SNOW Options History — October 2020 In October 2020, SNOW traded between $229.79 and $294.68. ATM implied volatility averaged 68.4%, placing in the 60.5% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 435.8% (HV 20d: 504.2%). Max pain ranged from $235.00 to $245.00. Net GEX was positive for 17 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.62.
Notable Days 2020-10-22 : Highest Volume — 104,721 contracts2020-10-22 : Largest IV spike — 19.4% change2020-10-01 : Highest IV Rank — 78.6%2020-10-29 : Largest Expected Move — 24.8%Monthly Statistics Metric Avg Min Max Open Close Price $251.11 $229.79 $294.68 $239.99 $247.01 Max Pain $240.91 $235.00 $245.00 $240.00 $245.00 ATM IV 68.4% 46.5% 85.8% 85.8% 79.9% Expected Move 19.8% 13.3% 24.8% 21.5% 22.8% HV 20d 504.2% 50.1% 807.0% 806.1% 76.8% HV 60d 466.2% 465.7% 467.7% 465.7% 467.7% IV Rank 60.5% 37.6% 78.6% 78.6% 72.5% IV Percentile 87.0% 66.3% 94.8% 94.8% 92.1% Term Structure 1.0% -6.5% 6.9% 3.6% 0.9% VWIV 70.3% 47.5% 87.7% 76.3% 83.3% Skew 25d -1.2% -4.5% 2.4% -0.8% 0.9% Skew 10d -2.4% -11.2% 2.7% -3.6% -5.4% Call IV 25d 69.5% 47.4% 88.3% 81.8% 78.4% Put IV 25d 68.3% 45.7% 84.2% 81.0% 79.3% Bid-Ask Spread % 21.90 6.34 36.84 20.92 29.02 Gamma HHI 0.08 0.04 0.28 0.06 0.10 Net GEX 2.9M -8.0M 11.6M 1.6M -3.3M Net DEX -132.6M -685.4M 136.9M -49.5M 136.9M Net VEX -1.0M -1.6M -582.0K -582.0K -1.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.62 0.34 1.19 0.76 0.94 Total Volume 30,059 9,825 104,721 29,897 38,681 Total OI 58,584.409 39,355 87,610 49,197 87,610
Daily Data (22 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 2020-10-01 $239.99 $240.00 85.8% 21.5% 806.1% 78.6% 76.3% -0.8% 3.6% 1.6M -49.5M -582.0K 0.76 20.92 N/A N/A 16,964 12,933 29,309 19,888 2020-10-02 $229.79 $240.00 82.9% 21.1% 807.0% 75.6% 76.1% -2.5% 6.9% 199.7K 94.0M -619.2K 0.59 18.21 N/A N/A 20,076 11,877 30,872 23,918 2020-10-05 $238.10 $240.00 78.8% 23.5% 806.5% 71.4% 82.5% 0.2% 3.8% 5.2M -124.2M -732.5K 0.38 6.34 N/A N/A 14,919 5,646 23,235 18,853 2020-10-06 $243.02 $240.00 74.3% 21.9% 806.1% 66.6% 78.2% 0.1% 2.9% 5.5M -164.5M -772.4K 0.64 17.63 N/A N/A 9,356 5,950 25,624 21,213 2020-10-07 $247.91 $235.00 70.8% 21.3% 805.8% 63.0% 74.3% 1.5% 4.9% 7.7M -182.6M -816.4K 0.69 8.83 N/A N/A 5,803 4,022 25,746 23,288 2020-10-08 $240.69 $240.00 65.0% 19.3% 806.4% 57.0% 69.5% 2.4% 2.2% 3.0M -82.7M -808.3K 0.83 9.07 N/A N/A 7,217 5,986 25,330 24,307 2020-10-09 $239.86 $240.00 59.8% 17.6% 806.5% 51.5% 63.2% -1.7% 1.6% -8.0M -67.4M -794.4K 1.19 15.02 N/A N/A 6,923 8,239 25,860 26,117 2020-10-12 $243.92 $240.00 57.8% 17.2% 806.2% 49.4% 61.1% -1.7% 1.6% 1.7M -54.1M -799.1K 0.53 9.35 N/A N/A 12,517 6,673 17,437 21,918 2020-10-13 $250.02 $240.00 54.8% 16.4% 805.8% 46.3% 58.3% -3.6% 2.8% 7.0M -121.7M -869.3K 0.77 13.85 N/A N/A 6,725 5,193 22,475 24,964 2020-10-14 $243.27 $240.00 51.9% 15.7% 806.4% 43.3% 55.7% -3.7% 2.4% 796.2K -38.0M -888.6K 0.69 15.09 N/A N/A 8,038 5,545 24,345 26,545 2020-10-15 $239.30 $240.00 53.5% 15.2% 806.7% 44.9% 53.9% -0.6% -1.1% -5.1M 22.4M -887.7K 0.70 21.46 N/A N/A 8,579 5,994 26,302 28,544 2020-10-16 $242.04 $240.00 46.5% 13.3% 806.5% 37.6% 47.5% -1.7% -0.8% -4.9M -77.4M -875.2K 0.76 28.37 N/A N/A 9,242 6,978 29,937 30,054 2020-10-19 $245.33 $240.00 52.3% 15.0% 806.3% 43.7% 52.7% 0.3% 0.1% 3.5M -77.0M -951.7K 0.48 35.14 N/A N/A 10,714 5,159 18,980 20,836 2020-10-20 $250.40 $240.00 56.4% 16.2% 50.1% 48.0% 57.0% 0.6% -1.1% 6.8M -145.0M -996.0K 0.42 36.84 N/A N/A 9,845 4,113 22,187 23,209 2020-10-21 $269.19 $240.00 64.0% 18.4% 55.2% 55.9% 64.7% -0.7% 0.3% 10.7M -372.7M -1.0M 0.34 32.96 N/A N/A 35,331 11,916 25,225 24,612 2020-10-22 $294.68 $240.00 76.5% 22.1% 61.0% 68.9% 77.5% -1.1% -6.5% 11.6M -685.4M -1.1M 0.41 35.99 N/A N/A 74,066 30,655 33,095 28,611 2020-10-23 $265.14 $240.00 76.6% 22.3% 74.0% 69.0% 77.5% -0.8% -4.7% 3.5M -137.2M -1.3M 0.51 25.44 N/A N/A 63,221 32,443 42,597 40,699 2020-10-26 $249.76 $245.00 76.6% 22.5% 71.1% 69.0% 80.6% -3.1% -0.0% -305.6K -11.0M -1.4M 0.51 22.76 N/A N/A 26,174 13,248 38,951 33,825 2020-10-27 $267.92 $245.00 77.2% 22.5% 75.1% 69.6% 81.0% -4.5% 0.2% 4.1M -240.6M -1.6M 0.38 22.10 N/A N/A 31,631 11,892 41,029 38,742 2020-10-28 $270.68 $245.00 82.0% 24.5% 74.7% 74.6% 87.7% -0.8% 2.3% 7.5M -303.8M -1.6M 0.53 30.15 N/A N/A 18,813 9,985 45,271 40,072 2020-10-29 $266.42 $245.00 82.4% 24.8% 73.2% 75.1% 87.3% -4.3% -1.1% 4.1M -234.6M -1.6M 0.64 27.20 N/A N/A 13,446 8,570 46,341 40,884 2020-10-30 $247.01 $245.00 79.9% 22.8% 76.8% 72.5% 83.3% 0.9% 0.9% -3.3M 136.9M -1.4M 0.94 29.02 N/A N/A 19,895 18,786 45,132 42,478
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