SNOW Options History — May 2016

In May 2016, SNOW traded between $8.33 and $10.90. ATM implied volatility averaged 45.9%, placing in the 19.7% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 6.6% (HV 20d: 39.4%). 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 8 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2016-05-03: Highest Volume — 646 contracts
  • 2016-05-09: Largest IV drop — 25.7% change
  • 2016-05-06: Highest IV Rank — 28.9%
  • 2016-05-04: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.59$8.33$10.90$8.76$10.90
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV45.9%37.3%55.1%42.7%43.5%
Expected Move13.1%10.7%15.7%12.2%12.5%
HV 20d39.4%24.7%44.4%24.7%41.6%
HV 60d34.1%31.2%39.9%38.1%32.7%
IV Rank19.7%11.0%28.9%16.4%17.3%
IV Percentile59.4%23.8%79.0%52.8%52.0%
Term Structure-0.5%-8.1%14.2%14.2%9.2%
VWIV43.4%32.4%57.8%42.4%33.1%
Skew 25d8.3%-13.9%71.2%6.8%19.9%
Skew 10d15.4%-6.8%117.9%6.5%28.8%
Call IV 25d43.9%33.1%57.1%38.5%33.1%
Put IV 25d52.2%35.2%111.2%45.3%53.0%
Bid-Ask Spread %47.0320.55102.8362.6833.57
Gamma HHI0.640.440.860.710.44
Net GEX7.6K4.5K9.1K8.0K4.5K
Net DEX-709.6K-955.8K-434.5K-488.6K-955.8K
Net VEX-1.5K-2.0K-834-1.9K-834
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.070.260.200.07
Total Volume562.048469646643469
Total OI1,507.7621,3481,5711,5571,359

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-05-02$8.76$10.0042.7%12.2%24.7%16.4%42.4%6.8%14.2%8.0K-488.6K-1.9K0.2062.68N/AN/A5351081,260297
2016-05-03$8.43$10.0044.9%12.9%28.3%18.7%49.0%-6.6%1.3%8.5K-469.7K-1.8K0.2060.90N/AN/A5381081,250297
2016-05-04$8.33$10.0054.7%15.7%28.6%28.5%57.8%3.5%8.1%8.8K-434.5K-1.8K0.2532.64N/AN/A4671181,250297
2016-05-05$8.95$0.0053.2%14.5%38.6%27.0%0.0%9.5%-2.5%7.5K-570.7K-2.0K0.2582.16N/AN/A4691181,250307
2016-05-06$8.92$0.0055.1%13.9%38.6%28.9%0.0%5.5%-7.4%8.1K-558.4K-2.0K0.2537.57N/AN/A4691181,256307
2016-05-09$8.92$0.0040.9%11.0%38.6%14.7%0.0%6.2%0.2%8.1K-542.8K-1.9K0.2533.94N/AN/A4691181,256307
2016-05-10$8.95$0.0046.3%14.4%38.2%20.0%0.0%-13.9%-5.7%7.9K-532.5K-1.9K0.2549.36N/AN/A4691181,256307
2016-05-11$9.23$0.0050.8%14.6%39.4%24.6%0.0%13.3%-5.2%8.7K-596.3K-1.8K0.2561.19N/AN/A4691181,256307
2016-05-12$9.79$0.0046.5%13.3%43.7%20.2%0.0%3.1%-2.4%9.1K-728.1K-1.6K0.2545.04N/AN/A4691181,256307
2016-05-13$9.77$0.0046.3%13.3%43.7%20.1%0.0%2.2%-1.8%8.6K-772.1K-1.6K0.2558.85N/AN/A4691181,256307
2016-05-16$10.04$0.0045.1%12.9%44.4%18.9%0.0%3.7%-2.7%7.2K-871.7K-1.5K0.2644.36N/AN/A4571181,256307
2016-05-17$9.95$0.0042.7%12.3%41.9%16.5%0.0%4.0%-2.4%8.3K-847.8K-1.3K0.2626.61N/AN/A4571181,264307
2016-05-18$9.85$0.0047.9%13.7%41.9%21.6%0.0%4.8%-1.7%8.5K-794.1K-1.5K0.26102.83N/AN/A4571181,264307
2016-05-19$9.68$0.0043.6%12.5%42.6%17.4%0.0%9.3%-0.6%7.8K-771.4K-1.4K0.2648.34N/AN/A4571181,264307
2016-05-20$9.87$0.0048.5%13.9%42.8%22.2%0.0%10.4%-8.1%8.3K-742.1K-1.4K0.2647.05N/AN/A4571181,264307
2016-05-23$9.85$0.0043.6%12.5%42.2%17.3%0.0%3.0%1.1%7.9K-830.6K-1.3K0.1330.79N/AN/A437551,173211
2016-05-24$10.10$0.0042.2%12.1%41.9%16.0%0.0%71.2%4.4%7.3K-840.3K-1.4K0.1325.73N/AN/A434551,173246
2016-05-25$10.12$0.0040.6%11.6%41.8%14.4%40.6%6.6%0.1%5.9K-814.3K-1.1K0.1520.55N/AN/A435651,102246
2016-05-26$10.37$10.0048.5%13.9%42.3%22.3%48.6%10.3%-7.9%5.8K-857.4K-1.0K0.1534.88N/AN/A436651,103256
2016-05-27$10.55$10.0037.3%10.7%40.8%11.0%32.4%1.5%-1.2%5.0K-882.3K-1.1K0.1548.69N/AN/A429651,105256
2016-05-31$10.90$10.0043.5%12.5%41.6%17.3%33.1%19.9%9.2%4.5K-955.8K-8340.0733.57N/AN/A437321,103256