SNOW Options History — June 2016

In June 2016, SNOW traded between $10.79 and $12.94. ATM implied volatility averaged 38.6%, placing in the 12.3% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.2% (HV 20d: 33.4%). 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 15 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2016-06-29: Highest Volume — 557 contracts
  • 2016-06-08: Largest IV drop — 40.9% change
  • 2016-06-27: Highest IV Rank — 23.0%
  • 2016-06-27: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.73$10.79$12.94$10.79$12.94
Max Pain$7.61$7.50$10.00$10.00$7.50
ATM IV38.6%28.9%49.2%45.5%41.6%
Expected Move10.7%8.3%14.1%13.1%11.9%
HV 20d33.4%29.6%38.2%38.2%36.2%
HV 60d33.7%32.0%35.1%32.7%35.1%
IV Rank12.3%2.7%23.0%19.3%15.4%
IV Percentile32.5%1.2%70.6%58.3%43.3%
Term Structure3.4%-5.2%17.1%2.8%-0.5%
VWIV37.3%19.6%50.9%41.1%41.4%
Skew 25d-0.1%-11.4%11.5%9.4%-3.8%
Skew 10d17.7%-8.7%72.4%21.0%-8.7%
Call IV 25d38.7%32.2%47.4%39.8%41.4%
Put IV 25d38.6%25.8%49.2%49.2%37.7%
Bid-Ask Spread %53.6824.05101.6753.0375.22
Gamma HHI0.570.360.940.430.94
Net GEX7.8K4.6K12.8K5.4K12.8K
Net DEX-1.2M-1.5M-943.9K-943.9K-1.5M
Net VEX-674-940-427-940-552
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.050.140.070.10
Total Volume526.682469557469557
Total OI1,442.5911,3691,5591,3691,559

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2016-06-01$10.79$10.0045.5%13.1%38.2%19.3%41.1%9.4%2.8%5.4K-943.9K-9400.0753.03N/AN/A437321,111258
2016-06-02$11.04$7.5042.6%9.9%37.2%16.4%29.5%5.6%17.1%5.3K-1.0M-4680.0738.98N/AN/A465341,111258
2016-06-03$10.86$7.5029.6%10.9%31.9%3.3%37.2%1.8%6.7%4.6K-993.6K-6960.0739.62N/AN/A470331,141260
2016-06-06$11.41$7.5040.0%8.4%34.4%13.7%30.7%10.8%6.3%7.4K-1.1M-8440.0747.35N/AN/A470331,143260
2016-06-07$11.21$7.5049.0%9.5%35.8%22.8%34.3%-5.2%11.2%5.7K-1.1M-6310.1444.05N/AN/A472681,132260
2016-06-08$11.45$7.5028.9%8.3%35.8%2.7%19.6%8.8%5.8%5.2K-1.1M-4290.1432.86N/AN/A472681,134261
2016-06-09$11.53$7.5030.5%8.7%35.2%4.2%29.5%-8.5%7.4%6.7K-1.1M-6970.1248.38N/AN/A490601,134261
2016-06-10$11.45$7.5040.1%11.5%30.8%13.9%33.4%-11.4%2.0%8.3K-1.1M-8850.1251.48N/AN/A490601,163263
2016-06-13$11.48$7.5037.8%10.8%30.7%11.5%32.0%-9.9%3.1%7.6K-1.1M-7230.1246.52N/AN/A490601,163263
2016-06-14$11.49$7.5031.1%8.9%29.9%4.8%32.6%-2.5%9.0%6.8K-1.1M-7000.12101.67N/AN/A481601,163263
2016-06-15$11.36$7.5031.7%9.1%30.1%5.5%37.7%11.5%8.1%6.7K-1.1M-6340.0537.35N/AN/A473251,161263
2016-06-16$11.36$7.5033.0%9.5%29.6%6.7%35.9%-7.1%3.9%6.4K-1.1M-4950.0551.66N/AN/A478251,161265
2016-06-17$11.98$7.5038.4%11.0%32.3%12.2%39.6%-2.9%0.9%6.5K-1.2M-4270.0751.09N/AN/A496341,166265
2016-06-20$12.13$7.5031.6%9.0%32.1%5.3%38.4%0.8%5.7%8.6K-1.2M-4770.0768.15N/AN/A498341,143274
2016-06-21$12.05$7.5032.3%9.3%32.4%6.1%37.3%-3.4%1.9%9.0K-1.2M-5450.0735.98N/AN/A499341,193274
2016-06-22$12.05$7.5043.4%12.4%32.1%17.1%42.9%4.7%-2.6%8.6K-1.2M-8410.0778.39N/AN/A500341,192274
2016-06-23$12.23$7.5042.4%12.2%32.0%16.2%43.6%3.0%-1.1%9.6K-1.3M-8270.0799.70N/AN/A455341,195274
2016-06-24$12.35$7.5044.4%12.7%31.6%18.2%50.9%2.9%-3.3%9.7K-1.3M-8040.09101.15N/AN/A465441,195274
2016-06-27$11.90$7.5049.2%14.1%35.3%23.0%44.9%-6.4%-5.2%8.3K-1.2M-8220.1029.34N/AN/A504501,205284
2016-06-28$12.38$7.5042.9%12.3%36.1%16.7%44.6%-5.8%-1.0%11.4K-1.3M-6470.1024.05N/AN/A495511,259300
2016-06-29$12.53$7.5042.7%12.2%35.6%16.5%44.2%5.5%-2.6%11.6K-1.4M-7360.1024.99N/AN/A506511,259300
2016-06-30$12.94$7.5041.6%11.9%36.2%15.4%41.4%-3.8%-0.5%12.8K-1.5M-5520.1075.22N/AN/A506511,259300