SNOW Options History — July 2015

In July 2015, SNOW traded between $9.98 and $11.94. ATM implied volatility averaged 38.4%, placing in the 21.7% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded above realized volatility by 11.7% (HV 20d: 26.7%). 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 6 of 22 days. Put/call ratio averaged 0.22.

Notable Days

  • 2015-07-16: Highest Volume — 300 contracts
  • 2015-07-13: Largest IV spike — 80.1% change
  • 2015-07-13: Highest IV Rank — 67.6%
  • 2015-07-27: Largest Expected Move — 12.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.07$9.98$11.94$11.94$9.98
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV38.4%26.3%64.1%27.2%37.9%
Expected Move9.9%7.5%12.7%7.8%10.9%
HV 20d26.7%22.3%29.9%25.1%23.1%
HV 60d26.7%26.0%27.2%26.2%27.2%
IV Rank21.7%0.0%67.6%1.0%20.8%
IV Percentile30.2%0.0%97.2%0.4%30.2%
Term Structure-1.7%-12.2%13.4%6.8%-2.8%
VWIV35.3%34.4%36.2%34.4%36.2%
Skew 25d1.3%-7.9%23.5%23.1%5.0%
Skew 10d9.9%-6.2%15.5%9.7%8.3%
Call IV 25d36.0%23.4%46.0%23.5%45.9%
Put IV 25d37.3%30.0%50.9%46.7%50.9%
Bid-Ask Spread %107.23103.72110.34108.93105.53
Gamma HHI0.580.480.730.680.73
Net GEX7.6K3.8K19.9K19.9K4.3K
Net DEX-350.7K-630.6K-102.9K-630.6K-102.9K
Net VEX-495-774-376-774-376
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.090.400.400.10
Total Volume104.045663009875
Total OI634.091254964953254

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-07-01$11.94$10.0027.2%7.8%25.1%1.0%34.4%23.1%6.8%19.9K-630.6K-7740.40108.93N/AN/A7028810143
2015-07-02$11.76$10.0026.3%7.5%25.2%0.0%36.2%23.5%8.8%17.6K-586.1K-7380.40103.72N/AN/A7028810143
2015-07-06$11.59$0.0033.5%10.4%25.3%12.9%0.0%-2.6%-2.7%15.8K-543.0K-7510.40104.51N/AN/A7028810143
2015-07-07$11.29$0.0037.0%9.0%26.3%19.3%0.0%-5.3%-1.0%8.0K-510.9K-5720.40104.74N/AN/A7028810143
2015-07-08$11.23$0.0053.6%9.0%26.3%48.8%0.0%-6.9%-2.4%6.4K-503.0K-5440.34106.26N/AN/A7024810143
2015-07-09$11.26$0.0038.2%9.4%26.4%21.3%0.0%-6.0%-1.7%5.9K-511.6K-5210.34105.81N/AN/A7024809143
2015-07-10$11.28$0.0035.6%10.0%25.8%16.7%0.0%-7.9%-5.2%5.7K-513.5K-5170.34106.30N/AN/A7024809143
2015-07-13$11.50$0.0064.1%10.7%27.2%67.6%0.0%1.8%-12.2%16.1K-517.0K-5820.29110.34N/AN/A8224809143
2015-07-14$11.56$0.0059.2%8.8%26.5%58.8%0.0%3.4%-3.6%16.4K-551.2K-5700.29108.66N/AN/A8224821143
2015-07-15$11.19$0.0031.5%9.0%28.6%9.4%0.0%-0.8%-4.3%3.9K-520.4K-4440.09108.61N/AN/A27224821143
2015-07-16$11.05$0.0032.2%9.2%28.6%10.7%0.0%0.0%13.4%3.8K-468.9K-4500.09108.16N/AN/A27624785143
2015-07-17$11.06$0.0033.7%9.7%28.5%13.3%0.0%0.4%-4.1%4.2K-477.9K-4140.31109.08N/AN/A7824790143
2015-07-20$11.08$0.0035.0%10.0%28.0%15.7%0.0%2.7%4.2%4.3K-155.7K-3920.12108.04N/AN/A5972477
2015-07-21$11.05$0.0033.6%9.6%27.9%13.1%0.0%-0.4%1.5%4.4K-154.9K-4290.12107.98N/AN/A5972477
2015-07-22$11.19$0.0034.9%10.0%28.6%15.5%0.0%1.5%-7.0%3.9K-157.4K-4710.12108.78N/AN/A5972477
2015-07-23$11.10$0.0035.4%10.1%28.5%16.3%0.0%1.4%-6.7%4.9K-163.3K-3860.12108.69N/AN/A5972477
2015-07-24$10.72$0.0032.6%9.3%29.9%11.2%0.0%1.2%7.2%4.1K-144.5K-4060.12109.30N/AN/A5972477
2015-07-27$10.64$0.0044.3%12.7%29.7%32.2%0.0%2.2%-8.9%4.5K-138.1K-3950.10105.04N/AN/A6872477
2015-07-28$10.54$0.0037.4%10.7%24.3%19.8%0.0%-7.8%-7.3%4.5K-129.9K-3870.10108.34N/AN/A6872477
2015-07-29$10.30$0.0040.2%11.5%25.1%24.9%0.0%3.5%-4.1%4.4K-121.8K-3900.10106.95N/AN/A6872477
2015-07-30$10.24$0.0041.7%12.0%22.3%27.6%0.0%-4.4%-5.7%4.4K-113.8K-3890.10105.31N/AN/A6872477
2015-07-31$9.98$0.0037.9%10.9%23.1%20.8%0.0%5.0%-2.8%4.3K-102.9K-3760.10105.53N/AN/A6872477