SNOW Options History — November 2022

In November 2022, SNOW traded between $126.12 and $163.48. ATM implied volatility averaged 86.5%, placing in the 59.5% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded below realized volatility by 3.2% (HV 20d: 89.7%). Max pain ranged from $162.50 to $175.00. Net GEX was positive for 5 of 21 trading days. Term structure was in contango for 0 of 21 days. Put/call ratio averaged 0.94.

Notable Days

2022-11-04: Highest Volume — 117,136 contracts
2022-11-04: Largest IV spike — 6.4% change
2022-11-09: Highest IV Rank — 66.9%
2022-11-30: Largest Expected Move — 28.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$144.99	$126.12	$163.48	$159.46	$141.07
Max Pain	$171.31	$162.50	$175.00	$175.00	$162.50
ATM IV	86.5%	77.9%	91.7%	77.9%	84.7%
Expected Move	25.1%	19.4%	28.8%	19.4%	28.8%
HV 20d	89.7%	70.6%	100.8%	70.6%	94.7%
HV 60d	77.1%	71.4%	84.6%	72.4%	74.3%
IV Rank	59.5%	49.4%	66.9%	49.4%	56.7%
IV Percentile	88.4%	76.2%	94.0%	76.2%	83.7%
Term Structure	-3.3%	-4.8%	-1.7%	-2.4%	-4.8%
VWIV	86.9%	66.7%	101.1%	66.7%	101.1%
Skew 25d	10.7%	8.3%	12.7%	9.9%	10.6%
Skew 10d	20.6%	15.3%	23.9%	18.0%	22.0%
Call IV 25d	80.9%	74.8%	86.4%	74.8%	78.8%
Put IV 25d	91.7%	84.8%	96.6%	84.8%	89.4%
Bid-Ask Spread %	19.62	10.77	41.83	31.79	19.10
Gamma HHI	0.05	0.03	0.11	0.04	0.03
Net GEX	-2.5M	-13.7M	16.6M	-3.1M	-979.1K
Net DEX	287.9M	-360.9M	881.7M	276.7M	274.8M
Net VEX	-5.2M	-6.3M	-4.3M	-5.9M	-4.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.94	0.52	1.65	0.52	1.30
Total Volume	55,804.619	16,768	117,136	36,789	83,472
Total OI	327,952.19	282,283	364,646	314,708	321,520

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
2022-11-01	$159.46	$175.00	77.9%	19.4%	70.6%	49.4%	66.7%	9.9%	-2.4%	-3.1M	276.7M	-5.9M	0.52	31.79	N/A	N/A	24,254	12,535	163,128	151,580
2022-11-02	$147.77	$175.00	81.8%	20.3%	74.1%	53.1%	71.5%	8.3%	-1.8%	-11.3M	564.3M	-5.3M	0.56	41.83	N/A	N/A	42,106	23,520	166,583	153,697
2022-11-03	$151.87	$175.00	82.8%	22.7%	74.9%	54.1%	77.3%	9.5%	-3.1%	-7.1M	423.9M	-5.6M	0.63	16.19	N/A	N/A	36,865	23,239	179,997	155,967
2022-11-04	$131.84	$175.00	88.1%	24.2%	85.5%	61.7%	82.1%	9.0%	-3.3%	-13.1M	881.7M	-4.5M	1.22	19.66	N/A	N/A	52,686	64,450	177,860	158,672
2022-11-07	$129.58	$175.00	88.6%	24.4%	79.8%	62.3%	82.9%	10.3%	-2.8%	-9.8M	697.7M	-4.4M	0.81	24.89	N/A	N/A	39,538	32,222	171,254	147,297
2022-11-08	$130.02	$175.00	88.8%	24.8%	79.3%	62.7%	85.1%	9.9%	-1.7%	-6.8M	627.9M	-4.5M	1.20	16.69	N/A	N/A	23,762	28,427	185,338	150,488
2022-11-09	$126.12	$175.00	91.7%	25.5%	78.3%	66.9%	87.1%	10.2%	-3.0%	-9.1M	684.8M	-4.3M	0.95	27.60	N/A	N/A	23,443	22,371	186,933	152,265
2022-11-10	$145.58	$175.00	89.0%	25.0%	95.7%	63.0%	86.0%	10.6%	-1.9%	2.6M	137.3M	-5.4M	0.70	20.45	N/A	N/A	50,211	35,222	193,908	153,867
2022-11-11	$159.20	$175.00	87.9%	24.8%	100.8%	61.4%	86.9%	11.3%	-2.2%	16.6M	-360.9M	-6.1M	0.65	10.77	N/A	N/A	57,013	36,986	203,710	160,936
2022-11-14	$158.78	$170.00	89.5%	25.4%	94.7%	63.7%	88.8%	11.6%	-3.9%	4.7M	-126.3M	-6.1M	0.90	17.28	N/A	N/A	28,328	25,508	185,687	148,147
2022-11-15	$163.48	$170.00	88.8%	25.3%	94.6%	62.7%	88.4%	12.7%	-3.4%	9.3M	-274.9M	-6.3M	0.94	14.87	N/A	N/A	24,516	22,982	191,311	153,677
2022-11-16	$154.31	$170.00	88.1%	25.3%	96.5%	61.7%	87.2%	11.2%	-3.6%	-1.2M	41.3M	-5.8M	1.65	18.27	N/A	N/A	15,285	25,158	192,668	155,571
2022-11-17	$147.20	$170.00	90.3%	26.1%	97.3%	64.9%	89.4%	12.0%	-4.2%	-9.5M	287.8M	-5.4M	1.53	19.51	N/A	N/A	25,137	38,355	196,739	159,059
2022-11-18	$146.55	$170.00	87.3%	25.4%	96.7%	60.5%	88.5%	10.9%	-3.4%	-13.7M	286.5M	-5.3M	0.97	20.35	N/A	N/A	27,023	26,160	200,160	161,470
2022-11-21	$141.02	$170.00	87.9%	26.2%	97.2%	61.4%	91.3%	11.7%	-3.7%	-3.2M	317.3M	-5.0M	0.99	11.38	N/A	N/A	18,604	18,504	154,379	127,904
2022-11-22	$142.69	$170.00	85.0%	25.8%	95.8%	57.1%	89.9%	12.0%	-3.7%	-1.5M	278.0M	-5.0M	1.04	16.24	N/A	N/A	19,780	20,653	162,353	132,652
2022-11-23	$147.18	$170.00	84.7%	25.6%	95.0%	56.8%	89.4%	11.2%	-4.3%	8.2M	123.6M	-5.3M	0.75	16.38	N/A	N/A	29,608	22,181	170,898	136,168
2022-11-25	$143.82	$170.00	83.7%	26.3%	95.1%	55.3%	88.7%	12.0%	-4.4%	-55.5K	246.3M	-5.1M	0.83	13.66	N/A	N/A	9,167	7,601	175,501	143,683
2022-11-28	$140.69	$165.00	84.3%	27.8%	93.3%	56.2%	98.8%	10.6%	-3.7%	-1.3M	290.3M	-4.8M	0.81	11.27	N/A	N/A	16,086	13,070	161,509	132,448
2022-11-29	$136.56	$165.00	85.0%	28.5%	93.6%	57.1%	98.5%	9.9%	-3.0%	-2.7M	367.7M	-4.7M	0.80	23.76	N/A	N/A	14,389	11,480	169,818	140,194
2022-11-30	$141.07	$162.50	84.7%	28.8%	94.7%	56.7%	101.1%	10.6%	-4.8%	-979.1K	274.8M	-4.9M	1.30	19.10	N/A	N/A	36,263	47,209	176,014	145,506