SNOW Options History — April 2021 In April 2021, SNOW traded between $223.95 and $238.94. ATM implied volatility averaged 48.5%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 0.9% (HV 20d: 49.4%). Max pain ranged from $237.50 to $270.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.39.
Notable Days 2021-04-14 : Highest Volume — 84,150 contracts2021-04-15 : Largest IV drop — 7.8% change2021-04-30 : Highest IV Rank — 44.4%2021-04-01 : Largest Expected Move — 14.5%Monthly Statistics Metric Avg Min Max Open Close Price $233.35 $223.95 $238.94 $236.57 $231.98 Max Pain $259.40 $237.50 $270.00 $237.50 $250.00 ATM IV 48.5% 45.1% 53.0% 50.3% 53.0% Expected Move 13.4% 12.5% 14.5% 14.5% 12.9% HV 20d 49.4% 37.3% 72.6% 72.6% 37.3% HV 60d 57.1% 54.5% 62.2% 62.2% 54.5% IV Rank 39.7% 36.2% 44.4% 41.6% 44.4% IV Percentile 32.7% 28.6% 40.5% 35.7% 40.5% Term Structure 1.5% -2.9% 6.6% 0.1% 5.3% VWIV 49.3% 45.9% 53.2% 51.8% 46.1% Skew 25d -3.3% -6.0% -0.0% -2.0% -3.3% Skew 10d -8.4% -14.6% -1.8% -3.9% -7.5% Call IV 25d 51.1% 45.9% 54.5% 52.6% 52.9% Put IV 25d 47.9% 45.0% 51.0% 50.6% 49.6% Bid-Ask Spread % 24.42 17.25 39.20 39.20 33.96 Gamma HHI 0.06 0.04 0.15 0.06 0.04 Net GEX 16.5M -3.3M 41.2M 19.7M 6.1M Net DEX -30.9M -253.5M 249.0M -225.0M 96.7M Net VEX -6.8M -7.3M -6.2M -6.9M -7.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.39 0.15 0.68 0.19 0.59 Total Volume 38,492.571 10,379 84,150 54,132 43,949 Total OI 248,596.143 220,419 283,454 251,323 265,889
Daily Data (21 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 2021-04-01 $236.57 $237.50 50.3% 14.5% 72.6% 41.6% 51.8% -2.0% 0.1% 19.7M -225.0M -6.9M 0.19 39.20 N/A N/A 45,313 8,819 140,538 110,785 2021-04-05 $232.66 $270.00 49.9% 14.1% 71.6% 41.2% 53.0% -2.4% 0.9% 13.6M -14.6M -6.6M 0.42 18.97 N/A N/A 7,285 3,094 126,743 104,564 2021-04-06 $236.81 $270.00 48.6% 13.6% 57.5% 39.8% 49.6% -0.8% 0.4% 22.9M -118.4M -6.6M 0.22 17.53 N/A N/A 23,474 5,127 131,102 106,631 2021-04-07 $234.32 $270.00 48.3% 13.3% 51.0% 39.6% 49.7% -1.4% -1.7% 20.6M -13.1M -6.4M 0.23 25.73 N/A N/A 26,063 6,057 136,138 108,166 2021-04-08 $235.59 $270.00 48.3% 13.2% 50.6% 39.6% 47.9% -0.0% -2.9% 28.5M -96.9M -6.6M 0.15 20.43 N/A N/A 62,591 9,093 142,055 109,631 2021-04-09 $226.60 $265.00 45.4% 12.9% 50.0% 36.5% 46.7% -0.3% -0.0% -2.2M 249.0M -6.2M 0.66 20.49 N/A N/A 34,450 22,867 150,010 112,629 2021-04-12 $233.08 $265.00 47.6% 13.4% 49.7% 38.8% 48.7% -1.4% -1.6% 19.2M -29.7M -6.4M 0.35 18.70 N/A N/A 29,213 10,337 140,450 107,253 2021-04-13 $238.94 $265.00 47.5% 13.3% 49.2% 38.8% 48.6% -3.0% -1.6% 34.4M -253.5M -6.9M 0.23 17.25 N/A N/A 50,664 11,739 146,171 110,797 2021-04-14 $228.92 $260.00 50.7% 14.0% 51.2% 42.1% 51.7% -4.7% -2.2% 15.7M 89.6M -6.6M 0.15 21.07 N/A N/A 73,033 11,117 153,707 111,710 2021-04-15 $236.11 $260.00 46.8% 13.2% 52.0% 37.9% 49.2% -6.0% -1.5% 41.2M -197.3M -7.1M 0.50 23.65 N/A N/A 21,722 10,777 165,799 114,977 2021-04-16 $233.04 $260.00 45.1% 13.1% 48.4% 36.2% 47.0% -5.7% 1.0% 10.1M -30.3M -6.9M 0.68 23.74 N/A N/A 19,628 13,337 165,573 117,881 2021-04-19 $229.16 $260.00 47.8% 13.7% 48.7% 39.0% 50.9% -4.6% 2.1% 11.9M 48.8M -6.8M 0.38 22.95 N/A N/A 21,484 8,264 127,364 93,055 2021-04-20 $223.95 $260.00 50.1% 14.3% 49.5% 41.4% 53.2% -4.4% 3.2% 4.4M 202.8M -6.7M 0.50 21.04 N/A N/A 17,033 8,552 135,203 97,306 2021-04-21 $231.67 $255.00 48.1% 13.8% 50.7% 39.3% 51.8% -4.0% 1.9% 14.8M -3.9M -6.9M 0.35 22.11 N/A N/A 14,184 4,976 136,778 100,304 2021-04-22 $231.48 $255.00 50.0% 14.2% 47.4% 41.3% 52.3% -5.2% 1.4% 14.7M -4.7M -6.9M 0.45 25.32 N/A N/A 25,620 11,509 139,434 101,846 2021-04-23 $235.03 $255.00 46.9% 13.1% 46.3% 38.0% 49.1% -4.9% 3.3% 28.2M -115.3M -7.1M 0.58 23.74 N/A N/A 13,442 7,762 143,853 103,363 2021-04-26 $238.59 $255.00 47.1% 12.8% 40.2% 38.3% 48.0% -4.1% 6.6% 12.8M -158.0M -7.0M 0.31 21.75 N/A N/A 26,591 8,151 129,791 97,398 2021-04-27 $238.92 $255.00 48.7% 13.0% 37.6% 39.9% 46.8% -3.4% 5.8% 17.5M -186.0M -7.1M 0.41 29.92 N/A N/A 21,911 8,963 137,263 100,494 2021-04-28 $237.72 $255.00 47.9% 12.5% 37.6% 39.2% 45.9% -3.9% 5.3% 14.7M -99.7M -7.2M 0.37 30.46 N/A N/A 12,140 4,456 141,743 105,775 2021-04-29 $229.26 $255.00 49.7% 13.0% 38.6% 41.0% 46.9% -3.2% 5.3% -3.3M 211.1M -6.9M 0.53 34.84 N/A N/A 28,390 15,167 143,101 107,249 2021-04-30 $231.98 $250.00 53.0% 12.9% 37.3% 44.4% 46.1% -3.3% 5.3% 6.1M 96.7M -7.3M 0.59 33.96 N/A N/A 27,644 16,305 151,706 114,183
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