SNOW Options History — May 2017

In May 2017, SNOW traded between $23.51 and $23.69. ATM implied volatility averaged 22.0%, placing in the 13.7% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 13.2% (HV 20d: 8.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.89.

Notable Days

  • 2017-05-01: Highest Volume — 443 contracts
  • 2017-05-04: Largest IV drop — 66.2% change
  • 2017-05-03: Highest IV Rank — 60.2%
  • 2017-05-03: Largest Expected Move — 17.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.56$23.51$23.69$23.58$23.62
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV22.0%11.6%61.6%58.0%16.9%
Expected Move5.6%2.9%17.7%16.6%4.8%
HV 20d8.8%1.6%26.3%26.3%3.6%
HV 60d32.5%29.9%38.7%38.7%29.9%
IV Rank13.7%1.4%60.2%55.9%7.6%
IV Percentile16.6%0.8%98.4%97.2%7.1%
Term Structure-4.0%-101.6%41.0%-91.8%39.0%
VWIV110.4%107.2%114.0%107.2%114.0%
Skew 25d-4.5%-11.4%-1.6%-11.4%-2.6%
Skew 10d7.5%2.4%12.2%2.4%9.1%
Call IV 25d14.3%10.1%25.0%23.5%14.2%
Put IV 25d9.8%7.0%15.8%12.1%11.6%
Bid-Ask Spread %86.0945.07115.8845.07103.17
Gamma HHI0.500.500.520.500.50
Net GEX-4.2K-17.5K5.0K3.1K3.8K
Net DEX142.1K95.3K178.5K119.8K118.8K
Net VEX-4.0K-4.6K-3.5K-4.6K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.890.412.312.310.41
Total Volume243.773163443443163
Total OI1,209.4551,1701,2361,1701,211

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-05-01$23.58$22.5058.0%16.6%26.3%55.9%107.2%-11.4%-91.8%3.1K119.8K-4.6K2.3145.07N/AN/A134309595575
2017-05-02$23.60$22.5059.6%17.1%26.2%57.8%110.0%-8.1%-98.2%2.3K115.5K-4.4K2.3163.02N/AN/A134309595575
2017-05-03$23.56$22.5061.6%17.7%25.7%60.2%114.0%-9.2%-101.6%-2.3K138.3K-4.1K2.3163.54N/AN/A134309595575
2017-05-04$23.55$0.0020.8%3.2%24.5%12.3%0.0%-6.2%38.8%-912127.8K-4.4K2.31115.88N/AN/A134309596575
2017-05-05$23.56$0.0019.3%2.9%21.4%10.4%0.0%-4.8%41.0%-126121.0K-4.3K2.31115.20N/AN/A134309596575
2017-05-08$23.56$0.0031.6%3.0%21.0%25.0%0.0%-5.0%6.7%-3.5K135.7K-4.1K0.57110.40N/AN/A15589596575
2017-05-09$23.55$0.0026.8%3.1%3.9%19.2%0.0%-4.5%4.0%-4.7K109.7K-4.2K0.5786.41N/AN/A15589626605
2017-05-10$23.52$0.0013.9%4.0%3.8%4.1%0.0%-5.1%-2.8%-2.7K96.7K-4.5K0.60104.89N/AN/A14889626605
2017-05-11$23.53$0.0011.6%3.3%3.7%1.4%0.0%-3.0%35.8%-10.7K174.9K-3.9K0.4188.80N/AN/A14860629605
2017-05-12$23.52$0.0012.3%3.5%3.5%2.3%0.0%-3.5%-2.9%-7.9K170.4K-4.2K0.50104.65N/AN/A11960629606
2017-05-15$23.53$0.0012.8%3.7%3.5%2.9%0.0%-3.6%-1.4%-9.4K177.7K-4.0K0.50103.82N/AN/A11960630606
2017-05-16$23.54$0.0013.0%3.7%3.5%3.1%0.0%-3.5%-3.5%-6.4K169.6K-4.1K0.50104.14N/AN/A11960630606
2017-05-17$23.51$0.0012.8%3.7%3.2%2.9%0.0%-3.7%-3.5%-17.5K178.5K-3.5K0.50103.75N/AN/A11960630606
2017-05-18$23.55$0.0012.8%3.7%2.1%2.9%0.0%-3.0%-4.9%-4.0K149.9K-4.0K0.50104.24N/AN/A11960630606
2017-05-19$23.52$0.0013.3%3.8%1.6%3.4%0.0%-3.7%-2.6%-9.7K167.2K-3.9K0.50104.50N/AN/A11960630606
2017-05-22$23.53$0.0014.0%4.0%1.6%4.2%0.0%-3.7%-3.2%-8.0K155.1K-3.8K0.4166.20N/AN/A11647624584
2017-05-23$23.52$0.0013.7%3.9%1.6%3.9%0.0%-3.5%36.7%-3.2K159.6K-4.0K0.4149.38N/AN/A11647624587
2017-05-24$23.69$0.0014.8%4.3%3.0%5.2%0.0%-1.6%-5.1%5.0K95.3K-4.0K0.4163.51N/AN/A11647624587
2017-05-25$23.59$0.0014.5%4.2%3.4%4.9%0.0%-2.9%-1.5%-3.9K140.1K-3.7K0.4164.59N/AN/A11647624587
2017-05-26$23.57$0.0014.4%4.1%3.3%4.7%0.0%-2.8%37.2%-2.3K141.6K-3.8K0.4164.42N/AN/A11647624587
2017-05-30$23.54$0.0016.2%4.6%3.4%6.8%0.0%-3.6%-4.1%-8.5K163.1K-3.6K0.4164.36N/AN/A11647624587
2017-05-31$23.62$0.0016.9%4.8%3.6%7.6%0.0%-2.6%39.0%3.8K118.8K-3.9K0.41103.17N/AN/A11647624587