SNOW Options History — January 2021

In January 2021, SNOW traded between $268.27 and $302.88. ATM implied volatility averaged 70.7%, placing in the 62.9% IV rank vs the trailing year. The 30-day expected move averaged 19.9%. IV traded above realized volatility by 6.2% (HV 20d: 64.5%). Max pain ranged from $295.00 to $300.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 11 of 19 days. Put/call ratio averaged 0.47.

Notable Days

  • 2021-01-08: Highest Volume — 148,095 contracts
  • 2021-01-08: Largest IV spike — 16.0% change
  • 2021-01-08: Highest IV Rank — 72.5%
  • 2021-01-11: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$286.12$268.27$302.88$278.76$271.80
Max Pain$298.29$295.00$300.00$300.00$295.00
ATM IV70.7%61.8%79.9%70.2%71.1%
Expected Move19.9%17.6%22.0%19.5%20.0%
HV 20d64.5%53.0%74.1%74.1%62.2%
HV 60d78.9%73.5%82.9%78.6%73.5%
IV Rank62.9%53.6%72.5%62.4%63.3%
IV Percentile71.4%62.3%84.5%72.6%71.0%
Term Structure0.3%-2.2%3.9%0.5%3.9%
VWIV72.5%66.3%79.9%69.0%74.2%
Skew 25d-8.2%-12.7%0.1%-1.9%-9.5%
Skew 10d-12.7%-18.5%-0.3%-2.4%-16.6%
Call IV 25d76.9%68.7%85.8%72.1%77.3%
Put IV 25d68.8%60.1%76.4%70.2%67.8%
Bid-Ask Spread %28.3017.1242.5326.2841.45
Gamma HHI0.050.030.110.050.06
Net GEX-786.0K-16.1M14.9M-12.9M-13.1M
Net DEX33.0M-300.0M564.6M405.5M195.9M
Net VEX-4.5M-4.8M-3.7M-3.8M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.470.190.830.710.67
Total Volume50,719.42116,788148,09539,02827,591
Total OI161,936.368134,869196,282139,691170,981

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-01-04$278.76$300.0070.2%19.5%74.1%62.4%69.0%-1.9%0.5%-12.9M405.5M-3.8M0.7126.28N/AN/A22,78116,24766,71172,980
2021-01-05$283.04$300.0070.3%19.6%53.0%62.5%69.4%-2.9%-0.5%-9.2M317.1M-3.9M0.4826.73N/AN/A30,77714,78572,36476,946
2021-01-06$268.27$300.0068.4%18.8%53.7%60.5%66.3%0.1%0.0%-16.1M564.6M-3.7M0.8335.03N/AN/A27,96623,16176,45679,783
2021-01-07$302.88$295.0068.9%19.1%72.8%61.0%67.2%-2.6%-1.1%10.2M-240.3M-4.4M0.4425.32N/AN/A89,63039,44184,20586,161
2021-01-08$299.26$295.0079.9%21.5%70.8%72.5%77.1%-9.4%-2.0%14.9M-214.6M-4.5M0.3219.86N/AN/A112,49335,60293,13288,564
2021-01-11$293.18$300.0079.3%22.0%70.5%71.8%78.7%-9.2%-2.2%3.7M-60.9M-4.5M0.3617.38N/AN/A37,13913,25088,54974,723
2021-01-12$293.34$300.0077.2%21.6%69.7%69.7%76.7%-10.7%-1.5%1.3M-40.4M-4.4M0.4217.12N/AN/A30,89613,06792,01479,743
2021-01-13$296.80$300.0075.5%21.1%65.0%67.9%75.5%-9.9%-1.9%4.4M-109.1M-4.7M0.3317.21N/AN/A34,50411,35595,72384,564
2021-01-14$302.01$300.0076.3%21.5%65.2%68.8%78.6%-11.7%-1.4%13.8M-300.0M-4.8M0.1920.61N/AN/A75,87114,589100,64086,584
2021-01-15$291.56$300.0071.9%20.4%65.6%64.1%74.5%-10.1%-0.9%-6.1M-7.1M-4.7M0.5024.35N/AN/A29,94914,898108,29487,988
2021-01-19$285.85$300.0068.2%19.5%65.7%60.3%71.9%-8.8%0.9%1.5M-42.2M-4.6M0.6124.95N/AN/A16,1749,82268,28766,582
2021-01-20$282.71$300.0062.6%18.0%65.1%54.5%66.4%-8.8%1.4%-762.5K32.4M-4.5M0.6532.64N/AN/A14,8269,59973,00671,035
2021-01-21$285.74$300.0063.8%18.3%62.3%55.7%67.4%-8.1%0.5%1.8M-27.3M-4.6M0.4629.82N/AN/A15,9517,31777,11274,888
2021-01-22$285.85$300.0061.8%17.6%62.3%53.6%66.7%-8.6%0.8%2.5M-35.6M-4.6M0.6126.66N/AN/A20,60712,49181,37376,800
2021-01-25$286.52$295.0067.8%19.5%62.4%59.9%72.4%-9.9%2.7%1.9M-82.9M-4.7M0.3831.64N/AN/A30,49211,73169,70671,186
2021-01-26$284.18$297.5068.2%19.4%61.5%60.3%71.6%-9.9%1.7%2.3M-49.7M-4.8M0.3237.23N/AN/A12,7134,07578,00875,849
2021-01-27$268.63$295.0071.7%20.7%61.0%64.0%79.9%-12.7%2.4%-8.7M227.8M-4.6M0.3040.81N/AN/A38,33011,59380,28977,493
2021-01-28$275.88$295.0069.9%20.1%62.1%62.1%74.8%-10.4%1.7%-6.2M93.5M-4.8M0.4242.53N/AN/A22,5469,41086,90481,168
2021-01-29$271.80$295.0071.1%20.0%62.2%63.3%74.2%-9.5%3.9%-13.1M195.9M-4.7M0.6741.45N/AN/A16,52611,06588,18682,795