SNOW Options History — November 2020 In November 2020, SNOW traded between $233.86 and $329.47. ATM implied volatility averaged 79.0%, placing in the 71.5% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 4.0% (HV 20d: 75.0%). Max pain ranged from $245.00 to $260.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.64.
Notable Days 2020-11-25 : Highest Volume — 60,265 contracts2020-11-27 : Largest IV spike — 17.7% change2020-11-27 : Highest IV Rank — 86.1%2020-11-27 : Largest Expected Move — 30.4%Monthly Statistics Metric Avg Min Max Open Close Price $263.69 $233.86 $329.47 $252.00 $319.50 Max Pain $249.75 $245.00 $260.00 $245.00 $260.00 ATM IV 79.0% 71.4% 93.0% 80.3% 92.3% Expected Move 22.7% 19.6% 30.4% 21.4% 30.1% HV 20d 75.0% 57.2% 83.6% 76.2% 62.0% HV 60d 468.1% 467.6% 468.5% 467.7% 468.2% IV Rank 71.5% 63.6% 86.1% 72.9% 85.5% IV Percentile 88.8% 82.1% 97.2% 92.1% 96.0% Term Structure -2.6% -4.2% -1.2% -1.2% -1.5% VWIV 79.8% 69.3% 107.7% 76.0% 106.3% Skew 25d -4.0% -6.2% -0.4% -3.0% -1.9% Skew 10d -7.7% -11.1% -3.3% -5.4% -6.6% Call IV 25d 82.2% 73.9% 100.6% 86.9% 89.8% Put IV 25d 78.1% 68.3% 95.1% 83.9% 87.8% Bid-Ask Spread % 25.33 18.87 42.70 34.48 27.07 Gamma HHI 0.07 0.04 0.19 0.05 0.07 Net GEX 3.4M -11.3M 13.4M -1.1M 7.7M Net DEX -163.7M -801.1M 189.5M -47.9M -476.6M Net VEX -1.5M -1.8M -1.3M -1.4M -1.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.64 0.33 1.19 0.72 0.79 Total Volume 23,263.35 10,353 60,265 11,579 20,015 Total OI 69,854.8 54,330 85,979 59,912 69,375
Daily Data (20 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 2020-11-02 $252.00 $245.00 80.3% 21.4% 76.2% 72.9% 76.0% -3.0% -1.2% -1.1M -47.9M -1.4M 0.72 34.48 N/A N/A 6,738 4,841 27,476 32,436 2020-11-03 $263.10 $245.00 82.0% 20.6% 77.3% 74.7% 73.4% -1.1% -2.4% 2.0M -142.0M -1.3M 0.60 42.70 N/A N/A 6,465 3,888 27,476 32,436 2020-11-04 $262.90 $245.00 81.2% 19.6% 77.1% 73.8% 69.3% -0.4% -2.8% 2.4M -146.8M -1.3M 0.73 42.37 N/A N/A 7,804 5,690 29,534 35,533 2020-11-05 $263.88 $250.00 78.6% 22.1% 76.1% 71.2% 77.1% -3.3% -1.9% 3.4M -151.9M -1.3M 0.69 19.21 N/A N/A 9,343 6,486 30,787 34,927 2020-11-06 $263.93 $250.00 79.9% 22.3% 76.1% 72.5% 78.0% -3.8% -3.1% 1.4M -149.6M -1.4M 0.50 20.04 N/A N/A 22,690 11,390 34,195 39,515 2020-11-09 $240.37 $250.00 80.0% 22.3% 83.5% 72.6% 78.7% -1.9% -1.3% -2.4M 88.2M -1.3M 0.43 18.87 N/A N/A 21,696 9,386 34,708 31,408 2020-11-10 $235.52 $250.00 80.2% 22.2% 83.2% 72.8% 79.2% -4.8% -2.3% -3.5M 145.3M -1.4M 0.75 20.36 N/A N/A 11,039 8,234 41,079 34,337 2020-11-11 $239.69 $250.00 76.4% 21.4% 83.0% 68.8% 75.5% -5.0% -1.5% -2.8M 104.1M -1.4M 0.71 20.69 N/A N/A 7,355 5,199 42,869 36,355 2020-11-12 $233.86 $250.00 77.2% 21.7% 83.2% 69.6% 75.5% -6.2% -1.6% -5.8M 178.6M -1.4M 1.02 20.57 N/A N/A 7,595 7,713 44,096 37,948 2020-11-13 $234.49 $250.00 74.7% 21.1% 83.1% 67.0% 74.6% -3.8% -1.5% -11.3M 189.5M -1.4M 1.19 24.19 N/A N/A 6,803 8,126 45,821 40,158 2020-11-16 $241.31 $245.00 76.9% 21.8% 83.6% 69.4% 77.1% -3.7% -3.0% -924.1K -7.3M -1.4M 0.43 25.89 N/A N/A 15,159 6,572 31,415 31,666 2020-11-17 $246.21 $245.00 77.1% 22.0% 83.6% 69.5% 78.1% -4.6% -3.7% 2.8M -73.2M -1.4M 0.55 24.29 N/A N/A 12,060 6,618 34,786 33,260 2020-11-18 $260.63 $245.00 77.0% 22.1% 82.0% 69.4% 77.6% -4.6% -2.3% 7.8M -234.3M -1.5M 0.45 22.48 N/A N/A 21,948 9,846 35,795 34,768 2020-11-19 $263.85 $250.00 76.6% 22.2% 74.7% 69.0% 76.9% -4.9% -3.2% 12.2M -305.9M -1.5M 0.56 23.57 N/A N/A 16,641 9,248 40,013 35,715 2020-11-20 $265.04 $250.00 74.4% 21.7% 64.7% 66.7% 76.2% -5.3% -3.8% 13.4M -303.2M -1.5M 0.47 23.68 N/A N/A 17,200 8,013 41,446 38,435 2020-11-23 $272.29 $250.00 71.4% 21.9% 61.3% 63.6% 75.1% -5.6% -3.6% 7.6M -250.4M -1.5M 1.09 23.09 N/A N/A 7,191 7,862 26,944 27,386 2020-11-24 $281.02 $250.00 71.5% 21.8% 57.2% 63.7% 76.1% -5.4% -4.2% 12.6M -339.7M -1.6M 0.51 23.96 N/A N/A 12,492 6,312 29,203 31,671 2020-11-25 $304.76 $255.00 79.0% 25.0% 63.7% 71.5% 88.0% -5.7% -3.9% 12.6M -550.0M -1.6M 0.38 24.11 N/A N/A 43,574 16,691 30,440 34,484 2020-11-27 $329.47 $260.00 93.0% 30.4% 68.0% 86.1% 107.7% -5.5% -3.0% 9.9M -801.1M -1.7M 0.33 25.03 N/A N/A 37,186 12,158 37,183 40,017 2020-11-30 $319.50 $260.00 92.3% 30.1% 62.0% 85.5% 106.3% -1.9% -1.5% 7.7M -476.6M -1.8M 0.79 27.07 N/A N/A 11,175 8,840 34,940 34,435
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