SNOW Options History — June 2021 In June 2021, SNOW traded between $238.42 and $251.36. ATM implied volatility averaged 45.4%, placing in the 35.6% IV rank vs the trailing year. The 30-day expected move averaged 12.9%. IV traded above realized volatility by 4.4% (HV 20d: 41.0%). Max pain ranged from $220.00 to $240.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.37.
Notable Days 2021-06-07 : Highest Volume — 91,944 contracts2021-06-25 : Largest IV drop — 7.8% change2021-06-07 : Highest IV Rank — 40.8%2021-06-02 : Largest Expected Move — 14.4%Monthly Statistics Metric Avg Min Max Open Close Price $245.30 $238.42 $251.36 $241.20 $241.44 Max Pain $232.50 $220.00 $240.00 $230.00 $240.00 ATM IV 45.4% 40.9% 50.2% 48.4% 42.3% Expected Move 12.9% 11.5% 14.4% 14.3% 11.8% HV 20d 41.0% 25.9% 66.5% 66.5% 26.6% HV 60d 50.3% 46.2% 59.8% 59.8% 46.2% IV Rank 35.6% 30.1% 40.8% 39.7% 31.6% IV Percentile 17.8% 11.9% 28.6% 23.8% 11.9% Term Structure 0.1% -0.9% 0.7% -0.1% 0.6% VWIV 46.5% 41.3% 52.4% 51.0% 43.0% Skew 25d -2.7% -5.0% -1.2% -2.3% -1.4% Skew 10d -5.6% -10.4% -2.6% -5.1% -2.8% Call IV 25d 48.0% 42.2% 53.4% 51.2% 44.3% Put IV 25d 45.3% 41.0% 49.4% 48.9% 42.9% Bid-Ask Spread % 16.38 11.28 31.61 13.70 13.99 Gamma HHI 0.06 0.04 0.17 0.05 0.04 Net GEX 31.9M -6.3M 55.6M 34.9M 12.0M Net DEX -647.9M -1.05B -303.2M -649.5M -303.2M Net VEX -7.9M -8.4M -7.6M -7.9M -7.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.37 0.17 0.92 0.30 0.43 Total Volume 41,740.818 25,683 91,944 44,768 32,385 Total OI 260,107.955 213,075 302,035 247,632 241,927
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 2021-06-01 $241.20 $230.00 48.4% 14.3% 66.5% 39.7% 51.0% -2.3% -0.1% 34.9M -649.5M -7.9M 0.30 13.70 N/A N/A 34,370 10,398 145,493 102,139 2021-06-02 $242.72 $230.00 48.9% 14.4% 65.2% 40.1% 52.4% -3.1% 0.1% 43.2M -722.3M -7.9M 0.28 12.33 N/A N/A 40,730 11,215 151,215 105,881 2021-06-03 $238.42 $220.00 48.8% 13.9% 65.0% 40.1% 49.3% -3.6% -0.1% 34.4M -505.4M -7.8M 0.33 17.22 N/A N/A 30,480 10,025 157,543 109,703 2021-06-04 $241.85 $225.00 47.6% 13.4% 58.6% 38.6% 49.0% -4.0% -0.9% 35.5M -667.5M -7.8M 0.36 15.18 N/A N/A 30,810 11,064 159,274 112,010 2021-06-07 $250.99 $225.00 50.2% 14.2% 58.6% 40.8% 50.9% -4.0% -0.3% 38.1M -988.9M -7.9M 0.24 11.28 N/A N/A 74,026 17,918 145,962 104,607 2021-06-08 $250.57 $225.00 49.6% 14.0% 52.9% 40.2% 50.5% -4.2% -0.7% 48.9M -1.05B -8.2M 0.31 15.35 N/A N/A 33,256 10,168 162,813 109,978 2021-06-09 $247.01 $230.00 49.1% 14.0% 52.4% 39.6% 50.5% -4.4% -0.1% 42.6M -861.9M -8.1M 0.27 13.13 N/A N/A 38,528 10,309 166,898 113,148 2021-06-10 $249.11 $230.00 46.3% 13.2% 46.6% 36.6% 47.1% -5.0% -0.1% 53.9M -1.02B -8.4M 0.31 12.88 N/A N/A 25,718 8,002 178,020 116,794 2021-06-11 $239.96 $230.00 45.0% 12.8% 48.9% 35.2% 46.5% -3.4% -0.3% -6.3M -430.2M -8.0M 0.55 13.19 N/A N/A 47,701 26,098 182,697 119,338 2021-06-14 $242.92 $230.00 43.5% 12.5% 34.3% 33.7% 45.3% -2.9% 0.2% 27.6M -634.0M -8.0M 0.51 15.46 N/A N/A 20,566 10,554 160,759 113,906 2021-06-15 $240.83 $230.00 44.3% 12.7% 34.6% 34.5% 45.6% -2.5% -0.1% 21.9M -490.3M -7.8M 0.92 15.09 N/A N/A 13,391 12,292 163,076 116,869 2021-06-16 $239.03 $235.00 43.9% 12.6% 30.1% 34.1% 45.1% -2.3% 0.5% 14.8M -369.6M -7.8M 0.45 18.27 N/A N/A 19,596 8,834 164,845 122,623 2021-06-17 $245.62 $235.00 44.5% 12.7% 31.2% 34.7% 45.9% -1.7% 0.2% 40.6M -755.8M -7.9M 0.38 15.67 N/A N/A 35,302 13,469 169,833 124,428 2021-06-18 $247.90 $235.00 44.3% 12.7% 30.9% 34.5% 45.5% -1.6% 0.4% 55.6M -844.5M -7.9M 0.37 16.55 N/A N/A 21,629 7,989 177,721 123,894 2021-06-21 $246.63 $235.00 43.4% 12.4% 30.9% 33.6% 44.0% -1.9% 0.5% 24.6M -459.1M -7.6M 0.33 19.54 N/A N/A 20,184 6,619 123,103 89,972 2021-06-22 $247.93 $235.00 44.8% 12.7% 30.9% 35.1% 46.0% -2.4% 0.2% 28.0M -542.8M -7.8M 0.20 15.30 N/A N/A 45,303 9,165 126,875 91,601 2021-06-23 $248.55 $235.00 44.0% 12.3% 29.6% 33.7% 44.8% -2.0% 0.3% 32.3M -601.7M -8.1M 0.31 14.88 N/A N/A 25,321 7,801 137,143 96,356 2021-06-24 $251.36 $240.00 44.4% 12.5% 29.0% 33.8% 44.7% -2.5% 0.4% 42.2M -718.0M -8.1M 0.17 31.61 N/A N/A 34,757 5,944 139,383 98,665 2021-06-25 $249.64 $240.00 40.9% 11.5% 26.7% 30.1% 41.3% -1.2% 0.7% 31.5M -639.2M -7.9M 0.35 18.05 N/A N/A 25,862 9,163 145,171 99,417 2021-06-28 $247.40 $240.00 42.6% 12.0% 25.9% 31.8% 42.9% -1.2% -0.1% 24.6M -537.1M -7.9M 0.37 18.06 N/A N/A 20,524 7,553 131,056 91,200 2021-06-29 $245.51 $240.00 41.4% 11.6% 26.0% 30.6% 42.0% -1.2% 0.0% 21.5M -457.0M -7.8M 0.49 23.74 N/A N/A 22,328 10,951 134,159 94,880 2021-06-30 $241.44 $240.00 42.3% 11.8% 26.6% 31.6% 43.0% -1.4% 0.6% 12.0M -303.2M -7.9M 0.43 13.99 N/A N/A 22,644 9,741 141,247 100,680
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