SNOW Options History — May 2021 In May 2021, SNOW traded between $188.76 and $243.42. ATM implied volatility averaged 61.9%, placing in the 53.7% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 4.5% (HV 20d: 57.4%). Max pain ranged from $225.00 to $250.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.66.
Notable Days 2021-05-27 : Highest Volume — 169,351 contracts2021-05-27 : Largest IV drop — 14.4% change2021-05-12 : Highest IV Rank — 62.6%2021-05-19 : Largest Expected Move — 19.9%Monthly Statistics Metric Avg Min Max Open Close Price $217.86 $188.76 $243.42 $224.43 $238.90 Max Pain $233.00 $225.00 $250.00 $250.00 $230.00 ATM IV 61.9% 46.9% 70.5% 60.5% 46.9% Expected Move 17.1% 13.4% 19.9% 13.4% 13.4% HV 20d 57.4% 38.7% 67.8% 38.7% 67.7% HV 60d 59.7% 54.9% 63.2% 54.9% 60.3% IV Rank 53.7% 38.0% 62.6% 52.2% 38.0% IV Percentile 47.2% 19.8% 61.1% 48.8% 19.8% Term Structure -2.1% -3.8% -0.1% -1.9% -0.1% VWIV 61.3% 48.7% 70.0% 48.7% 48.9% Skew 25d -0.1% -4.0% 2.8% -4.0% -3.5% Skew 10d 0.4% -7.7% 5.6% -7.7% -6.1% Call IV 25d 63.6% 49.9% 71.6% 62.3% 49.9% Put IV 25d 63.5% 46.4% 74.3% 58.3% 46.4% Bid-Ask Spread % 13.46 7.12 34.75 31.24 10.55 Gamma HHI 0.05 0.04 0.12 0.05 0.12 Net GEX 4.4M -18.9M 49.9M -6.7M 49.9M Net DEX 209.2M -822.1M 1.06B 350.9M -723.2M Net VEX -7.2M -8.0M -6.1M -7.1M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.66 0.26 1.17 0.58 0.33 Total Volume 53,643.95 17,351 169,351 27,322 85,106 Total OI 286,865.15 233,206 318,304 256,619 297,698
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 2021-05-03 $224.43 $250.00 60.5% 13.4% 38.7% 52.2% 48.7% -4.0% -1.9% -6.7M 350.9M -7.1M 0.58 31.24 N/A N/A 17,334 9,988 141,782 114,837 2021-05-04 $217.26 $250.00 59.9% 14.5% 39.4% 51.6% 52.8% -3.3% -0.6% -11.8M 574.3M -6.9M 0.50 34.75 N/A N/A 22,317 11,229 146,917 119,900 2021-05-05 $212.83 $250.00 57.9% 13.6% 39.8% 49.5% 49.2% -3.4% -2.0% -18.9M 719.4M -6.9M 0.80 31.74 N/A N/A 9,625 7,726 156,425 123,241 2021-05-06 $198.44 $235.00 65.0% 17.7% 45.8% 57.0% 63.2% 0.4% -1.9% -17.0M 1.06B -6.3M 1.05 8.47 N/A N/A 33,322 34,966 157,884 125,729 2021-05-07 $205.74 $230.00 60.9% 16.6% 46.9% 52.7% 59.1% -0.8% -2.6% -12.8M 783.0M -6.9M 1.17 8.52 N/A N/A 26,081 30,553 169,059 133,354 2021-05-10 $193.85 $230.00 65.4% 17.8% 49.0% 57.3% 64.4% 1.7% -2.6% -13.7M 1.02B -6.1M 1.04 8.32 N/A N/A 20,084 20,850 155,897 126,730 2021-05-11 $202.54 $230.00 63.6% 17.2% 51.2% 55.5% 62.2% 2.2% -3.8% -9.7M 791.6M -6.8M 0.76 9.40 N/A N/A 24,423 18,611 164,429 134,223 2021-05-12 $191.90 $230.00 70.5% 19.4% 52.3% 62.6% 69.9% 2.8% -2.5% -10.5M 1.01B -6.3M 0.81 8.91 N/A N/A 15,148 12,331 167,713 133,414 2021-05-13 $188.76 $230.00 68.6% 19.0% 50.2% 60.7% 68.0% 2.4% -2.4% -10.2M 1.05B -6.2M 0.94 7.57 N/A N/A 14,989 14,103 174,646 134,417 2021-05-14 $209.74 $230.00 65.9% 18.3% 65.0% 57.8% 64.8% -1.2% -3.6% 7.1M 376.2M -7.4M 0.37 7.12 N/A N/A 63,204 23,395 178,715 136,066 2021-05-17 $213.15 $225.00 66.9% 19.0% 65.3% 59.0% 68.7% 0.4% -2.9% 1.8M 303.4M -7.6M 0.26 12.21 N/A N/A 37,986 9,816 171,195 128,765 2021-05-18 $224.78 $230.00 65.7% 18.7% 67.8% 57.7% 68.3% -0.9% -2.4% 10.8M -141.1M -8.0M 0.37 11.18 N/A N/A 55,738 20,655 175,366 131,000 2021-05-19 $227.10 $230.00 69.4% 19.9% 66.8% 61.5% 70.0% 1.2% -2.9% 10.2M -191.4M -8.0M 0.54 11.93 N/A N/A 31,520 17,053 173,933 134,720 2021-05-20 $230.93 $230.00 66.5% 19.2% 67.1% 58.5% 68.0% 0.8% -3.3% 13.5M -327.9M -8.0M 0.37 11.86 N/A N/A 38,329 14,228 176,756 137,025 2021-05-21 $233.65 $230.00 62.6% 18.2% 67.0% 54.4% 64.5% 2.2% -2.4% 22.0M -426.9M -7.9M 0.66 10.82 N/A N/A 24,558 16,276 179,141 139,163 2021-05-24 $234.78 $230.00 59.0% 17.5% 66.8% 50.7% 63.0% 0.9% -1.2% 13.9M -481.1M -7.7M 0.70 9.34 N/A N/A 16,774 11,728 132,020 101,186 2021-05-25 $229.96 $230.00 57.9% 17.2% 67.2% 49.6% 61.2% 0.7% -2.5% 10.5M -286.2M -7.5M 0.90 9.99 N/A N/A 14,837 13,327 134,591 105,365 2021-05-26 $235.13 $230.00 56.9% 17.1% 67.7% 48.5% 60.8% 0.6% -0.7% 16.2M -459.7M -7.7M 0.59 12.57 N/A N/A 41,180 24,138 139,594 109,251 2021-05-27 $243.42 $230.00 48.7% 14.3% 67.4% 39.9% 51.2% -1.4% -0.5% 43.1M -822.1M -7.8M 0.50 12.62 N/A N/A 113,048 56,303 155,043 120,113 2021-05-28 $238.90 $230.00 46.9% 13.4% 67.7% 38.0% 48.9% -3.5% -0.1% 49.9M -723.2M -7.9M 0.33 10.55 N/A N/A 63,874 21,232 170,046 127,652
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