SNOW Options History — September 2020

In September 2020, SNOW traded between $222.36 and $254.90. ATM implied volatility averaged 91.4%, placing in the 84.5% IV rank vs the trailing year. The 30-day expected move averaged 26.1%. IV traded below realized volatility by 714.3% (HV 20d: 805.7%). Max pain ranged from $230.00 to $240.00. Net GEX was positive for 6 of 7 trading days. Term structure was in contango for 1 of 7 days. Put/call ratio averaged 0.77.

Notable Days

2020-09-30: Highest Volume — 37,104 contracts
2020-09-23: Largest IV spike — 11.2% change
2020-09-28: Highest IV Rank — 92.2%
2020-09-28: Largest Expected Move — 29.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$237.60	$222.36	$254.90	$229.99	$250.10
Max Pain	$235.00	$230.00	$240.00	$230.00	$240.00
ATM IV	91.4%	83.5%	98.8%	83.5%	88.2%
Expected Move	26.1%	23.9%	29.4%	23.9%	24.0%
HV 20d	805.7%	804.7%	806.6%	805.9%	805.1%
HV 60d	465.4%	465.3%	465.5%	465.3%	465.5%
IV Rank	84.5%	76.2%	92.2%	76.2%	81.1%
IV Percentile	97.4%	95.6%	98.8%	96.8%	95.6%
Term Structure	-1.1%	-5.3%	3.8%	-2.7%	3.8%
VWIV	92.4%	83.9%	103.5%	83.9%	85.7%
Skew 25d	-0.3%	-3.0%	1.9%	1.9%	-3.0%
Skew 10d	1.5%	-3.4%	7.0%	4.8%	-0.9%
Call IV 25d	93.6%	82.2%	101.3%	82.2%	92.6%
Put IV 25d	93.3%	84.1%	101.6%	84.1%	89.5%
Bid-Ask Spread %	20.19	13.90	26.27	14.57	24.62
Gamma HHI	0.07	0.06	0.08	0.08	0.08
Net GEX	2.2M	0	6.8M	0	6.8M
Net DEX	-75.0M	-201.9M	0	0	-201.9M
Net VEX	-291.7K	-547.7K	0	0	-547.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.77	0.49	1.31	0.91	0.49
Total Volume	15,069.143	4,783	37,104	4,790	37,104
Total OI	16,807.143	0	41,255	0	41,255

Daily Data (7 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	P/C	Spread %	Call Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2020-09-22	$229.99	$0.00	83.5%	23.9%	805.9%	76.2%	83.9%	1.9%	-2.7%	0	0	0	0.91	14.57	N/A	N/A	2,514	2,276	0	0
2020-09-23	$227.59	$230.00	92.8%	26.6%	806.1%	86.0%	95.0%	-1.1%	-5.3%	148.5K	-9.7M	-112.5K	0.53	13.90	N/A	N/A	7,519	3,951	2,239	1,982
2020-09-24	$222.36	$235.00	92.9%	27.4%	806.6%	86.0%	97.6%	-0.9%	-0.5%	367.1K	-12.7M	-244.2K	0.96	19.22	N/A	N/A	3,649	3,519	5,891	4,058
2020-09-25	$228.53	$235.00	89.8%	25.6%	806.1%	82.8%	91.0%	-0.0%	-1.8%	880.0K	-29.8M	-304.6K	1.31	24.22	N/A	N/A	2,070	2,713	7,881	5,798
2020-09-28	$249.75	$235.00	98.8%	29.4%	805.1%	92.2%	103.5%	0.3%	-0.6%	1.7M	-74.3M	-347.8K	0.55	18.54	N/A	N/A	15,277	8,406	8,784	7,147
2020-09-29	$254.90	$235.00	93.9%	25.5%	804.7%	87.1%	89.9%	0.9%	-0.3%	5.9M	-196.7M	-485.3K	0.62	26.27	N/A	N/A	10,162	6,324	19,730	12,885
2020-09-30	$250.10	$240.00	88.2%	24.0%	805.1%	81.1%	85.7%	-3.0%	3.8%	6.8M	-201.9M	-547.7K	0.49	24.62	N/A	N/A	24,846	12,258	25,300	15,955