SNOW Options History — December 2020 In December 2020, SNOW traded between $281.96 and $392.24. ATM implied volatility averaged 80.5%, placing in the 73.1% IV rank vs the trailing year. The 30-day expected move averaged 23.4%. IV traded below realized volatility by 10.2% (HV 20d: 90.8%). Max pain ranged from $260.00 to $375.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 7 of 22 days. Put/call ratio averaged 0.68.
Notable Days 2020-12-04 : Highest Volume — 304,566 contracts2020-12-04 : Largest IV spike — 19.9% change2020-12-08 : Highest IV Rank — 90.6%2020-12-02 : Largest Expected Move — 28.5%Monthly Statistics Metric Avg Min Max Open Close Price $335.83 $281.96 $392.24 $306.65 $281.96 Max Pain $335.23 $260.00 $375.00 $260.00 $340.00 ATM IV 80.5% 66.3% 97.3% 83.7% 69.6% Expected Move 23.4% 19.6% 28.5% 28.2% 20.4% HV 20d 90.8% 64.8% 97.8% 64.8% 93.0% HV 60d 273.9% 77.2% 470.7% 468.5% 78.7% IV Rank 73.1% 58.3% 90.6% 76.5% 61.7% IV Percentile 85.0% 70.6% 98.4% 93.3% 72.6% Term Structure -0.9% -3.5% 2.0% 1.6% 1.1% VWIV 83.1% 70.1% 100.7% 100.7% 72.7% Skew 25d -5.3% -8.5% -1.5% -6.2% -1.5% Skew 10d -7.5% -12.8% 0.6% -9.1% -3.1% Call IV 25d 84.5% 69.0% 101.9% 87.2% 70.7% Put IV 25d 79.2% 65.2% 95.8% 81.0% 69.1% Bid-Ask Spread % 25.88 17.50 42.26 25.77 27.53 Gamma HHI 0.06 0.03 0.15 0.05 0.13 Net GEX 2.6M -24.0M 45.8M 5.1M -24.0M Net DEX -332.3M -1.64B 565.4M -358.9M 565.4M Net VEX -3.5M -4.2M -1.9M -1.9M -3.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.68 0.32 1.20 0.86 1.20 Total Volume 81,509.5 17,037 304,566 17,037 63,777 Total OI 144,397.636 76,568 186,783 76,568 155,540
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 2020-12-01 $306.65 $260.00 83.7% 28.2% 64.8% 76.5% 100.7% -6.2% 1.6% 5.1M -358.9M -1.9M 0.86 25.77 N/A N/A 9,159 7,878 37,626 38,942 2020-12-02 $290.82 $265.00 83.3% 28.5% 67.2% 76.0% 99.9% -2.2% -1.0% 1.8M -207.5M -2.0M 1.00 29.36 N/A N/A 27,235 27,299 40,726 42,263 2020-12-03 $337.53 $290.00 76.0% 21.3% 84.3% 68.4% 75.0% -4.3% -1.5% 19.8M -833.5M -2.0M 0.68 29.62 N/A N/A 84,407 57,316 54,407 56,157 2020-12-04 $385.37 $305.00 91.1% 24.3% 94.4% 84.2% 87.1% -6.4% -3.5% 45.8M -1.64B -2.2M 0.56 30.66 N/A N/A 195,770 108,796 66,853 67,647 2020-12-07 $389.41 $325.00 87.2% 24.2% 94.2% 80.1% 85.2% -6.1% -3.5% 15.8M -1.03B -2.9M 0.70 21.62 N/A N/A 48,662 34,037 55,010 60,049 2020-12-08 $392.24 $340.00 97.3% 26.9% 84.4% 90.6% 94.6% -6.8% -2.7% 17.0M -1.06B -3.2M 0.63 22.83 N/A N/A 101,198 63,965 63,937 69,794 2020-12-09 $370.01 $370.00 96.3% 26.5% 88.1% 89.6% 93.7% -3.5% -3.3% 4.5M -553.4M -3.8M 0.88 20.30 N/A N/A 55,219 48,358 83,380 84,378 2020-12-10 $373.84 $370.00 95.7% 26.8% 88.2% 89.0% 94.3% -2.8% -2.9% 12.4M -688.1M -4.0M 0.42 17.50 N/A N/A 55,156 23,236 91,592 89,502 2020-12-11 $358.50 $375.00 91.2% 25.8% 89.6% 84.3% 91.5% -8.2% -2.0% -10.7M -276.5M -3.8M 0.67 18.79 N/A N/A 62,137 41,494 94,061 91,108 2020-12-14 $330.96 $370.00 84.0% 24.0% 96.4% 76.8% 86.5% -7.2% -2.4% -7.1M -503.4K -3.6M 0.89 25.04 N/A N/A 37,931 33,629 63,297 74,092 2020-12-15 $324.24 $350.00 80.2% 22.9% 97.2% 72.8% 81.5% -8.5% -0.8% -10.5M 83.8M -3.7M 0.60 19.63 N/A N/A 69,818 41,994 69,887 82,932 2020-12-16 $330.01 $350.00 81.6% 23.4% 97.2% 74.2% 84.3% -7.5% -0.6% 3.4M -283.7M -4.0M 0.38 22.03 N/A N/A 47,251 18,173 86,190 88,006 2020-12-17 $325.79 $345.00 78.8% 22.7% 96.3% 71.3% 80.4% -6.6% -1.2% 5.3M -180.5M -4.0M 0.58 22.75 N/A N/A 24,754 14,427 92,264 90,109 2020-12-18 $331.49 $340.00 79.8% 22.9% 96.4% 72.4% 82.4% -7.4% -0.3% 3.4M -322.1M -4.1M 0.32 22.03 N/A N/A 65,499 20,740 94,388 92,395 2020-12-21 $347.43 $340.00 78.9% 23.0% 97.1% 71.4% 81.4% -7.0% -0.5% 13.6M -533.8M -4.2M 0.48 24.45 N/A N/A 39,256 18,901 67,332 67,366 2020-12-22 $341.91 $340.00 73.2% 21.4% 97.5% 65.5% 76.7% -6.2% 0.1% 12.1M -423.4M -4.2M 0.47 25.10 N/A N/A 35,833 16,702 74,173 72,177 2020-12-23 $335.62 $340.00 70.6% 20.5% 97.8% 62.8% 73.3% -5.3% 0.4% 1.8M -229.1M -4.1M 0.61 25.04 N/A N/A 17,628 10,802 74,120 75,084 2020-12-24 $323.98 $340.00 68.3% 19.7% 95.1% 60.4% 70.1% -3.2% 2.0% -14.2M 22.8M -4.0M 0.88 26.79 N/A N/A 15,114 13,240 75,450 77,541 2020-12-28 $304.86 $340.00 66.3% 19.6% 93.3% 58.3% 70.8% -3.9% 0.6% -13.8M 247.4M -3.6M 0.71 40.68 N/A N/A 32,842 23,320 56,769 67,989 2020-12-29 $303.55 $340.00 68.7% 20.7% 92.8% 60.8% 73.4% -3.6% 0.2% -11.8M 190.3M -4.0M 0.68 42.26 N/A N/A 30,322 20,497 67,051 73,382 2020-12-30 $302.07 $340.00 69.5% 20.6% 91.7% 61.6% 73.3% -2.5% -0.2% -12.9M 206.1M -4.0M 0.87 29.48 N/A N/A 15,739 13,698 74,500 77,282 2020-12-31 $281.96 $340.00 69.6% 20.4% 93.0% 61.7% 72.7% -1.5% 1.1% -24.0M 565.4M -3.8M 1.20 27.53 N/A N/A 29,044 34,733 76,894 78,646
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