SNOW Options History — June 2017

In June 2017, SNOW traded between $23.57 and $23.74. ATM implied volatility averaged 36.2%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 10.6%. IV traded above realized volatility by 32.4% (HV 20d: 3.8%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.39.

Notable Days

  • 2017-06-30: Highest Volume — 188 contracts
  • 2017-06-12: Largest IV spike — 92.5% change
  • 2017-06-26: Highest IV Rank — 52.1%
  • 2017-06-26: Largest Expected Move — 15.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.64$23.57$23.74$23.63$23.74
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV36.2%15.6%54.8%18.1%15.9%
Expected Move10.6%3.9%15.7%5.2%4.5%
HV 20d3.8%3.1%4.3%3.5%3.3%
HV 60d20.8%14.3%29.9%29.9%14.3%
IV Rank30.3%6.1%52.1%9.0%6.4%
IV Percentile47.5%6.7%94.0%8.3%7.1%
Term Structure-45.2%-78.2%37.5%37.5%-17.4%
VWIV44.1%21.0%80.9%54.8%22.3%
Skew 25d-3.2%-10.2%3.8%-2.8%-3.5%
Skew 10d7.5%-4.5%11.2%10.5%-1.0%
Call IV 25d15.9%10.1%19.3%15.0%12.3%
Put IV 25d12.7%6.3%20.8%12.2%8.8%
Bid-Ask Spread %88.6865.12106.52104.1569.07
Gamma HHI0.500.500.550.500.55
Net GEX1.7K-23.0K8.7K5.5K-23.0K
Net DEX93.9K56.7K146.4K112.1K63.7K
Net VEX-3.6K-4.0K-1.6K-4.0K-1.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.330.410.410.33
Total Volume167.909163188163188
Total OI1,214.7731,2111,2261,2111,226

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-06-01$23.63$0.0018.1%5.2%3.5%9.0%0.0%-2.8%37.5%5.5K112.1K-4.0K0.41104.15N/AN/A11647624587
2017-06-02$23.61$0.0018.9%5.4%3.5%10.0%0.0%-3.5%37.0%2.3K123.9K-3.9K0.4165.12N/AN/A11647624587
2017-06-05$23.59$22.5020.6%10.4%3.5%12.0%54.8%-6.9%-53.6%1.2K132.6K-3.8K0.4184.81N/AN/A11647624587
2017-06-06$23.59$22.5022.5%3.9%3.5%14.3%21.0%-3.8%-8.9%-3.3K141.9K-3.7K0.4180.91N/AN/A11647624587
2017-06-07$23.63$22.5022.4%10.6%3.6%14.1%59.0%-8.1%-55.8%2.7K116.9K-3.8K0.4196.92N/AN/A11647624587
2017-06-08$23.70$22.5024.1%10.6%3.7%16.1%57.2%-5.8%-55.3%8.7K86.8K-3.9K0.4196.85N/AN/A11647624587
2017-06-09$23.57$22.5025.0%9.0%4.2%17.1%49.1%-6.8%-45.8%-4.6K146.4K-3.6K0.4189.89N/AN/A11647624587
2017-06-12$23.58$22.5048.1%11.2%4.2%44.2%32.0%1.0%-50.7%29891.0K-3.9K0.41106.52N/AN/A11647624587
2017-06-13$23.59$22.5048.5%10.1%4.2%44.7%29.7%-4.0%-48.4%9290.2K-3.8K0.41106.04N/AN/A11647624587
2017-06-14$23.60$22.5035.8%10.3%4.2%29.9%30.1%-4.0%-48.6%1.8K98.1K-3.7K0.41101.18N/AN/A11647624587
2017-06-15$23.59$22.5035.5%10.2%4.2%29.4%29.9%-4.0%-47.7%89988.4K-3.9K0.41101.40N/AN/A11647624587
2017-06-16$23.58$22.5037.8%10.8%4.2%32.2%31.5%-7.8%-56.3%-377111.8K-3.7K0.4182.97N/AN/A11647624587
2017-06-19$23.61$22.5048.8%14.0%4.1%45.1%45.0%1.4%-65.4%2.8K73.8K-4.0K0.4090.98N/AN/A11747624587
2017-06-20$23.66$22.5049.4%14.2%4.2%45.8%45.6%3.0%-65.7%5.6K56.7K-3.9K0.4090.20N/AN/A11747625587
2017-06-21$23.60$22.5050.4%14.5%4.3%47.0%46.2%1.3%-68.6%1.7K80.8K-3.8K0.3790.06N/AN/A12747625587
2017-06-22$23.63$22.5051.2%14.7%3.5%47.9%47.1%1.2%-69.0%4.1K63.0K-3.8K0.3790.22N/AN/A12747635587
2017-06-23$23.62$22.5052.1%14.9%3.1%49.0%48.0%1.7%-69.7%4.2K70.3K-3.8K0.3790.40N/AN/A12747635587
2017-06-26$23.74$22.5054.8%15.7%3.5%52.1%50.4%3.8%-73.0%8.4K65.1K-3.3K0.3789.95N/AN/A12747635587
2017-06-27$23.71$22.5049.6%14.2%3.5%46.0%79.3%-10.2%-74.8%7.3K80.2K-3.3K0.3775.64N/AN/A12747635587
2017-06-28$23.72$22.5050.6%14.5%3.4%47.2%80.9%-10.1%-78.2%6.1K79.1K-3.2K0.3775.64N/AN/A12747635587
2017-06-29$23.72$22.5015.6%4.5%3.4%6.1%22.5%-1.6%-16.7%6.1K92.2K-3.4K0.3672.05N/AN/A13147635587
2017-06-30$23.74$22.5015.9%4.5%3.3%6.4%22.3%-3.5%-17.4%-23.0K63.7K-1.6K0.3369.07N/AN/A14147639587