SNOW Options History — December 2022

In December 2022, SNOW traded between $135.74 and $153.63. ATM implied volatility averaged 63.5%, placing in the 25.9% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 8.0% (HV 20d: 71.5%). Max pain ranged from $160.00 to $180.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.90.

Notable Days

2022-12-01: Highest Volume — 149,052 contracts
2022-12-05: Largest IV spike — 7.8% change
2022-12-06: Highest IV Rank — 32.8%
2022-12-06: Largest Expected Move — 19.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$142.84	$135.74	$153.63	$153.63	$143.22
Max Pain	$169.76	$160.00	$180.00	$160.00	$160.00
ATM IV	63.5%	59.7%	68.2%	60.8%	62.0%
Expected Move	18.3%	17.1%	19.6%	19.1%	17.6%
HV 20d	71.5%	53.6%	96.2%	96.2%	53.6%
HV 60d	76.5%	75.8%	77.9%	76.0%	75.8%
IV Rank	25.9%	20.4%	32.8%	21.9%	23.7%
IV Percentile	21.1%	9.9%	35.7%	16.7%	14.7%
Term Structure	0.5%	-0.9%	1.8%	-0.6%	1.8%
VWIV	63.6%	58.1%	69.1%	66.2%	65.3%
Skew 25d	6.8%	5.7%	7.9%	7.9%	6.2%
Skew 10d	12.9%	11.5%	15.3%	14.9%	12.1%
Call IV 25d	60.5%	57.4%	65.0%	57.6%	58.8%
Put IV 25d	67.3%	63.1%	72.1%	65.5%	65.0%
Bid-Ask Spread %	19.60	3.54	45.49	20.81	4.17
Gamma HHI	0.05	0.03	0.12	0.05	0.04
Net GEX	-431.4K	-16.6M	13.2M	11.6M	4.4M
Net DEX	210.5M	-62.4M	471.9M	-62.4M	87.4M
Net VEX	-4.8M	-5.4M	-4.4M	-5.2M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.90	0.55	1.58	0.63	1.27
Total Volume	41,483.286	21,816	149,052	149,052	33,857
Total OI	333,383.333	285,348	394,526	364,641	318,378

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
2022-12-01	$153.63	$160.00	60.8%	19.1%	96.2%	21.9%	66.2%	7.9%	-0.6%	11.6M	-62.4M	-5.2M	0.63	20.81	N/A	N/A	91,317	57,735	194,618	170,023
2022-12-02	$150.28	$160.00	61.5%	19.0%	96.1%	23.1%	66.4%	6.8%	-0.0%	11.8M	20.8M	-5.4M	0.71	20.48	N/A	N/A	34,461	24,497	211,118	183,408
2022-12-05	$135.74	$180.00	66.3%	18.9%	89.1%	30.1%	66.9%	6.6%	0.2%	-5.0M	471.9M	-4.6M	0.83	28.67	N/A	N/A	35,660	29,706	179,491	146,628
2022-12-06	$136.43	$175.00	68.2%	19.6%	88.8%	32.8%	69.1%	7.7%	1.3%	-5.1M	425.1M	-4.9M	0.63	43.53	N/A	N/A	21,679	13,577	190,864	156,573
2022-12-07	$137.82	$175.00	67.8%	19.4%	88.9%	32.1%	64.0%	7.2%	0.9%	-2.8M	361.7M	-4.9M	0.55	38.75	N/A	N/A	24,688	13,693	194,805	157,641
2022-12-08	$143.46	$175.00	67.2%	19.2%	88.9%	31.2%	67.4%	6.4%	1.4%	6.9M	148.9M	-5.2M	0.69	40.80	N/A	N/A	25,553	17,703	198,829	159,241
2022-12-09	$144.54	$175.00	65.7%	18.8%	72.7%	29.1%	65.2%	6.5%	1.4%	13.2M	136.4M	-5.2M	0.81	39.46	N/A	N/A	21,307	17,340	200,793	163,158
2022-12-12	$150.78	$175.00	67.3%	19.1%	66.7%	31.5%	65.2%	7.7%	-0.9%	4.2M	21.7M	-5.3M	0.64	34.85	N/A	N/A	25,201	16,046	182,151	150,949
2022-12-13	$151.22	$175.00	62.8%	17.9%	66.7%	24.9%	62.5%	7.9%	-0.5%	4.5M	42.7M	-5.2M	0.84	44.45	N/A	N/A	20,206	17,022	185,949	156,471
2022-12-14	$147.97	$175.00	61.6%	17.5%	66.0%	23.1%	61.2%	6.6%	-0.5%	18.2K	163.8M	-5.1M	1.13	45.49	N/A	N/A	14,724	16,628	190,377	160,803
2022-12-15	$142.82	$175.00	62.1%	17.8%	64.0%	23.9%	62.9%	6.2%	-0.0%	-9.0M	326.5M	-4.8M	0.70	6.75	N/A	N/A	26,276	18,416	192,015	161,260
2022-12-16	$141.80	$170.00	62.1%	17.9%	62.0%	23.9%	61.3%	6.2%	-0.0%	-16.6M	354.5M	-4.7M	1.58	6.85	N/A	N/A	14,980	23,622	203,819	163,808
2022-12-19	$137.41	$170.00	62.0%	17.7%	62.9%	23.8%	59.9%	6.8%	1.4%	-5.7M	330.3M	-4.5M	0.59	4.58	N/A	N/A	20,940	12,274	155,408	129,940
2022-12-20	$140.94	$170.00	61.1%	17.5%	62.2%	22.5%	61.9%	5.9%	1.3%	-3.3M	242.8M	-4.7M	0.93	5.57	N/A	N/A	11,279	10,537	163,822	133,657
2022-12-21	$145.13	$170.00	59.7%	17.1%	63.0%	20.4%	58.1%	5.7%	0.8%	1.3M	133.8M	-4.8M	0.89	4.43	N/A	N/A	13,773	12,249	168,342	135,575
2022-12-22	$139.31	$170.00	64.3%	18.5%	63.6%	27.1%	64.2%	6.3%	-0.7%	-3.9M	269.8M	-4.6M	1.28	5.65	N/A	N/A	10,256	13,166	172,479	136,574
2022-12-23	$137.91	$170.00	61.4%	17.6%	63.2%	22.8%	61.1%	6.1%	0.1%	-9.1M	336.9M	-4.5M	1.01	4.62	N/A	N/A	14,668	14,867	175,506	139,307
2022-12-27	$137.67	$165.00	63.5%	18.2%	62.7%	26.0%	63.9%	6.7%	0.6%	-4.3M	269.2M	-4.4M	0.76	3.99	N/A	N/A	12,401	9,423	168,047	130,112
2022-12-28	$138.06	$160.00	63.8%	18.3%	61.8%	26.3%	61.7%	7.2%	0.8%	-4.2M	246.5M	-4.4M	1.58	4.10	N/A	N/A	13,525	21,427	172,908	133,488
2022-12-29	$143.40	$160.00	61.8%	17.7%	62.2%	23.5%	62.2%	7.2%	1.3%	1.8M	91.5M	-4.6M	0.84	3.54	N/A	N/A	13,319	11,151	176,798	135,917
2022-12-30	$143.22	$160.00	62.0%	17.6%	53.6%	23.7%	65.3%	6.2%	1.8%	4.4M	87.4M	-4.6M	1.27	4.17	N/A	N/A	14,935	18,922	180,081	138,297