SNOW Options History — September 2021

In September 2021, SNOW traded between $295.12 and $327.34. ATM implied volatility averaged 40.9%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded above realized volatility by 6.1% (HV 20d: 34.8%). Max pain ranged from $265.00 to $290.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2021-09-02: Highest Volume — 61,411 contracts
2021-09-20: Largest IV spike — 13.8% change
2021-09-01: Highest IV Rank — 29.5%
2021-09-20: Largest Expected Move — 13.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$313.88	$295.12	$327.34	$301.74	$302.71
Max Pain	$282.14	$265.00	$290.00	$265.00	$290.00
ATM IV	40.9%	38.0%	45.4%	41.0%	42.1%
Expected Move	11.7%	10.5%	13.1%	11.3%	12.3%
HV 20d	34.8%	27.2%	39.2%	39.2%	33.3%
HV 60d	38.4%	37.1%	40.5%	38.5%	40.1%
IV Rank	4.8%	0.0%	29.5%	29.5%	6.9%
IV Percentile	3.8%	0.0%	17.1%	1.2%	9.1%
Term Structure	0.1%	-1.1%	0.6%	0.3%	-0.2%
VWIV	43.3%	38.1%	56.9%	40.3%	43.5%
Skew 25d	3.4%	0.9%	5.5%	1.6%	5.5%
Skew 10d	9.1%	4.1%	13.4%	6.0%	13.4%
Call IV 25d	40.3%	36.5%	44.3%	40.9%	41.0%
Put IV 25d	43.7%	40.2%	49.0%	42.5%	46.5%
Bid-Ask Spread %	30.23	9.38	45.21	14.33	42.17
Gamma HHI	0.09	0.03	0.32	0.15	0.04
Net GEX	50.6M	3.0M	141.0M	78.4M	11.6M
Net DEX	-1.57B	-2.34B	-356.6M	-1.79B	-594.7M
Net VEX	-8.4M	-9.1M	-7.8M	-9.1M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.25	1.47	0.37	0.29
Total Volume	30,512.238	12,773	61,411	31,587	39,677
Total OI	248,789.333	210,683	279,105	271,704	234,028

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
2021-09-01	$301.74	$265.00	41.0%	11.3%	39.2%	29.5%	40.3%	1.6%	0.3%	78.4M	-1.79B	-9.1M	0.37	14.33	N/A	N/A	23,076	8,511	152,966	118,738
2021-09-02	$307.12	$275.00	40.5%	11.8%	39.1%	2.4%	41.8%	1.0%	0.6%	81.5M	-1.91B	-9.0M	0.25	11.41	N/A	N/A	49,093	12,318	148,765	123,462
2021-09-03	$309.17	$275.00	39.0%	11.4%	39.1%	0.0%	41.0%	0.9%	0.3%	141.0M	-2.01B	-8.9M	0.32	9.38	N/A	N/A	44,941	14,360	150,061	126,722
2021-09-07	$313.24	$280.00	41.3%	11.9%	39.1%	3.9%	48.2%	1.8%	0.2%	64.4M	-1.99B	-8.7M	0.80	20.39	N/A	N/A	18,682	14,931	138,595	117,062
2021-09-08	$317.53	$280.00	42.3%	12.1%	38.2%	5.6%	43.6%	1.4%	-0.3%	68.4M	-2.20B	-8.9M	0.51	16.26	N/A	N/A	20,676	10,599	142,985	120,067
2021-09-09	$320.67	$280.00	41.4%	11.9%	38.2%	4.1%	43.4%	1.7%	0.3%	73.9M	-2.34B	-8.9M	0.54	22.60	N/A	N/A	19,730	10,730	145,242	128,204
2021-09-10	$318.79	$280.00	41.0%	11.8%	36.8%	3.3%	42.4%	1.5%	0.4%	91.0M	-2.28B	-8.7M	0.56	26.75	N/A	N/A	18,659	10,500	148,388	130,717
2021-09-13	$319.87	$280.00	42.4%	12.1%	36.6%	5.7%	44.0%	2.7%	-0.1%	53.3M	-2.05B	-8.5M	1.09	29.62	N/A	N/A	16,599	18,137	135,627	123,493
2021-09-14	$320.29	$280.00	41.7%	12.0%	34.4%	4.6%	45.7%	3.0%	-0.0%	52.1M	-2.04B	-8.5M	0.44	26.06	N/A	N/A	22,040	9,777	137,154	125,293
2021-09-15	$323.87	$280.00	39.9%	11.4%	33.0%	1.6%	41.6%	3.4%	0.5%	54.7M	-2.20B	-8.1M	0.84	31.12	N/A	N/A	12,523	10,492	142,848	129,994
2021-09-16	$324.81	$280.00	39.3%	11.2%	32.8%	0.5%	41.2%	4.1%	0.3%	55.7M	-2.14B	-8.3M	0.59	31.93	N/A	N/A	16,089	9,538	142,140	132,296
2021-09-17	$327.34	$280.00	39.9%	11.4%	32.3%	1.6%	41.2%	3.4%	0.0%	65.9M	-2.31B	-8.0M	0.28	33.03	N/A	N/A	37,529	10,417	143,331	133,521
2021-09-20	$309.00	$280.00	45.4%	13.1%	35.4%	10.8%	48.0%	4.8%	-1.1%	20.9M	-880.9M	-8.2M	0.62	32.41	N/A	N/A	19,856	12,295	110,649	100,034
2021-09-21	$315.07	$280.00	41.9%	12.0%	34.8%	5.0%	44.5%	5.3%	-0.1%	26.7M	-1.05B	-8.2M	0.84	33.74	N/A	N/A	9,658	8,124	116,007	102,510
2021-09-22	$316.16	$290.00	40.3%	11.3%	34.3%	2.2%	41.3%	5.3%	0.3%	26.4M	-1.06B	-8.0M	0.57	40.40	N/A	N/A	10,062	5,751	115,912	106,436
2021-09-23	$321.95	$290.00	38.4%	10.6%	34.5%	0.0%	40.7%	4.6%	-0.1%	34.9M	-1.26B	-7.8M	0.83	41.95	N/A	N/A	9,230	7,680	115,141	109,298
2021-09-24	$316.64	$290.00	38.0%	10.5%	27.9%	0.0%	38.5%	4.6%	0.5%	27.8M	-1.05B	-8.0M	0.84	39.84	N/A	N/A	8,996	7,593	117,521	111,332
2021-09-27	$311.97	$290.00	38.3%	10.8%	27.2%	0.5%	38.1%	4.8%	0.4%	21.3M	-878.7M	-7.9M	0.73	42.34	N/A	N/A	7,393	5,380	109,266	103,086
2021-09-28	$298.35	$290.00	41.4%	12.3%	31.9%	5.5%	43.3%	5.2%	0.4%	8.4M	-479.2M	-7.8M	1.16	45.21	N/A	N/A	13,468	15,685	110,436	104,762
2021-09-29	$295.12	$290.00	42.4%	12.6%	31.9%	7.3%	56.9%	5.2%	-0.3%	3.0M	-356.6M	-7.8M	1.47	43.99	N/A	N/A	8,077	11,885	112,247	108,240
2021-09-30	$302.71	$290.00	42.1%	12.3%	33.3%	6.9%	43.5%	5.5%	-0.2%	11.6M	-594.7M	-8.2M	0.29	42.17	N/A	N/A	30,812	8,865	117,827	116,201