SNOW Options History — November 2021

In November 2021, SNOW traded between $342.67 and $401.99. ATM implied volatility averaged 51.5%, placing in the 25.8% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 19.6% (HV 20d: 31.9%). Max pain ranged from $300.00 to $340.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2021-11-12: Highest Volume — 57,657 contracts
2021-11-22: Largest IV spike — 7.0% change
2021-11-30: Highest IV Rank — 38.3%
2021-11-30: Largest Expected Move — 19.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$370.15	$342.67	$401.99	$358.18	$342.67
Max Pain	$321.43	$300.00	$340.00	$300.00	$340.00
ATM IV	51.5%	42.2%	59.2%	42.2%	59.2%
Expected Move	14.8%	10.4%	19.8%	10.5%	19.8%
HV 20d	31.9%	20.6%	54.2%	25.3%	54.2%
HV 60d	34.5%	30.8%	40.3%	33.9%	40.3%
IV Rank	25.8%	10.9%	38.3%	10.9%	38.3%
IV Percentile	47.3%	17.1%	65.1%	17.1%	65.1%
Term Structure	-1.9%	-3.9%	-0.2%	-0.3%	-3.9%
VWIV	52.8%	37.4%	73.8%	37.4%	73.8%
Skew 25d	1.2%	-0.6%	3.1%	3.1%	0.0%
Skew 10d	3.4%	0.4%	6.5%	6.2%	1.7%
Call IV 25d	52.4%	44.0%	61.8%	44.0%	61.8%
Put IV 25d	53.6%	47.1%	61.8%	47.1%	61.8%
Bid-Ask Spread %	32.37	24.74	52.01	32.64	40.31
Gamma HHI	0.07	0.04	0.21	0.05	0.04
Net GEX	42.3M	7.2M	82.7M	45.8M	17.6M
Net DEX	-1.91B	-2.96B	-621.1M	-1.84B	-769.3M
Net VEX	-7.7M	-8.3M	-7.3M	-7.3M	-7.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.37	1.08	0.57	0.38
Total Volume	29,662.381	18,602	57,657	20,173	38,489
Total OI	225,986.429	195,695	250,698	215,944	212,346

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
2021-11-01	$358.18	$300.00	42.2%	10.5%	25.3%	10.9%	37.4%	3.1%	-0.3%	45.8M	-1.84B	-7.3M	0.57	32.64	N/A	N/A	12,814	7,359	104,365	111,579
2021-11-02	$358.88	$300.00	44.7%	10.4%	25.0%	14.9%	37.8%	2.4%	-0.9%	47.1M	-1.88B	-7.3M	0.45	24.82	N/A	N/A	15,939	7,194	105,545	114,045
2021-11-03	$354.45	$305.00	46.7%	10.7%	25.2%	18.0%	38.0%	2.3%	-1.6%	43.1M	-1.71B	-7.4M	0.77	52.01	N/A	N/A	10,489	8,113	107,313	115,772
2021-11-04	$356.71	$300.00	45.6%	12.6%	22.4%	16.2%	44.7%	2.6%	-0.2%	49.9M	-1.81B	-7.3M	0.61	26.68	N/A	N/A	14,439	8,771	108,568	117,813
2021-11-05	$365.04	$305.00	46.7%	12.8%	21.3%	18.1%	45.4%	2.7%	-1.7%	82.7M	-2.11B	-7.5M	0.80	26.01	N/A	N/A	15,796	12,673	111,564	120,525
2021-11-08	$371.47	$310.00	48.6%	13.5%	20.6%	21.2%	48.0%	1.8%	-1.5%	47.2M	-2.15B	-7.4M	0.73	25.43	N/A	N/A	13,372	9,817	105,640	115,296
2021-11-09	$376.59	$315.00	50.4%	13.9%	20.7%	24.1%	49.1%	2.1%	-1.9%	47.7M	-2.26B	-7.5M	0.69	28.18	N/A	N/A	12,200	8,456	107,684	118,022
2021-11-10	$361.32	$315.00	50.5%	14.2%	24.0%	24.3%	50.0%	2.0%	-0.5%	37.8M	-1.80B	-7.7M	0.88	25.76	N/A	N/A	17,415	15,378	110,033	119,310
2021-11-11	$368.59	$320.00	50.2%	14.1%	24.5%	23.7%	50.0%	1.1%	-1.2%	43.0M	-2.02B	-7.7M	0.68	24.74	N/A	N/A	15,316	10,375	111,378	124,082
2021-11-12	$385.80	$320.00	52.0%	14.5%	28.4%	26.7%	51.9%	-0.4%	-1.9%	60.2M	-2.59B	-7.7M	0.37	29.76	N/A	N/A	42,214	15,443	114,257	125,828
2021-11-15	$393.62	$320.00	53.6%	15.2%	28.7%	29.3%	54.2%	-0.5%	-1.8%	52.5M	-2.69B	-7.7M	0.61	29.12	N/A	N/A	20,530	12,450	111,695	121,508
2021-11-16	$401.99	$325.00	53.7%	15.3%	29.1%	29.3%	54.3%	0.0%	-1.9%	54.6M	-2.96B	-7.8M	0.58	27.56	N/A	N/A	21,789	12,574	116,435	124,921
2021-11-17	$398.00	$325.00	52.2%	15.0%	28.5%	26.9%	54.0%	0.4%	-1.7%	56.5M	-2.77B	-7.9M	1.08	27.57	N/A	N/A	10,488	11,317	118,411	128,418
2021-11-18	$398.58	$325.00	51.4%	14.9%	28.0%	25.7%	53.5%	1.0%	-1.7%	62.1M	-2.82B	-7.6M	0.78	32.53	N/A	N/A	14,682	11,445	119,219	129,717
2021-11-19	$392.80	$325.00	51.4%	15.0%	28.5%	25.8%	52.6%	0.7%	-2.3%	33.8M	-2.61B	-7.8M	0.97	33.74	N/A	N/A	16,215	15,737	120,982	129,716
2021-11-22	$361.88	$340.00	55.0%	16.6%	42.6%	31.6%	59.6%	1.2%	-3.2%	19.0M	-1.12B	-7.7M	0.69	35.53	N/A	N/A	24,414	16,759	98,902	96,793
2021-11-23	$342.98	$340.00	58.6%	18.3%	47.1%	37.4%	64.7%	1.2%	-3.2%	7.2M	-621.1M	-7.8M	0.66	37.56	N/A	N/A	27,504	18,052	102,401	100,788
2021-11-24	$355.26	$340.00	54.5%	16.7%	48.5%	30.8%	59.7%	0.0%	-3.5%	20.0M	-1.05B	-8.2M	0.97	38.35	N/A	N/A	15,649	15,204	110,846	105,599
2021-11-26	$362.18	$340.00	58.3%	18.3%	49.0%	36.8%	65.4%	1.1%	-3.2%	32.7M	-1.27B	-8.3M	0.82	39.16	N/A	N/A	12,206	9,987	112,591	110,143
2021-11-29	$366.07	$340.00	55.6%	18.1%	48.8%	32.5%	65.7%	-0.6%	-2.2%	28.6M	-1.36B	-8.0M	0.71	42.41	N/A	N/A	13,907	9,939	105,114	100,551
2021-11-30	$342.67	$340.00	59.2%	19.8%	54.2%	38.3%	73.8%	0.0%	-3.9%	17.6M	-769.3M	-7.9M	0.38	40.31	N/A	N/A	27,899	10,590	109,121	103,225