SNOW Options History — February 2016

In February 2016, SNOW traded between $7.95 and $8.92. ATM implied volatility averaged 64.6%, placing in the 38.5% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 1.1% (HV 20d: 63.5%). Max pain ranged from $7.50 to $12.50. Net GEX was positive for 17 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.52.

Notable Days

  • 2016-02-10: Highest Volume — 19,096 contracts
  • 2016-02-19: Largest IV spike — 37.0% change
  • 2016-02-09: Highest IV Rank — 69.4%
  • 2016-02-02: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.37$7.95$8.92$8.60$8.50
Max Pain$9.25$7.50$12.50$12.50$7.50
ATM IV64.6%43.2%95.5%67.3%62.0%
Expected Move17.8%12.4%24.1%19.3%17.8%
HV 20d63.5%39.5%83.5%82.3%57.2%
HV 60d58.1%55.5%61.3%57.9%58.9%
IV Rank38.5%17.0%69.4%41.1%35.8%
IV Percentile88.5%57.5%99.2%97.2%90.9%
Term Structure-2.9%-27.8%20.5%-22.9%2.1%
VWIV65.1%46.5%102.6%77.2%57.8%
Skew 25d16.3%-13.7%102.8%1.5%23.8%
Skew 10d33.2%-5.4%102.8%21.0%87.5%
Call IV 25d66.6%43.4%101.7%79.1%50.5%
Put IV 25d82.8%54.4%186.0%80.5%74.4%
Bid-Ask Spread %59.4326.7590.1557.0066.54
Gamma HHI0.520.330.870.390.49
Net GEX1.3K-20.0K8.0K-4.5K7.8K
Net DEX11.7M-518.1K23.2M9.8M-518.1K
Net VEX-2.0K-5.4K-490-5.4K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.181.150.750.18
Total Volume3,154.6548319,0962,716861
Total OI29,617.21,58355,38523,7012,166

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-02-01$8.60$12.5067.3%19.3%82.3%41.1%77.2%1.5%-22.9%-4.5K9.8M-5.4K0.7557.00N/AN/A1,5491,16710,56713,134
2016-02-02$8.40$12.5084.2%24.1%82.3%58.0%102.6%62.9%-15.3%70610.9M-4900.6654.02N/AN/A2,4591,63511,06813,578
2016-02-03$8.24$12.5058.3%16.7%82.6%32.1%0.0%102.8%20.5%4.0K11.3M-1.3K0.6539.91N/AN/A3,9522,56112,92114,539
2016-02-04$8.18$10.0065.9%19.5%82.3%39.7%67.3%-5.2%-10.2%3.9K12.6M-1.2K0.5776.35N/AN/A1,65593615,30816,267
2016-02-05$8.48$10.0073.4%16.2%81.9%47.2%70.9%21.2%-0.7%8.0K14.0M-1.3K0.4190.15N/AN/A1,41258016,40517,472
2016-02-08$8.17$10.0090.8%19.7%82.9%64.7%73.8%-3.9%1.9%4.9K13.9M-2.0K0.8884.65N/AN/A2,8222,48116,92717,935
2016-02-09$7.97$10.0095.5%22.7%83.5%69.4%91.8%36.4%-5.4%9714.2M-2.1K1.1581.15N/AN/A1,8582,13017,59318,877
2016-02-10$8.45$10.0072.5%20.8%39.5%46.3%58.8%70.8%-27.8%3.9K16.7M-1.6K0.9171.84N/AN/A10,0029,09419,70521,213
2016-02-11$7.95$10.0073.4%21.1%44.8%47.3%68.9%3.0%-8.3%-20.0K20.7M-1.9K0.7388.25N/AN/A1,29895026,26127,217
2016-02-12$8.00$10.0066.4%19.0%44.8%40.2%64.5%-3.1%-7.7%-18.8K20.3M-1.9K0.8632.16N/AN/A1,2761,10025,74526,673
2016-02-16$8.72$10.0053.6%15.4%54.6%27.3%51.9%4.2%1.2%3.2K22.7M-1.7K0.2831.10N/AN/A1,54143227,35627,504
2016-02-17$8.90$7.5050.2%14.4%55.0%24.0%46.5%3.9%6.4%4.5K23.1M-1.8K0.2936.21N/AN/A1,39141027,84627,494
2016-02-18$8.92$7.5043.2%12.4%55.0%17.0%64.7%3.6%3.2%4.8K23.2M-1.8K0.3139.08N/AN/A1,38242527,89627,489
2016-02-19$8.73$7.5059.2%17.0%53.9%33.0%58.0%2.9%6.7%4.1K22.7M-1.5K0.3326.75N/AN/A1,31343827,89627,469
2016-02-22$8.20$7.5060.4%17.3%57.7%34.2%61.2%-8.3%-3.9%1.1K-203.1K-1.4K0.5239.74N/AN/A3181651,110473
2016-02-23$8.20$7.5053.0%15.2%57.5%26.8%54.4%-8.8%0.1%1.6K-253.9K-1.6K0.3256.46N/AN/A7182301,245540
2016-02-24$8.23$7.5045.8%13.1%57.5%19.6%52.5%-13.7%11.8%5.4K-464.6K-2.7K0.1872.97N/AN/A7181321,651491
2016-02-25$8.31$7.5053.4%15.3%57.7%27.2%53.7%15.6%2.2%6.2K-485.9K-2.7K0.1977.78N/AN/A7191341,651499
2016-02-26$8.34$7.5064.4%18.5%57.4%38.3%60.8%15.6%-13.0%6.2K-497.8K-2.7K0.1966.47N/AN/A7151341,659504
2016-02-29$8.50$7.5062.0%17.8%57.2%35.8%57.8%23.8%2.1%7.8K-518.1K-2.7K0.1866.54N/AN/A7271341,662504