SNOW Options History — July 2021 In July 2021, SNOW traded between $237.34 and $269.97. ATM implied volatility averaged 45.7%, placing in the 35.2% IV rank vs the trailing year. The 30-day expected move averaged 12.4%. IV traded above realized volatility by 9.8% (HV 20d: 35.9%). Max pain ranged from $240.00 to $250.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.26.
Notable Days 2021-07-09 : Highest Volume — 286,649 contracts2021-07-26 : Largest IV spike — 11.7% change2021-07-27 : Highest IV Rank — 41.8%2021-07-19 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $257.16 $237.34 $269.97 $237.34 $265.42 Max Pain $249.05 $240.00 $250.00 $240.00 $250.00 ATM IV 45.7% 39.0% 51.9% 42.3% 51.4% Expected Move 12.4% 10.3% 13.3% 11.5% 12.2% HV 20d 35.9% 21.9% 42.5% 26.5% 41.5% HV 60d 47.0% 45.6% 47.9% 46.3% 46.5% IV Rank 35.2% 28.1% 41.8% 31.5% 41.3% IV Percentile 17.6% 9.1% 32.5% 11.5% 31.7% Term Structure 1.2% -2.2% 7.0% 0.3% 0.6% VWIV 44.8% 37.7% 47.1% 41.4% 44.0% Skew 25d -2.1% -4.7% -0.2% -1.9% -0.2% Skew 10d -3.7% -8.4% 0.9% -3.5% 0.9% Call IV 25d 48.1% 40.6% 54.4% 44.2% 52.5% Put IV 25d 46.0% 39.5% 53.4% 42.2% 52.3% Bid-Ask Spread % 13.43 9.77 18.06 11.77 12.31 Gamma HHI 0.07 0.04 0.15 0.04 0.10 Net GEX 43.5M -4.5M 81.8M -758.4K 54.4M Net DEX -828.7M -1.76B -139.7M -139.7M -990.9M Net VEX -8.4M -8.9M -7.5M -7.8M -8.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.26 0.10 0.48 0.43 0.21 Total Volume 75,590.19 18,548 286,649 25,630 48,582 Total OI 268,590.19 235,034 321,492 248,522 289,882
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 2021-07-01 $237.34 $240.00 42.3% 11.5% 26.5% 31.5% 41.4% -1.9% 0.3% -758.4K -139.7M -7.8M 0.43 11.77 N/A N/A 17,887 7,743 145,001 103,521 2021-07-02 $237.73 $240.00 39.0% 10.3% 26.0% 28.1% 37.7% -1.1% 0.7% -4.5M -148.7M -7.7M 0.47 9.77 N/A N/A 16,724 7,864 148,060 105,496 2021-07-06 $238.47 $250.00 41.2% 12.0% 21.9% 30.4% 44.3% -1.4% 0.9% 10.4M -206.3M -7.5M 0.48 16.51 N/A N/A 12,517 6,031 135,940 99,094 2021-07-07 $248.02 $250.00 43.7% 12.2% 26.5% 33.0% 43.6% -2.7% 0.1% 29.9M -592.8M -7.9M 0.26 18.06 N/A N/A 44,004 11,283 138,799 101,735 2021-07-08 $249.11 $250.00 43.6% 12.3% 26.0% 32.9% 44.9% -2.9% -0.3% 49.4M -668.1M -8.0M 0.15 16.45 N/A N/A 95,505 14,480 148,356 105,097 2021-07-09 $268.74 $250.00 46.0% 13.0% 37.3% 35.5% 46.3% -4.6% -0.3% 59.6M -1.76B -8.3M 0.17 12.05 N/A N/A 245,465 41,184 157,797 106,676 2021-07-12 $265.06 $250.00 45.5% 12.8% 34.7% 34.9% 45.7% -4.7% -0.6% 60.1M -1.28B -8.5M 0.20 13.76 N/A N/A 75,325 14,933 158,204 106,647 2021-07-13 $265.62 $250.00 45.9% 12.9% 34.6% 35.4% 47.1% -3.8% -0.7% 69.5M -1.33B -8.7M 0.11 15.06 N/A N/A 161,246 17,237 168,134 111,418 2021-07-14 $253.13 $250.00 45.3% 12.6% 39.1% 34.7% 45.2% -2.9% -2.2% 29.1M -580.9M -8.4M 0.29 15.88 N/A N/A 64,942 18,703 178,408 115,780 2021-07-15 $250.42 $250.00 44.8% 12.6% 39.3% 34.2% 45.6% -2.8% -1.2% 25.8M -460.1M -8.3M 0.46 13.29 N/A N/A 53,748 24,522 188,434 117,833 2021-07-16 $250.74 $250.00 43.7% 12.3% 38.1% 33.1% 45.2% -2.1% -1.5% 22.7M -475.4M -8.4M 0.44 15.49 N/A N/A 26,327 11,548 196,778 124,714 2021-07-19 $251.68 $250.00 46.4% 13.3% 38.0% 35.9% 46.9% -0.8% 4.7% 21.3M -451.9M -8.4M 0.29 14.21 N/A N/A 28,523 8,184 148,041 102,089 2021-07-20 $258.15 $250.00 43.9% 12.5% 38.9% 33.2% 45.5% -1.6% 5.0% 39.3M -721.1M -8.5M 0.21 11.44 N/A N/A 33,978 7,138 151,009 104,610 2021-07-21 $259.66 $250.00 43.6% 12.5% 38.9% 32.9% 45.0% -2.0% 5.0% 46.4M -796.4M -8.5M 0.17 11.22 N/A N/A 45,507 7,810 154,782 105,788 2021-07-22 $267.52 $250.00 44.8% 12.5% 40.2% 34.3% 44.6% -2.0% 6.1% 81.8M -1.27B -8.8M 0.14 13.36 N/A N/A 94,665 13,411 165,098 109,033 2021-07-23 $264.63 $250.00 44.7% 12.1% 40.4% 34.1% 43.7% -1.8% 7.0% 74.2M -1.09B -8.8M 0.15 11.59 N/A N/A 70,917 10,916 174,565 112,264 2021-07-26 $268.93 $250.00 49.9% 12.7% 40.5% 39.7% 46.3% -1.7% -0.4% 50.5M -1.15B -8.6M 0.18 13.00 N/A N/A 38,958 6,990 145,298 103,438 2021-07-27 $262.07 $250.00 51.9% 13.1% 41.6% 41.8% 47.1% -0.9% 0.9% 43.5M -854.7M -8.7M 0.28 13.06 N/A N/A 33,153 9,251 154,267 105,742 2021-07-28 $269.97 $250.00 51.8% 12.7% 42.5% 41.8% 45.7% -0.4% 0.5% 77.9M -1.30B -8.9M 0.22 11.31 N/A N/A 35,434 7,818 166,952 109,175 2021-07-29 $267.93 $250.00 50.9% 12.2% 42.0% 40.8% 44.0% -0.6% 0.8% 73.3M -1.14B -8.8M 0.10 12.53 N/A N/A 88,376 8,565 165,123 111,316 2021-07-30 $265.42 $250.00 51.4% 12.2% 41.5% 41.3% 44.0% -0.2% 0.6% 54.4M -990.9M -8.8M 0.21 12.31 N/A N/A 40,225 8,357 175,363 114,519
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