%-3.4%24.1K-678.9K-1.1K0.32104.55N/AN/A16753922163
2015-06-19$12.19$10.0034.8%10.0%25.4%14.6%38.1%4.8%-2.4%17.9K-666.9K-1.0K0.32104.41N/AN/A16753922163
2015-06-22$12.19$10.0033.2%9.5%25.3%11.8%37.0%6.2%2.7%18.8K-696.3K-9780.43105.55N/AN/A6528815143
2015-06-23$12.17$10.0032.9%9.4%25.2%11.4%36.8%6.4%-0.7%19.1K-684.3K-9250.43107.80N/AN/A6528810143
2015-06-24$12.19$10.0032.1%9.2%19.7%9.9%36.6%7.1%-1.5%19.6K-702.0K-8520.43108.17N/AN/A6528810143
2015-06-25$12.30$10.0033.4%9.6%18.4%12.2%36.3%6.7%-2.6%20.0K-725.5K-8080.40107.57N/AN/A7028810143
2015-06-26$12.34$10.0031.8%9.1%17.3%9.3%35.0%7.7%-0.5%20.8K-731.7K-7990.40107.65N/AN/A7028810143
2015-06-29$11.70$10.0035.4%10.2%24.9%15.9%41.5%6.6%-0.7%16.8K-558.3K-9660.40104.76N/AN/A7028810143
2015-06-30$11.65$10.0029.1%8.4%24.3%4.5%39.4%17.5%10.8%16.8K-558.7K-7930.40109.50N/AN/A7028810143