SNOW Options History — March 2016

In March 2016, SNOW traded between $7.92 and $8.64. ATM implied volatility averaged 51.5%, placing in the 25.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded above realized volatility by 13.9% (HV 20d: 37.6%). Max pain ranged from $7.50 to $10.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.15.

Notable Days

  • 2016-03-01: Highest Volume — 851 contracts
  • 2016-03-31: Largest IV drop — 35.2% change
  • 2016-03-01: Highest IV Rank — 43.7%
  • 2016-03-01: Largest Expected Move — 20.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.28$7.92$8.64$8.52$8.56
Max Pain$9.77$7.50$10.00$7.50$10.00
ATM IV51.5%35.3%69.9%69.9%35.3%
Expected Move14.5%10.1%20.0%20.0%10.1%
HV 20d37.6%19.9%56.6%56.6%28.3%
HV 60d58.5%58.1%58.9%58.8%58.8%
IV Rank25.3%9.0%43.7%43.7%9.0%
IV Percentile71.4%18.3%95.2%95.2%18.3%
Term Structure2.7%-21.3%17.0%-21.3%11.1%
VWIV49.9%38.5%61.2%61.2%38.5%
Skew 25d9.3%-3.0%26.2%26.2%13.3%
Skew 10d34.5%3.8%92.0%92.0%10.6%
Call IV 25d45.6%33.4%60.9%52.8%33.4%
Put IV 25d54.8%45.8%79.0%79.0%46.7%
Bid-Ask Spread %68.9925.5198.9168.6991.96
Gamma HHI0.590.430.770.430.77
Net GEX5.8K4.2K9.1K8.7K9.1K
Net DEX-469.8K-584.8K-309.2K-537.9K-459.4K
Net VEX-2.4K-2.9K-2.1K-2.9K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.060.200.190.20
Total Volume750.773596851851777
Total OI2,115.1821,7472,3012,1811,919

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-03-01$8.52$7.5069.9%20.0%56.6%43.7%61.2%26.2%-21.3%8.7K-537.9K-2.9K0.1968.69N/AN/A7171341,677504
2016-03-02$8.52$7.5060.1%17.2%56.0%33.9%54.4%17.8%0.8%6.8K-542.5K-2.6K0.1560.91N/AN/A7151091,682524
2016-03-03$8.64$10.0059.1%12.6%55.6%32.9%48.5%2.0%6.4%8.7K-584.8K-2.7K0.1688.33N/AN/A7221191,685524
2016-03-04$8.56$10.0048.4%14.2%55.7%22.2%48.8%-2.7%-1.5%6.4K-580.5K-2.6K0.1780.39N/AN/A7161191,695574
2016-03-07$8.49$10.0053.9%14.3%54.3%27.7%50.1%-1.6%-3.2%6.5K-568.3K-2.5K0.1756.41N/AN/A7171191,699574
2016-03-08$8.20$10.0061.8%16.6%54.1%35.6%60.4%0.7%-4.4%5.2K-501.9K-2.6K0.1490.83N/AN/A7161021,704574
2016-03-09$8.19$10.0049.3%14.1%53.3%23.1%46.5%12.1%-1.2%5.0K-464.8K-2.5K0.1441.20N/AN/A7101021,708569
2016-03-10$8.06$10.0050.5%14.5%49.1%24.3%48.0%10.7%-2.6%4.2K-442.8K-2.5K0.1448.25N/AN/A7101021,708569
2016-03-11$8.21$10.0040.6%11.6%44.4%14.4%40.1%9.9%10.5%4.9K-473.3K-2.4K0.1481.43N/AN/A665921,708564
2016-03-14$8.18$10.0047.0%13.5%44.4%20.8%45.2%12.9%10.3%4.4K-467.6K-2.5K0.1690.84N/AN/A581921,713574
2016-03-15$8.20$10.0051.9%14.9%31.1%25.7%49.2%12.0%-0.9%4.2K-460.3K-2.4K0.1680.01N/AN/A581921,712574
2016-03-16$8.24$10.0056.5%16.2%30.0%30.3%51.8%13.5%-13.6%5.6K-469.5K-2.3K0.1698.91N/AN/A586921,712574
2016-03-17$8.25$10.0042.3%12.1%30.0%16.1%41.8%9.2%14.2%5.8K-498.8K-2.4K0.1042.58N/AN/A586571,722574
2016-03-18$8.39$10.0041.5%11.9%30.1%15.3%43.4%3.6%15.5%5.4K-521.3K-2.4K0.1094.47N/AN/A580571,722579
2016-03-21$8.35$10.0044.2%12.7%19.9%18.0%44.9%8.3%10.9%5.5K-473.7K-2.4K0.0649.67N/AN/A561351,389358
2016-03-22$8.21$10.0048.6%13.9%20.9%22.4%47.6%20.2%11.8%5.8K-458.8K-2.3K0.0673.51N/AN/A561351,389358
2016-03-23$8.07$10.0051.4%14.7%21.7%25.2%51.4%-3.0%4.7%4.7K-419.1K-2.3K0.1992.77N/AN/A6471211,389358
2016-03-24$7.98$10.0054.1%15.5%21.6%27.9%53.4%8.3%-2.4%5.4K-335.2K-2.4K0.1925.51N/AN/A6471211,475444
2016-03-28$7.92$10.0061.8%17.7%21.6%35.6%61.0%12.7%-5.7%5.0K-309.2K-2.3K0.1931.63N/AN/A6471211,475444
2016-03-29$8.21$10.0051.1%14.6%24.5%24.9%55.3%7.0%17.0%6.0K-363.9K-2.3K0.2079.25N/AN/A6471301,475444
2016-03-30$8.24$10.0054.4%15.6%24.5%28.2%56.4%10.4%4.0%5.1K-402.0K-2.3K0.2050.30N/AN/A6471301,475444
2016-03-31$8.56$10.0035.3%10.1%28.3%9.0%38.5%13.3%11.1%9.1K-459.4K-2.1K0.2091.96N/AN/A6471301,475444