SNOW Options History — February 2021

In February 2021, SNOW traded between $260.09 and $316.40. ATM implied volatility averaged 80.0%, placing in the 72.6% IV rank vs the trailing year. The 30-day expected move averaged 22.4%. IV traded above realized volatility by 30.5% (HV 20d: 49.5%). Max pain ranged from $290.00 to $300.00. Net GEX was positive for 13 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2021-02-09: Highest Volume — 118,957 contracts
2021-02-02: Largest IV spike — 5.9% change
2021-02-10: Highest IV Rank — 80.4%
2021-02-11: Largest Expected Move — 24.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$289.82	$260.09	$316.40	$281.07	$260.85
Max Pain	$294.21	$290.00	$300.00	$290.00	$290.00
ATM IV	80.0%	69.4%	87.5%	80.1%	69.4%
Expected Move	22.4%	19.3%	24.1%	19.3%	21.5%
HV 20d	49.5%	41.9%	63.9%	58.9%	48.6%
HV 60d	72.3%	69.1%	74.7%	73.3%	69.1%
IV Rank	72.6%	61.6%	80.4%	72.7%	61.6%
IV Percentile	80.6%	60.7%	92.5%	85.3%	60.7%
Term Structure	-3.1%	-4.8%	-1.9%	-2.2%	-4.5%
VWIV	80.6%	73.4%	87.4%	73.4%	77.9%
Skew 25d	-9.1%	-13.4%	-2.8%	-8.6%	-2.8%
Skew 10d	-14.5%	-22.4%	-2.8%	-16.5%	-2.8%
Call IV 25d	87.2%	74.7%	97.0%	90.6%	74.7%
Put IV 25d	78.1%	71.9%	83.9%	82.0%	71.9%
Bid-Ask Spread %	18.88	8.16	43.88	43.88	21.84
Gamma HHI	0.05	0.03	0.16	0.04	0.16
Net GEX	8.5M	-21.4M	36.3M	2.7M	-21.4M
Net DEX	-203.6M	-997.5M	502.2M	-53.1M	502.2M
Net VEX	-5.1M	-5.7M	-4.5M	-4.7M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.18	0.91	0.33	0.56
Total Volume	46,160.105	20,589	118,957	23,580	39,687
Total OI	181,207.947	139,738	219,792	146,595	166,361

Daily Data (19 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
2021-02-01	$281.07	$290.00	80.1%	19.3%	58.9%	72.7%	73.4%	-8.6%	-2.2%	2.7M	-53.1M	-4.7M	0.33	43.88	N/A	N/A	17,690	5,890	71,584	75,011
2021-02-02	$301.79	$290.00	84.8%	21.4%	63.9%	77.6%	78.8%	-11.5%	-2.2%	16.6M	-506.9M	-5.0M	0.18	39.05	N/A	N/A	97,799	17,276	76,690	76,482
2021-02-03	$302.58	$300.00	85.5%	19.7%	63.7%	78.3%	74.3%	-11.2%	-2.4%	29.3M	-636.0M	-5.3M	0.22	40.82	N/A	N/A	61,502	13,312	97,584	79,147
2021-02-04	$301.70	$290.00	82.8%	22.7%	60.1%	75.5%	82.0%	-10.3%	-2.1%	27.4M	-554.2M	-5.2M	0.43	8.16	N/A	N/A	20,540	8,749	102,042	82,357
2021-02-05	$304.91	$290.00	84.1%	23.1%	42.1%	76.9%	81.2%	-11.5%	-2.7%	32.7M	-650.3M	-5.2M	0.48	8.43	N/A	N/A	19,960	9,541	104,328	83,837
2021-02-08	$303.05	$290.00	84.7%	23.2%	41.9%	77.5%	81.9%	-11.9%	-3.1%	23.1M	-556.5M	-5.1M	0.43	9.12	N/A	N/A	28,917	12,439	95,415	76,422
2021-02-09	$316.40	$290.00	85.0%	23.4%	43.7%	77.8%	82.6%	-13.4%	-3.6%	36.3M	-997.5M	-5.4M	0.29	14.34	N/A	N/A	92,337	26,620	103,595	80,829
2021-02-10	$305.72	$295.00	87.5%	23.8%	45.7%	80.4%	85.0%	-12.7%	-4.6%	28.1M	-658.8M	-5.7M	0.35	13.97	N/A	N/A	47,930	16,926	115,755	90,946
2021-02-11	$299.33	$295.00	87.3%	24.1%	46.3%	80.2%	87.4%	-13.1%	-4.3%	14.7M	-414.4M	-5.7M	0.36	11.01	N/A	N/A	31,538	11,254	121,861	94,696
2021-02-12	$297.83	$295.00	85.4%	23.5%	45.9%	78.2%	84.5%	-12.2%	-4.8%	2.7M	-271.4M	-5.6M	0.60	13.49	N/A	N/A	20,911	12,486	122,935	96,857
2021-02-16	$293.66	$300.00	81.9%	23.3%	44.4%	74.6%	84.4%	-11.7%	-1.9%	8.0M	-234.4M	-5.2M	0.49	11.63	N/A	N/A	20,971	10,256	106,416	88,658
2021-02-17	$287.63	$300.00	77.1%	22.1%	44.4%	69.6%	79.1%	-11.1%	-2.5%	-1.9M	-27.2M	-5.0M	0.91	13.87	N/A	N/A	16,369	14,857	110,030	92,400
2021-02-18	$291.21	$300.00	76.5%	22.1%	44.4%	68.9%	79.3%	-9.3%	-3.4%	4.4M	-117.5M	-4.9M	0.32	15.54	N/A	N/A	33,457	10,640	111,343	93,447
2021-02-19	$287.93	$300.00	75.0%	21.8%	44.5%	67.4%	76.9%	-6.3%	-3.2%	3.2M	-169.5K	-4.9M	0.62	17.93	N/A	N/A	22,315	13,943	115,440	94,496
2021-02-22	$269.14	$300.00	73.9%	22.1%	50.6%	66.3%	78.4%	-3.5%	-3.5%	-9.0M	266.5M	-4.5M	0.87	14.04	N/A	N/A	22,641	19,635	71,662	68,076
2021-02-23	$268.97	$295.00	73.3%	22.7%	50.6%	65.6%	81.7%	-4.6%	-3.0%	-11.6M	319.8M	-4.7M	0.90	21.46	N/A	N/A	16,968	15,204	76,576	77,386
2021-02-24	$272.70	$290.00	72.0%	22.4%	50.9%	64.2%	79.4%	-4.4%	-2.4%	-9.2M	229.2M	-4.8M	0.51	19.06	N/A	N/A	13,611	6,978	79,258	79,806
2021-02-25	$260.09	$290.00	73.6%	23.2%	49.7%	65.9%	83.6%	-3.2%	-2.2%	-14.0M	492.6M	-4.6M	0.77	20.99	N/A	N/A	14,655	11,238	81,313	81,910
2021-02-26	$260.85	$290.00	69.4%	21.5%	48.6%	61.6%	77.9%	-2.8%	-4.5%	-21.4M	502.2M	-4.6M	0.56	21.84	N/A	N/A	25,391	14,296	82,872	83,489