SNOW Options History — January 2022

In January 2022, SNOW traded between $245.84 and $331.57. ATM implied volatility averaged 59.7%, placing in the 46.5% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 9.6% (HV 20d: 50.1%). Max pain ranged from $300.00 to $320.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.83.

Notable Days

2022-01-04: Highest Volume — 59,686 contracts
2022-01-24: Largest IV spike — 14.9% change
2022-01-27: Highest IV Rank — 73.7%
2022-01-25: Largest Expected Move — 21.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$286.05	$245.84	$331.57	$331.57	$273.04
Max Pain	$313.00	$300.00	$320.00	$310.00	$300.00
ATM IV	59.7%	47.2%	73.8%	47.2%	64.7%
Expected Move	16.9%	13.3%	21.2%	13.3%	17.4%
HV 20d	50.1%	36.9%	61.8%	59.0%	54.6%
HV 60d	60.4%	57.9%	64.4%	57.9%	64.4%
IV Rank	46.5%	22.5%	73.7%	22.5%	56.0%
IV Percentile	72.7%	36.5%	93.7%	36.5%	83.3%
Term Structure	0.8%	-1.3%	5.3%	1.2%	-1.1%
VWIV	60.0%	46.7%	74.4%	46.7%	61.9%
Skew 25d	5.9%	1.5%	9.7%	1.5%	9.4%
Skew 10d	12.5%	3.8%	24.3%	3.8%	19.3%
Call IV 25d	57.7%	47.2%	70.7%	47.2%	62.9%
Put IV 25d	63.6%	48.7%	80.2%	48.7%	72.3%
Bid-Ask Spread %	42.70	31.09	49.64	43.30	41.52
Gamma HHI	0.04	0.03	0.08	0.04	0.03
Net GEX	-865.8K	-16.7M	16.5M	9.6M	2.7M
Net DEX	185.7M	-488.2M	648.2M	-488.2M	150.9M
Net VEX	-6.8M	-7.4M	-5.7M	-7.2M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.83	0.34	1.83	0.34	0.45
Total Volume	35,769.5	24,548	59,686	49,417	38,255
Total OI	211,694.25	161,822	240,974	197,946	176,989

Daily Data (20 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
2022-01-03	$331.57	$310.00	47.2%	13.3%	59.0%	22.5%	46.7%	1.5%	1.2%	9.6M	-488.2M	-7.2M	0.34	43.30	N/A	N/A	36,798	12,619	101,215	96,731
2022-01-04	$314.27	$310.00	49.8%	14.0%	61.8%	27.4%	50.0%	3.0%	0.3%	488.9K	-153.7M	-7.2M	0.57	46.88	N/A	N/A	37,966	21,720	109,486	99,319
2022-01-05	$295.54	$310.00	54.9%	16.6%	60.0%	37.2%	58.6%	4.5%	-0.9%	-5.2M	218.3M	-7.1M	0.76	47.32	N/A	N/A	24,262	18,373	118,913	103,470
2022-01-06	$298.07	$320.00	54.0%	15.1%	59.4%	35.6%	55.5%	6.0%	-0.6%	-3.6M	143.8M	-7.2M	0.99	31.09	N/A	N/A	17,453	17,292	125,178	107,329
2022-01-07	$299.97	$320.00	54.0%	15.3%	59.6%	35.5%	55.2%	5.6%	0.3%	-7.0M	78.9M	-7.3M	0.58	36.17	N/A	N/A	27,210	15,809	126,633	109,912
2022-01-10	$295.33	$320.00	58.6%	16.4%	58.7%	44.4%	59.1%	5.5%	-1.3%	-653.0K	94.7M	-7.0M	0.87	35.91	N/A	N/A	19,701	17,047	113,359	102,005
2022-01-11	$301.27	$320.00	53.9%	15.3%	58.5%	35.4%	54.5%	4.9%	0.0%	7.6M	-107.5M	-7.3M	0.45	36.19	N/A	N/A	23,465	10,670	118,484	104,960
2022-01-12	$307.95	$320.00	51.2%	14.4%	59.4%	30.1%	52.5%	4.5%	-0.8%	16.5M	-273.2M	-7.4M	0.50	38.50	N/A	N/A	28,002	14,033	123,281	106,836
2022-01-13	$293.29	$320.00	54.2%	15.3%	60.1%	35.9%	53.9%	4.9%	-1.0%	928.2K	134.5M	-7.1M	0.97	41.97	N/A	N/A	15,675	15,245	124,904	109,424
2022-01-14	$290.58	$320.00	55.2%	15.6%	47.1%	37.8%	56.5%	5.9%	-1.0%	945.7K	238.9M	-7.1M	1.13	43.16	N/A	N/A	14,377	16,270	127,616	112,920
2022-01-18	$287.59	$320.00	57.0%	16.3%	44.8%	41.4%	58.4%	5.2%	0.4%	-944.9K	238.7M	-6.9M	0.97	44.19	N/A	N/A	12,487	12,061	119,639	106,352
2022-01-19	$284.58	$315.00	57.9%	16.6%	44.8%	43.0%	58.8%	5.1%	3.7%	-2.8M	299.3M	-6.8M	0.78	45.66	N/A	N/A	16,540	12,852	122,478	110,077
2022-01-20	$282.68	$315.00	56.5%	16.1%	36.9%	40.2%	56.4%	5.2%	1.3%	-2.3M	346.9M	-6.7M	1.08	46.67	N/A	N/A	14,717	15,882	127,398	111,201
2022-01-21	$271.77	$315.00	62.7%	17.5%	36.9%	52.2%	61.8%	5.8%	5.3%	-16.7M	587.9M	-6.4M	1.83	47.25	N/A	N/A	13,971	25,592	128,559	112,415
2022-01-24	$275.17	$310.00	72.0%	20.9%	38.1%	70.2%	74.4%	7.5%	2.5%	270.1K	221.3M	-6.7M	1.24	42.28	N/A	N/A	13,706	17,030	86,975	74,847
2022-01-25	$267.00	$305.00	73.7%	21.2%	38.4%	73.4%	73.7%	8.6%	0.8%	-611.0K	306.8M	-6.6M	0.67	41.83	N/A	N/A	16,140	10,829	91,464	77,725
2022-01-26	$253.87	$305.00	73.1%	21.0%	40.4%	72.2%	73.3%	9.7%	1.9%	-4.3M	504.3M	-6.1M	0.75	48.77	N/A	N/A	17,180	12,804	95,354	79,678
2022-01-27	$245.84	$305.00	73.8%	20.6%	40.4%	73.7%	70.2%	6.9%	2.5%	-7.5M	648.2M	-5.7M	0.82	45.67	N/A	N/A	16,242	13,320	99,859	82,303
2022-01-28	$251.62	$300.00	69.2%	19.0%	42.8%	64.8%	67.8%	8.6%	3.3%	-5.0M	523.9M	-6.1M	0.86	49.64	N/A	N/A	17,054	14,741	104,846	83,751
2022-01-31	$273.04	$300.00	64.7%	17.4%	54.6%	56.0%	61.9%	9.4%	-1.1%	2.7M	150.9M	-6.6M	0.45	41.52	N/A	N/A	26,335	11,920	96,174	80,815