SNOW Options History — September 2022

In September 2022, SNOW traded between $166.04 and $198.22. ATM implied volatility averaged 66.2%, placing in the 38.8% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded below realized volatility by 12.1% (HV 20d: 78.3%). Max pain ranged from $170.00 to $180.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2022-09-15: Highest Volume — 90,841 contracts
2022-09-07: Largest IV drop — 6.7% change
2022-09-26: Highest IV Rank — 49.0%
2022-09-26: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$179.33	$166.04	$198.22	$171.84	$170.92
Max Pain	$175.71	$170.00	$180.00	$175.00	$180.00
ATM IV	66.2%	58.6%	74.2%	63.8%	72.0%
Expected Move	18.9%	16.7%	21.5%	18.2%	20.5%
HV 20d	78.3%	51.5%	91.4%	91.4%	51.5%
HV 60d	75.7%	72.2%	81.3%	81.3%	72.2%
IV Rank	38.8%	29.1%	49.0%	35.8%	46.2%
IV Percentile	48.9%	34.9%	64.7%	46.8%	56.3%
Term Structure	-0.2%	-1.6%	0.5%	0.0%	0.5%
VWIV	66.7%	58.2%	74.3%	64.5%	70.5%
Skew 25d	8.3%	6.8%	10.4%	7.5%	8.6%
Skew 10d	15.9%	12.9%	19.5%	14.6%	17.0%
Call IV 25d	62.1%	55.0%	69.8%	60.3%	67.1%
Put IV 25d	70.4%	62.2%	78.6%	67.9%	75.7%
Bid-Ask Spread %	19.90	9.27	25.44	21.41	25.02
Gamma HHI	0.06	0.03	0.16	0.04	0.05
Net GEX	3.8M	-14.6M	21.6M	-10.0M	-1.1M
Net DEX	-205.4M	-852.6M	151.6M	115.0M	52.7M
Net VEX	-6.4M	-6.9M	-5.9M	-6.1M	-6.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.37	1.31	1.18	0.95
Total Volume	56,489.571	26,301	90,841	84,079	59,092
Total OI	299,074.81	254,298	350,501	337,267	288,980

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
2022-09-01	$171.84	$175.00	63.8%	18.2%	91.4%	35.8%	64.5%	7.5%	0.0%	-10.0M	115.0M	-6.1M	1.18	21.41	N/A	N/A	38,538	45,541	170,189	167,078
2022-09-02	$170.68	$175.00	63.7%	17.9%	91.2%	35.6%	64.3%	7.7%	0.4%	-10.4M	95.4M	-6.1M	0.97	9.27	N/A	N/A	29,797	28,821	176,669	170,239
2022-09-06	$170.60	$175.00	66.7%	18.8%	90.1%	39.4%	65.7%	7.7%	-0.7%	-1.0M	9.6M	-6.0M	0.73	19.99	N/A	N/A	26,588	19,476	150,028	143,853
2022-09-07	$177.70	$175.00	62.2%	17.5%	88.2%	33.8%	64.2%	8.0%	0.1%	7.8M	-218.9M	-6.2M	0.76	18.92	N/A	N/A	31,217	23,814	155,370	147,752
2022-09-08	$179.03	$170.00	60.2%	17.2%	83.9%	31.2%	60.9%	7.9%	0.1%	14.5M	-294.7M	-6.2M	0.43	18.83	N/A	N/A	41,727	17,883	162,985	153,305
2022-09-09	$188.34	$170.00	58.6%	16.7%	84.4%	29.1%	58.2%	7.2%	0.3%	21.6M	-659.7M	-6.6M	0.37	18.86	N/A	N/A	53,393	19,669	166,839	157,441
2022-09-12	$194.26	$170.00	62.0%	17.4%	84.8%	33.5%	61.7%	6.8%	-1.4%	17.7M	-731.6M	-6.7M	0.39	20.63	N/A	N/A	35,141	13,682	153,699	143,300
2022-09-13	$187.14	$170.00	64.7%	18.5%	86.3%	36.9%	65.4%	8.3%	-0.2%	13.3M	-496.7M	-6.6M	1.19	17.41	N/A	N/A	27,497	32,840	160,599	147,827
2022-09-14	$198.22	$175.00	63.1%	17.9%	87.8%	34.9%	65.0%	8.9%	-0.7%	21.3M	-852.6M	-6.8M	0.82	25.44	N/A	N/A	41,961	34,602	161,132	156,588
2022-09-15	$196.53	$170.00	64.8%	18.5%	86.6%	37.0%	64.2%	8.6%	-0.2%	21.1M	-824.2M	-6.9M	0.64	20.68	N/A	N/A	55,417	35,424	168,301	164,464
2022-09-16	$183.58	$170.00	67.2%	19.0%	90.9%	40.0%	67.3%	8.3%	-1.6%	3.3M	-263.7M	-6.8M	1.31	19.93	N/A	N/A	38,636	50,660	178,986	171,515
2022-09-19	$186.83	$175.00	64.7%	18.5%	88.3%	37.0%	64.4%	8.0%	-0.7%	4.6M	-308.2M	-6.8M	0.67	20.66	N/A	N/A	17,329	11,539	138,030	124,877
2022-09-20	$183.59	$180.00	66.0%	18.9%	88.2%	38.6%	67.5%	8.6%	0.1%	3.0M	-227.8M	-6.7M	0.64	17.77	N/A	N/A	16,011	10,290	145,134	126,585
2022-09-21	$179.20	$180.00	64.3%	18.4%	89.0%	36.4%	66.3%	9.0%	0.2%	-2.1M	-91.6M	-6.5M	0.75	19.59	N/A	N/A	16,823	12,569	147,317	128,466
2022-09-22	$173.78	$180.00	65.5%	18.8%	88.1%	38.0%	66.4%	8.2%	-0.3%	-10.6M	79.4M	-6.2M	1.06	24.28	N/A	N/A	19,011	20,170	150,793	130,701
2022-09-23	$172.14	$180.00	69.7%	20.0%	54.6%	43.3%	71.6%	8.0%	0.3%	-14.6M	88.2M	-6.3M	0.81	22.43	N/A	N/A	41,212	33,370	152,866	133,124
2022-09-26	$166.04	$180.00	74.2%	21.5%	55.2%	49.0%	74.3%	8.8%	0.2%	-3.0M	151.6M	-5.9M	0.93	19.12	N/A	N/A	30,759	28,733	130,316	123,982
2022-09-27	$170.35	$180.00	73.3%	21.1%	54.0%	47.8%	74.1%	10.4%	0.1%	-409.2K	59.9M	-6.2M	0.88	16.27	N/A	N/A	26,557	23,279	137,020	132,512
2022-09-28	$174.50	$180.00	69.5%	20.0%	54.8%	43.0%	70.7%	9.1%	0.3%	5.1M	-53.6M	-6.4M	0.95	20.98	N/A	N/A	18,594	17,684	142,121	136,831
2022-09-29	$170.62	$180.00	73.6%	21.0%	55.1%	48.2%	73.0%	9.6%	0.0%	217.3K	58.5M	-6.2M	1.17	20.37	N/A	N/A	18,822	22,113	143,835	138,922
2022-09-30	$170.92	$180.00	72.0%	20.5%	51.5%	46.2%	70.5%	8.6%	0.5%	-1.1M	52.7M	-6.2M	0.95	25.02	N/A	N/A	30,311	28,781	147,225	141,755