SNOW Options History — October 2021 In October 2021, SNOW traded between $294.16 and $354.09. ATM implied volatility averaged 39.7%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 3.6% (HV 20d: 36.1%). Max pain ranged from $280.00 to $300.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.59.
Notable Days 2021-10-14 : Highest Volume — 45,077 contracts2021-10-15 : Largest IV drop — 8.4% change2021-10-04 : Highest IV Rank — 10.1%2021-10-04 : Largest Expected Move — 12.3%Monthly Statistics Metric Avg Min Max Open Close Price $328.32 $294.16 $354.09 $303.97 $354.09 Max Pain $289.05 $280.00 $300.00 $290.00 $300.00 ATM IV 39.7% 35.5% 44.0% 40.8% 40.8% Expected Move 11.1% 10.3% 12.3% 11.4% 10.7% HV 20d 36.1% 29.4% 42.2% 32.7% 29.5% HV 60d 37.4% 33.8% 40.1% 40.1% 33.8% IV Rank 4.8% 0.0% 10.1% 4.7% 8.5% IV Percentile 5.1% 0.0% 16.3% 4.0% 9.9% Term Structure 1.9% -0.5% 5.3% 0.5% 5.3% VWIV 40.3% 36.9% 45.0% 41.4% 38.3% Skew 25d 3.7% 1.4% 5.8% 5.2% 1.4% Skew 10d 8.7% 4.9% 12.0% 11.1% 5.3% Call IV 25d 38.9% 34.5% 43.0% 39.3% 39.8% Put IV 25d 42.6% 37.9% 48.2% 44.5% 41.2% Bid-Ask Spread % 33.49 20.43 40.46 20.43 31.55 Gamma HHI 0.06 0.04 0.12 0.05 0.05 Net GEX 37.7M 6.4M 65.2M 16.1M 38.5M Net DEX -1.28B -1.85B -360.3M -657.5M -1.82B Net VEX -7.8M -8.3M -7.3M -8.1M -7.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.59 0.18 1.07 0.69 0.51 Total Volume 22,818.238 8,818 45,077 19,125 29,254 Total OI 225,970.952 203,648 253,686 238,517 225,665
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 2021-10-01 $303.97 $290.00 40.8% 11.4% 32.7% 4.7% 41.4% 5.2% 0.5% 16.1M -657.5M -8.1M 0.69 20.43 N/A N/A 11,323 7,802 119,464 119,053 2021-10-04 $294.16 $280.00 44.0% 12.3% 34.5% 10.1% 45.0% 5.3% -0.5% 6.4M -360.3M -7.9M 1.07 31.11 N/A N/A 9,222 9,869 107,510 111,614 2021-10-05 $300.87 $280.00 42.1% 12.0% 35.2% 6.8% 43.0% 5.8% 0.0% 13.1M -554.5M -8.0M 0.61 33.01 N/A N/A 12,230 7,458 109,260 113,671 2021-10-06 $308.80 $280.00 42.5% 12.1% 36.2% 7.5% 43.4% 5.4% 0.9% 23.5M -831.9M -8.2M 0.50 32.18 N/A N/A 14,252 7,064 111,143 118,749 2021-10-07 $320.62 $280.00 41.2% 11.8% 38.6% 5.3% 42.9% 5.3% 0.0% 44.3M -1.35B -8.3M 0.46 32.32 N/A N/A 18,876 8,612 116,162 121,477 2021-10-08 $314.54 $280.00 40.4% 11.7% 39.1% 4.0% 41.5% 5.2% 0.1% 45.2M -1.13B -8.2M 0.59 34.31 N/A N/A 12,838 7,582 118,580 123,818 2021-10-11 $311.60 $280.00 40.5% 11.6% 39.2% 4.1% 42.0% 4.9% -0.1% 30.1M -933.8M -7.8M 0.90 39.98 N/A N/A 6,086 5,460 113,252 118,051 2021-10-12 $314.33 $285.00 39.9% 11.5% 39.4% 3.2% 42.5% 5.2% 0.1% 36.4M -1.03B -7.9M 0.82 38.05 N/A N/A 4,858 3,960 114,992 119,453 2021-10-13 $327.78 $285.00 40.2% 11.5% 42.1% 3.7% 41.9% 3.9% -0.1% 51.7M -1.55B -7.9M 0.60 40.46 N/A N/A 24,213 14,497 116,518 121,448 2021-10-14 $331.54 $285.00 38.8% 11.2% 42.2% 1.3% 40.7% 4.5% 0.5% 55.9M -1.69B -8.0M 0.18 35.25 N/A N/A 38,293 6,784 117,535 123,119 2021-10-15 $333.42 $290.00 35.5% 10.3% 42.2% 0.0% 37.3% 3.4% 0.8% 65.2M -1.85B -7.8M 0.30 35.91 N/A N/A 12,978 3,861 122,369 131,317 2021-10-18 $337.28 $290.00 37.4% 10.7% 36.2% 3.0% 39.6% 3.3% 3.4% 35.5M -1.34B -7.8M 0.45 38.76 N/A N/A 11,657 5,282 98,140 105,508 2021-10-19 $340.83 $290.00 36.9% 10.6% 35.8% 2.2% 40.4% 2.7% 3.2% 40.3M -1.47B -7.8M 0.40 31.33 N/A N/A 22,644 9,049 99,930 106,589 2021-10-20 $335.47 $290.00 36.3% 10.4% 36.5% 1.3% 37.3% 2.7% 4.1% 33.6M -1.30B -7.8M 0.64 26.14 N/A N/A 13,909 8,940 104,708 112,220 2021-10-21 $343.48 $295.00 36.7% 10.4% 36.8% 1.9% 36.9% 2.4% 2.3% 46.7M -1.55B -7.7M 0.48 34.04 N/A N/A 17,291 8,369 104,705 114,753 2021-10-22 $340.35 $295.00 37.7% 10.5% 36.4% 3.5% 37.6% 2.8% 3.4% 46.3M -1.42B -7.8M 0.71 34.63 N/A N/A 10,502 7,453 106,598 116,116 2021-10-25 $342.15 $295.00 39.9% 10.8% 35.7% 7.1% 39.5% 2.9% 3.3% 33.7M -1.40B -7.7M 0.70 35.29 N/A N/A 10,108 7,080 99,851 109,953 2021-10-26 $342.98 $300.00 40.2% 10.9% 30.7% 7.6% 38.5% 2.0% 4.7% 36.3M -1.45B -7.6M 0.55 34.01 N/A N/A 11,227 6,124 101,860 112,007 2021-10-27 $347.70 $300.00 40.1% 10.7% 30.0% 7.4% 38.3% 2.5% 4.8% 45.0M -1.61B -7.4M 0.47 34.71 N/A N/A 20,373 9,525 102,793 113,120 2021-10-28 $348.85 $300.00 40.8% 10.9% 29.4% 8.4% 39.1% 2.0% 3.8% 47.5M -1.64B -7.6M 0.68 29.74 N/A N/A 13,236 9,042 106,660 115,659 2021-10-29 $354.09 $300.00 40.8% 10.7% 29.5% 8.5% 38.3% 1.4% 5.3% 38.5M -1.82B -7.3M 0.51 31.55 N/A N/A 19,395 9,859 107,513 118,152
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