SNOW Options History — August 2015

In August 2015, SNOW traded between $8.68 and $9.87. ATM implied volatility averaged 41.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 11.0%. IV traded above realized volatility by 12.4% (HV 20d: 28.6%). 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 1.07.

Notable Days

  • 2015-08-12: Highest Volume — 202 contracts
  • 2015-08-24: Largest IV spike — 36.9% change
  • 2015-08-10: Highest IV Rank — 52.2%
  • 2015-08-25: Largest Expected Move — 13.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.22$8.68$9.87$9.51$8.98
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV41.0%30.7%55.5%46.4%44.1%
Expected Move11.0%8.4%13.7%13.3%12.7%
HV 20d28.6%26.2%31.5%27.1%26.3%
HV 60d27.4%25.5%29.2%27.7%26.3%
IV Rank26.4%7.9%52.2%36.0%31.9%
IV Percentile40.2%2.8%94.4%57.9%51.6%
Term Structure-2.1%-12.6%9.2%-2.2%-12.5%
VWIV49.0%43.1%54.2%54.2%43.1%
Skew 25d8.4%0.3%18.1%10.8%9.5%
Skew 10d6.3%-3.7%16.1%-3.7%12.3%
Call IV 25d39.5%31.3%52.0%52.0%45.8%
Put IV 25d47.9%40.3%63.6%62.8%55.2%
Bid-Ask Spread %110.41105.25121.66117.32108.75
Gamma HHI0.730.590.810.750.76
Net GEX2.7K1.4K4.1K4.1K2.5K
Net DEX-18.6K-87.7K49.3K-87.7K8.3K
Net VEX-439-605-302-356-459
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.351.430.351.23
Total Volume142.333020217185
Total OI340253391253374

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2015-08-03$9.51$0.0046.4%13.3%27.1%36.0%54.2%10.8%-2.2%4.1K-87.7K-3560.00117.32N/AN/A0172467
2015-08-04$9.69$10.0042.4%12.1%28.2%28.7%49.7%18.1%2.1%3.5K-72.8K-3650.35109.42N/AN/A682424724
2015-08-05$9.77$10.0043.3%12.4%28.7%30.5%43.1%8.3%-6.0%3.6K-76.0K-3730.37109.71N/AN/A652424724
2015-08-06$9.87$0.0043.6%10.0%29.2%31.0%0.0%3.9%1.2%3.7K-76.9K-3670.37105.25N/AN/A652424924
2015-08-07$9.47$0.0050.2%9.9%31.5%42.8%0.0%1.8%1.2%3.5K-71.0K-3560.37109.90N/AN/A652424924
2015-08-10$9.50$0.0055.5%11.3%30.1%52.2%0.0%4.7%-1.2%3.4K-62.9K-3460.37111.72N/AN/A652424924
2015-08-11$9.38$0.0044.7%8.4%29.6%33.0%0.0%9.0%8.5%3.3K-57.8K-3360.00109.16N/AN/A0024824
2015-08-12$9.33$0.0030.7%8.8%28.4%7.9%0.0%8.8%9.1%3.2K-58.5K-3371.43109.32N/AN/A8311924924
2015-08-13$9.16$0.0035.3%10.1%28.6%16.2%0.0%0.3%-7.2%2.4K73-5731.43106.25N/AN/A83119267124
2015-08-14$9.20$0.0037.7%10.8%28.8%20.4%0.0%11.3%9.2%2.0K-12.3K-6051.43115.55N/AN/A83119267124
2015-08-17$9.20$0.0032.3%9.3%28.7%10.8%0.0%10.4%1.7%2.1K907-5681.43109.87N/AN/A83119267124
2015-08-18$9.06$0.0034.3%9.8%28.7%14.4%0.0%6.7%1.0%2.3K10.6K-5331.43109.26N/AN/A83119267124
2015-08-19$9.05$0.0043.6%12.5%27.6%30.9%0.0%12.3%1.5%2.3K18.5K-5130.00121.66N/AN/A00267124
2015-08-20$9.03$0.0033.9%9.7%27.8%13.6%0.0%8.2%1.2%2.2K14.6K-5221.43109.26N/AN/A83119267124
2015-08-21$8.96$0.0033.8%9.7%26.2%13.5%0.0%8.6%-2.1%2.3K21.6K-4911.43108.58N/AN/A83119267124
2015-08-24$8.71$0.0046.3%13.3%27.1%35.7%0.0%4.2%-11.3%1.4K49.3K-3021.23111.51N/AN/A83102267107
2015-08-25$8.68$0.0047.8%13.7%27.2%38.5%0.0%4.5%-12.6%1.5K30.8K-3921.23109.00N/AN/A83102267107
2015-08-26$8.95$0.0038.7%11.1%30.2%22.3%0.0%10.3%-8.1%2.4K20.7K-4491.23108.74N/AN/A83102267107
2015-08-27$9.07$0.0039.3%11.3%31.1%23.3%0.0%11.4%-9.1%2.7K12.8K-4661.23109.25N/AN/A83102267107
2015-08-28$9.14$0.0037.8%10.8%30.5%20.7%0.0%13.1%-9.2%2.3K-3.7K-5121.23109.14N/AN/A83102267107
2015-08-31$8.98$0.0044.1%12.7%26.3%31.9%0.0%9.5%-12.5%2.5K8.3K-4591.23108.75N/AN/A83102267107