SNOW Options History — December 2021 In December 2021, SNOW traded between $315.57 and $370.12. ATM implied volatility averaged 52.4%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 28.6% (HV 20d: 81.0%). Max pain ranged from $300.00 to $340.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 0.82.
Notable Days 2021-12-02 : Highest Volume — 168,048 contracts2021-12-02 : Largest IV drop — 15.8% change2021-12-01 : Highest IV Rank — 49.3%2021-12-01 : Largest Expected Move — 22.3%Monthly Statistics Metric Avg Min Max Open Close Price $348.06 $315.57 $370.12 $315.57 $342.10 Max Pain $307.73 $300.00 $340.00 $340.00 $310.00 ATM IV 52.4% 45.6% 66.0% 66.0% 46.2% Expected Move 15.1% 12.6% 22.3% 22.3% 12.7% HV 20d 81.0% 60.1% 89.6% 61.2% 60.1% HV 60d 55.3% 43.7% 59.4% 43.7% 58.0% IV Rank 30.1% 19.4% 49.3% 49.3% 20.4% IV Percentile 50.1% 31.0% 72.6% 72.6% 32.5% Term Structure -0.0% -1.9% 1.2% -1.1% 1.0% VWIV 54.4% 44.8% 80.8% 80.8% 44.8% Skew 25d 3.5% -1.9% 5.5% -1.9% 2.1% Skew 10d 8.0% 4.2% 11.7% 4.2% 4.3% Call IV 25d 52.0% 44.5% 69.9% 69.9% 45.7% Put IV 25d 55.4% 47.6% 68.0% 68.0% 47.9% Bid-Ask Spread % 35.71 21.36 45.23 41.83 45.23 Gamma HHI 0.07 0.03 0.51 0.03 0.04 Net GEX 27.9M -6.2M 118.7M 4.4M 16.1M Net DEX -914.8M -1.60B -78.8M -132.5M -655.0M Net VEX -7.6M -8.5M -2.5M -7.6M -7.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.82 0.35 1.52 0.70 0.35 Total Volume 47,147.364 20,890 168,048 88,901 38,656 Total OI 229,290.182 195,458 278,396 221,014 206,017
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 2021-12-01 $315.57 $340.00 66.0% 22.3% 61.2% 49.3% 80.8% -1.9% -1.1% 4.4M -132.5M -7.6M 0.70 41.83 N/A N/A 52,146 36,755 115,159 105,855 2021-12-02 $359.35 $340.00 55.6% 17.5% 77.9% 32.4% 66.5% 2.3% -0.9% 47.2M -1.52B -8.4M 0.98 37.36 N/A N/A 84,932 83,116 137,093 119,187 2021-12-03 $343.30 $340.00 61.5% 19.5% 79.6% 42.0% 70.0% 3.7% -0.8% 118.7M -712.6M -2.5M 1.29 38.10 N/A N/A 30,706 39,519 144,968 133,428 2021-12-06 $341.78 $300.00 57.0% 16.1% 79.0% 34.8% 57.6% 4.7% 0.2% 15.2M -723.1M -8.4M 1.52 21.36 N/A N/A 12,768 19,368 119,502 113,781 2021-12-07 $362.99 $300.00 52.5% 14.9% 81.9% 27.4% 53.3% 4.0% 1.2% 35.9M -1.39B -8.5M 0.61 25.22 N/A N/A 30,682 18,775 121,991 116,482 2021-12-08 $370.12 $300.00 51.0% 14.4% 82.1% 25.0% 52.8% 2.7% -0.6% 44.1M -1.60B -8.4M 0.65 27.51 N/A N/A 21,363 13,781 125,769 119,665 2021-12-09 $363.05 $300.00 50.5% 14.4% 81.0% 24.7% 51.5% 3.4% 0.2% 35.9M -1.35B -8.3M 0.94 29.60 N/A N/A 17,160 16,134 127,136 120,037 2021-12-10 $370.00 $300.00 47.9% 13.7% 81.0% 20.5% 49.2% 3.5% 0.5% 53.2M -1.58B -8.2M 0.64 30.99 N/A N/A 30,592 19,495 127,486 120,782 2021-12-13 $354.58 $300.00 51.2% 14.3% 80.5% 28.1% 50.8% 2.3% -1.0% 27.6M -1.06B -7.9M 0.45 29.97 N/A N/A 46,481 20,877 118,989 114,249 2021-12-14 $350.43 $300.00 53.1% 14.9% 80.0% 33.8% 54.1% 2.9% -1.2% 25.9M -967.3M -7.9M 1.29 38.62 N/A N/A 15,087 19,496 126,000 116,703 2021-12-15 $358.62 $300.00 52.8% 14.9% 80.1% 33.2% 54.3% 3.2% -0.8% 35.0M -1.20B -8.0M 1.00 36.16 N/A N/A 13,317 13,366 126,965 119,662 2021-12-16 $321.17 $300.00 59.8% 16.9% 88.3% 46.6% 58.6% 4.1% -0.8% -6.2M -78.8M -7.6M 0.83 33.15 N/A N/A 45,688 37,796 126,941 121,421 2021-12-17 $332.26 $300.00 55.3% 15.5% 89.6% 38.1% 56.6% 4.3% -1.9% 9.9M -476.4M -8.0M 0.78 31.13 N/A N/A 23,856 18,717 138,845 127,782 2021-12-20 $331.09 $300.00 56.2% 16.0% 89.6% 39.8% 56.9% 4.8% 0.1% 6.6M -482.7M -7.8M 1.00 34.32 N/A N/A 13,292 13,293 100,298 96,496 2021-12-21 $351.79 $300.00 51.1% 14.6% 88.4% 29.9% 52.6% 5.5% 1.2% 21.8M -997.4M -8.0M 0.68 38.22 N/A N/A 24,295 16,627 103,169 101,479 2021-12-22 $356.77 $305.00 50.2% 14.4% 86.3% 28.3% 52.3% 4.6% 0.2% 29.4M -1.13B -8.0M 1.05 36.31 N/A N/A 12,353 12,922 104,934 103,402 2021-12-23 $353.02 $305.00 47.6% 13.6% 85.5% 23.2% 48.2% 4.8% 0.5% 21.4M -997.7M -7.8M 0.79 38.87 N/A N/A 12,450 9,858 105,885 104,441 2021-12-27 $352.01 $305.00 48.1% 13.7% 85.2% 24.2% 49.1% 5.4% 1.0% 20.5M -955.2M -7.6M 1.05 44.08 N/A N/A 10,166 10,724 98,509 96,949 2021-12-28 $343.41 $305.00 46.1% 12.8% 85.5% 20.4% 44.9% 3.9% 0.9% 15.0M -733.6M -7.4M 0.58 41.31 N/A N/A 15,677 9,088 102,487 101,036 2021-12-29 $343.50 $310.00 46.8% 13.1% 82.2% 21.7% 45.9% 3.2% 1.0% 17.5M -735.0M -7.3M 0.43 43.34 N/A N/A 22,020 9,490 104,821 100,290 2021-12-30 $340.30 $310.00 45.6% 12.6% 76.3% 19.4% 46.6% 3.1% 0.2% 19.5M -647.1M -7.2M 0.45 43.04 N/A N/A 16,808 7,550 107,065 101,228 2021-12-31 $342.10 $310.00 46.2% 12.7% 60.1% 20.4% 44.8% 2.1% 1.0% 16.1M -655.0M -7.1M 0.35 45.23 N/A N/A 28,739 9,917 104,419 101,598
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