SNOW Options History — July 2017

In July 2017, SNOW traded between $23.71 and $23.77. ATM implied volatility averaged 51.4%, placing in the 44.1% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 49.0% (HV 20d: 2.3%). Max pain ranged from $22.50 to $22.50. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.27.

Notable Days

  • 2017-07-03: Highest Volume — 188 contracts
  • 2017-07-06: Largest IV spike — 399.1% change
  • 2017-07-10: Highest IV Rank — 100.0%
  • 2017-07-31: Largest Expected Move — 21.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$23.72$23.71$23.77$23.73$23.75
Max Pain$22.50$22.50$22.50$22.50$22.50
ATM IV51.4%12.8%106.3%17.2%74.0%
Expected Move12.3%3.7%21.2%4.9%21.2%
HV 20d2.3%1.2%3.4%3.3%1.3%
HV 60d4.1%2.8%12.8%12.8%2.9%
IV Rank44.1%2.5%100.0%7.9%66.4%
IV Percentile60.9%2.0%100.0%8.7%98.0%
Term Structure-0.4%-9.4%26.0%-9.4%5.1%
VWIV25.1%24.7%25.4%24.7%25.4%
Skew 25d28.7%-95.8%89.5%-1.6%12.5%
Skew 10d45.9%-42.2%136.5%3.3%13.2%
Call IV 25d46.2%7.7%145.9%13.2%145.9%
Put IV 25d75.0%8.7%158.4%11.6%158.4%
Bid-Ask Spread %85.1131.16115.5870.45114.48
Gamma HHI0.500.500.510.510.50
Net GEX5.0K-4.8K15.2K11.6K3.8K
Net DEX37.8K-20.8K69.0K38.2K47.6K
Net VEX-3.1K-4.3K-2.5K-3.8K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.200.330.330.20
Total Volume177.15161188188161
Total OI1,186.61,0621,2411,2411,062

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2017-07-03$23.73$22.5017.2%4.9%3.3%7.9%24.7%-1.6%-9.4%11.6K38.2K-3.8K0.3370.45N/AN/A14147654587
2017-07-05$23.77$22.5017.4%5.0%3.4%8.2%25.4%-0.9%-3.9%13.5K21.3K-3.8K0.3370.95N/AN/A14147654587
2017-07-06$23.72$0.0086.8%14.9%3.4%89.7%0.0%82.4%26.0%12.7K-20.8K-4.3K0.3398.07N/AN/A14147654587
2017-07-07$23.72$0.0089.9%14.2%3.3%93.3%0.0%76.5%6.1%13.8K13.8K-4.0K0.3397.10N/AN/A14147654587
2017-07-10$23.73$0.00100.4%15.7%2.5%100.0%0.0%86.3%26.0%15.2K1.6K-4.1K0.2896.50N/AN/A14140654587
2017-07-11$23.72$0.00106.3%15.9%2.6%100.0%0.0%87.0%-5.2%11.1K21.6K-3.5K0.2896.62N/AN/A14140654586
2017-07-12$23.71$0.0056.2%16.1%2.6%47.7%0.0%88.8%-5.4%10.6K25.4K-3.5K0.2896.80N/AN/A14140654586
2017-07-13$23.71$0.0057.0%16.3%2.6%48.6%0.0%89.5%-5.6%9.2K34.7K-3.4K0.2897.29N/AN/A14140654586
2017-07-14$23.72$0.0013.1%3.8%2.6%2.9%0.0%0.4%-5.7%-1.8K51.4K-2.7K0.2887.83N/AN/A14340654586
2017-07-17$23.74$0.0012.8%3.7%2.6%2.5%0.0%-1.0%-6.2%-2.3K46.0K-2.6K0.2831.55N/AN/A14340653586
2017-07-18$23.72$0.0013.1%3.8%2.6%2.8%0.0%-1.2%-6.6%-4.6K50.0K-2.6K0.2831.51N/AN/A14340653586
2017-07-19$23.72$0.0013.3%3.8%2.5%3.1%0.0%-1.4%-6.8%-4.8K49.2K-2.5K0.2832.38N/AN/A14340653586
2017-07-20$23.73$0.0012.9%3.7%2.3%2.7%0.0%-0.8%-5.9%-3.5K41.6K-2.5K0.2831.16N/AN/A14340653586
2017-07-21$23.71$0.0064.0%18.4%2.3%55.9%0.0%57.6%-6.4%3.9K29.5K-2.9K0.27104.24N/AN/A14640653586
2017-07-24$23.71$0.0016.6%4.8%2.2%6.5%0.0%-95.8%-4.1%75369.0K-2.7K0.2096.32N/AN/A13427548514
2017-07-25$23.72$0.0069.2%19.8%1.3%61.3%0.0%62.2%-4.4%3.6K56.8K-2.8K0.20103.93N/AN/A13427548514
2017-07-26$23.72$0.0070.6%20.3%1.2%62.8%0.0%11.2%-4.6%2.2K58.1K-2.8K0.20115.58N/AN/A13427548514
2017-07-27$23.72$0.0067.3%19.3%1.2%59.4%0.0%11.3%4.9%2.3K59.1K-2.8K0.20114.70N/AN/A13427548514
2017-07-28$23.71$0.0069.0%19.8%1.2%61.1%0.0%11.6%4.7%1.7K62.0K-2.8K0.20114.70N/AN/A13427548514
2017-07-31$23.75$0.0074.0%21.2%1.3%66.4%0.0%12.5%5.1%3.8K47.6K-2.7K0.20114.48N/AN/A13427548514