SNOW Options History — April 2016

In April 2016, SNOW traded between $8.44 and $9.01. ATM implied volatility averaged 50.2%, placing in the 24.0% IV rank vs the trailing year. The 30-day expected move averaged 12.7%. IV traded above realized volatility by 24.3% (HV 20d: 26.0%). 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 13 of 21 days. Put/call ratio averaged 0.22.

Notable Days

  • 2016-04-07: Highest Volume — 783 contracts
  • 2016-04-13: Largest IV drop — 56.7% change
  • 2016-04-12: Highest IV Rank — 65.9%
  • 2016-04-04: Largest Expected Move — 15.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$8.67$8.44$9.01$8.44$8.67
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV50.2%36.8%92.1%49.0%41.2%
Expected Move12.7%10.6%15.3%14.1%11.8%
HV 20d26.0%23.4%28.7%28.2%24.5%
HV 60d43.1%38.0%58.9%58.9%38.1%
IV Rank24.0%10.6%65.9%22.8%15.0%
IV Percentile60.7%23.4%98.8%67.9%48.8%
Term Structure3.9%-5.8%15.2%8.7%6.2%
VWIV37.6%32.1%49.1%49.1%40.3%
Skew 25d10.2%-10.5%25.7%10.7%4.1%
Skew 10d29.8%0.7%64.7%8.8%8.3%
Call IV 25d40.5%30.1%50.6%47.9%50.6%
Put IV 25d50.7%34.8%58.6%58.6%54.8%
Bid-Ask Spread %54.4030.79108.2359.4176.77
Gamma HHI0.690.610.760.710.61
Net GEX7.8K6.9K8.7K7.1K6.9K
Net DEX-485.0K-579.2K-431.3K-448.5K-488.7K
Net VEX-2.1K-2.3K-1.9K-2.1K-2.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.200.270.210.20
Total Volume696.571638783760643
Total OI1,751.2861,5521,9471,9091,552

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-04-01$8.44$10.0049.0%14.1%28.2%22.8%49.1%10.7%8.7%7.1K-448.5K-2.1K0.2159.41N/AN/A6301301,465444
2016-04-04$8.48$10.0045.9%15.3%28.1%19.6%32.3%15.7%-5.4%7.8K-449.0K-2.1K0.2155.08N/AN/A6301301,475444
2016-04-05$8.55$10.0057.8%14.4%28.1%31.6%33.0%17.1%-2.4%8.1K-457.4K-2.1K0.2170.40N/AN/A6221301,475444
2016-04-06$8.54$10.0067.5%12.8%24.9%41.3%32.6%17.4%10.1%8.0K-449.7K-2.2K0.2152.08N/AN/A6221301,475444
2016-04-07$8.54$10.0058.2%14.2%24.9%32.0%33.4%13.8%-1.5%7.5K-455.8K-2.2K0.2647.58N/AN/A6221611,475444
2016-04-08$8.49$10.0060.7%13.6%24.2%34.5%33.0%11.9%1.1%7.2K-431.3K-2.2K0.2752.43N/AN/A5921611,475470
2016-04-11$8.52$10.0083.4%12.9%23.4%57.2%32.1%18.6%12.2%7.3K-452.1K-2.2K0.2754.25N/AN/A5921611,475470
2016-04-12$8.66$10.0092.1%13.9%23.9%65.9%41.2%10.9%-5.8%7.7K-460.8K-2.3K0.2741.29N/AN/A5921611,475470
2016-04-13$8.78$10.0039.9%11.4%24.2%13.7%39.9%4.2%-2.1%7.8K-498.9K-2.3K0.2741.27N/AN/A5921611,475470
2016-04-14$8.99$10.0039.9%11.4%25.2%13.7%39.9%10.1%-2.2%8.6K-541.9K-2.2K0.2039.60N/AN/A5921201,475470
2016-04-15$9.00$10.0038.1%10.9%25.2%11.9%38.1%13.4%4.2%7.6K-544.2K-2.3K0.2039.07N/AN/A5921201,475472
2016-04-18$9.01$10.0039.7%11.4%24.8%13.4%39.7%-10.5%4.4%8.0K-579.2K-2.2K0.2043.02N/AN/A5301081,255297
2016-04-19$8.68$10.0047.3%13.6%28.7%21.1%42.5%7.5%11.0%8.1K-509.9K-2.1K0.2043.15N/AN/A5301081,255297
2016-04-20$8.59$10.0047.2%13.5%28.2%21.0%34.3%16.5%5.3%8.0K-481.1K-2.1K0.2052.41N/AN/A5301081,255297
2016-04-21$8.55$10.0046.9%13.4%27.4%20.7%35.7%3.3%6.2%8.0K-466.8K-2.0K0.2051.40N/AN/A5301081,255297
2016-04-22$8.66$10.0044.6%12.8%27.1%18.4%43.0%25.7%-1.7%7.9K-468.1K-2.1K0.2030.79N/AN/A5301081,255297
2016-04-25$8.54$10.0040.3%11.6%27.5%14.1%34.1%-1.4%-1.0%8.1K-472.5K-1.9K0.2042.69N/AN/A5301081,255297
2016-04-26$8.80$10.0040.2%11.5%26.7%14.0%40.2%5.8%10.5%8.7K-523.5K-2.0K0.2062.32N/AN/A5301081,255297
2016-04-27$8.78$10.0038.2%10.9%26.7%11.9%38.2%10.3%8.7%7.6K-508.5K-2.2K0.2079.05N/AN/A5301081,255297
2016-04-28$8.87$10.0036.8%10.6%23.5%10.6%36.8%8.8%15.2%7.8K-497.3K-2.0K0.20108.23N/AN/A5301081,255297
2016-04-29$8.67$10.0041.2%11.8%24.5%15.0%40.3%4.1%6.2%6.9K-488.7K-2.1K0.2076.77N/AN/A5351081,255297