SNOW Options History — March 2022

In March 2022, SNOW traded between $166.00 and $266.95. ATM implied volatility averaged 69.4%, placing in the 64.7% IV rank vs the trailing year. The 30-day expected move averaged 20.4%. IV traded below realized volatility by 35.9% (HV 20d: 105.3%). Max pain ranged from $250.00 to $295.00. Net GEX was positive for 13 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.79.

Notable Days

2022-03-03: Highest Volume — 211,259 contracts
2022-03-03: Largest IV drop — 17.5% change
2022-03-14: Highest IV Rank — 93.0%
2022-03-01: Largest Expected Move — 27.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$214.76	$166.00	$266.95	$263.50	$230.85
Max Pain	$264.02	$250.00	$295.00	$295.00	$250.00
ATM IV	69.4%	58.9%	84.3%	84.0%	60.0%
Expected Move	20.4%	16.8%	27.5%	27.5%	17.2%
HV 20d	105.3%	68.7%	124.6%	70.2%	102.5%
HV 60d	78.8%	60.8%	87.0%	61.3%	86.5%
IV Rank	64.7%	44.6%	93.0%	92.5%	46.7%
IV Percentile	86.7%	74.2%	99.6%	99.6%	75.4%
Term Structure	-1.0%	-3.7%	0.2%	-3.6%	0.1%
VWIV	72.1%	59.3%	95.9%	95.9%	60.2%
Skew 25d	8.1%	4.3%	11.5%	7.4%	5.9%
Skew 10d	16.6%	8.6%	23.9%	15.3%	11.0%
Call IV 25d	66.4%	57.2%	80.6%	80.6%	57.9%
Put IV 25d	74.5%	61.8%	91.0%	88.0%	63.8%
Bid-Ask Spread %	34.39	17.13	40.62	31.25	36.40
Gamma HHI	0.05	0.03	0.08	0.03	0.05
Net GEX	1.5M	-19.7M	30.9M	3.5M	16.7M
Net DEX	399.4M	-430.8M	1.12B	83.1M	-48.2M
Net VEX	-5.6M	-7.1M	-3.9M	-7.0M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.79	0.18	2.27	0.71	0.54
Total Volume	69,134.304	27,684	211,259	27,684	43,287
Total OI	226,936.913	180,145	284,516	190,356	242,308

Daily Data (23 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
2022-03-01	$263.50	$295.00	84.0%	27.5%	70.2%	92.5%	95.9%	7.4%	-3.6%	3.5M	83.1M	-7.0M	0.71	31.25	N/A	N/A	16,150	11,534	108,199	82,157
2022-03-02	$266.95	$295.00	81.7%	27.4%	68.7%	88.1%	94.8%	7.4%	-3.7%	4.5M	32.2M	-7.1M	0.72	31.26	N/A	N/A	41,261	29,868	111,610	85,766
2022-03-03	$219.21	$292.50	67.4%	20.3%	95.8%	60.8%	72.9%	6.6%	0.1%	-19.7M	997.5M	-5.1M	1.20	28.97	N/A	N/A	96,147	115,112	131,836	101,240
2022-03-04	$210.13	$285.00	70.7%	21.0%	95.4%	67.2%	75.3%	7.6%	-0.6%	-9.4M	1.12B	-5.2M	2.27	34.25	N/A	N/A	32,392	73,544	156,852	127,664
2022-03-07	$195.08	$275.00	77.4%	24.7%	91.4%	79.9%	86.0%	9.8%	-1.5%	-9.7M	903.9M	-4.6M	0.96	17.13	N/A	N/A	28,112	26,956	123,445	93,965
2022-03-08	$192.14	$265.00	74.0%	23.8%	87.5%	73.4%	84.5%	9.0%	-2.1%	-9.9M	945.7M	-4.6M	0.85	33.34	N/A	N/A	23,322	19,896	134,057	100,099
2022-03-09	$209.54	$260.00	70.3%	22.3%	95.2%	66.3%	80.5%	10.4%	-1.3%	-6.0M	683.5M	-5.4M	0.70	23.58	N/A	N/A	20,937	14,748	139,382	103,165
2022-03-10	$197.40	$255.00	73.4%	23.3%	94.2%	72.3%	83.0%	9.8%	-1.3%	-9.2M	857.0M	-5.0M	0.61	40.62	N/A	N/A	24,654	15,057	142,410	105,330
2022-03-11	$181.76	$255.00	76.3%	23.6%	95.0%	77.9%	82.7%	10.3%	-0.9%	-11.5M	1.03B	-4.4M	1.04	37.70	N/A	N/A	19,966	20,752	145,829	107,547
2022-03-14	$166.00	$270.00	84.3%	22.3%	96.9%	93.0%	76.9%	11.5%	-1.5%	-6.0M	978.2M	-3.9M	1.48	36.31	N/A	N/A	16,076	23,724	129,463	99,111
2022-03-15	$168.67	$270.00	77.9%	21.2%	97.8%	80.8%	74.6%	9.3%	-0.5%	-6.1M	944.8M	-4.0M	0.61	37.63	N/A	N/A	24,663	15,068	134,448	102,629
2022-03-16	$196.06	$270.00	73.4%	19.8%	115.3%	72.3%	69.2%	9.0%	-1.7%	-473.5K	608.2M	-5.2M	0.41	38.97	N/A	N/A	60,141	24,697	141,766	105,452
2022-03-17	$209.72	$255.00	68.1%	18.8%	118.7%	62.2%	67.0%	8.8%	-1.2%	4.5M	338.9M	-5.7M	0.58	37.37	N/A	N/A	32,903	18,992	150,844	110,870
2022-03-18	$222.08	$255.00	64.8%	17.9%	120.4%	55.8%	63.1%	8.6%	-1.7%	3.4M	32.0M	-6.0M	0.61	36.00	N/A	N/A	42,357	25,979	154,788	113,799
2022-03-21	$211.78	$255.00	66.8%	18.6%	120.7%	59.7%	65.5%	8.6%	-0.7%	1.6M	228.5M	-5.6M	1.09	31.41	N/A	N/A	17,451	19,042	93,173	86,972
2022-03-22	$224.70	$255.00	62.0%	17.3%	123.4%	50.5%	61.6%	8.2%	0.2%	6.9M	2.2M	-6.0M	0.61	38.62	N/A	N/A	28,576	17,326	97,211	91,062
2022-03-23	$222.88	$255.00	61.7%	17.4%	121.9%	49.9%	62.1%	8.3%	0.1%	6.4M	55.4M	-6.0M	0.64	36.58	N/A	N/A	27,624	17,559	101,040	95,326
2022-03-24	$225.45	$255.00	60.5%	17.0%	119.7%	47.7%	61.7%	8.3%	0.1%	10.2M	-34.4M	-6.1M	1.23	38.51	N/A	N/A	27,174	33,477	108,073	100,300
2022-03-25	$218.84	$255.00	60.7%	17.2%	119.9%	48.0%	60.3%	6.9%	-0.3%	3.5M	119.2M	-5.9M	0.64	38.74	N/A	N/A	57,903	37,244	112,779	104,351
2022-03-28	$235.86	$250.00	62.5%	17.5%	123.7%	51.5%	61.6%	5.4%	-0.3%	13.2M	-200.6M	-6.4M	0.18	34.89	N/A	N/A	137,827	24,660	102,673	89,563
2022-03-29	$240.80	$250.00	58.9%	16.8%	124.0%	44.6%	59.4%	4.3%	-0.2%	30.9M	-430.8M	-6.6M	0.21	33.14	N/A	N/A	94,549	19,889	123,299	96,368
2022-03-30	$230.00	$250.00	60.0%	17.0%	124.6%	46.8%	59.3%	4.4%	-0.4%	18.1M	-57.7M	-6.3M	0.36	38.42	N/A	N/A	52,569	18,924	130,509	100,819
2022-03-31	$230.85	$250.00	60.0%	17.2%	102.5%	46.7%	60.2%	5.9%	0.1%	16.7M	-48.2M	-6.5M	0.54	36.40	N/A	N/A	28,099	15,188	136,476	105,832