SNOW Options History — September 2023

In September 2023, SNOW traded between $146.78 and $170.81. ATM implied volatility averaged 40.0%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 11.4%. IV traded above realized volatility by 3.2% (HV 20d: 36.9%). Max pain ranged from $145.00 to $160.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.79.

Notable Days

  • 2023-09-08: Highest Volume — 137,788 contracts
  • 2023-09-21: Largest IV spike — 11.7% change
  • 2023-09-26: Highest IV Rank — 15.9%
  • 2023-09-26: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$157.77$146.78$170.81$157.13$152.59
Max Pain$151.88$145.00$160.00$160.00$150.00
ATM IV40.0%36.8%45.5%37.9%43.0%
Expected Move11.4%10.0%12.6%10.0%11.7%
HV 20d36.9%33.5%41.7%38.4%34.1%
HV 60d43.7%41.4%46.3%46.0%42.0%
IV Rank5.2%0.0%15.9%0.0%11.4%
IV Percentile3.2%0.0%8.7%0.0%7.9%
Term Structure0.8%0.2%2.1%0.9%0.7%
VWIV39.8%35.3%44.1%35.3%41.2%
Skew 25d2.2%1.3%3.4%1.5%2.9%
Skew 10d4.3%2.9%6.6%3.1%5.4%
Call IV 25d39.3%36.5%44.1%37.2%42.1%
Put IV 25d41.5%38.1%47.5%38.7%44.9%
Bid-Ask Spread %2.441.815.362.622.29
Gamma HHI0.090.050.420.270.12
Net GEX7.5M-20.1M74.2M29.4M14.8M
Net DEX-170.5M-814.9M328.1M-207.1M-74.9M
Net VEX-6.9M-7.3M-6.6M-6.9M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.790.601.130.600.82
Total Volume47,826.7522,573137,78851,85748,296
Total OI365,158.85320,159394,776394,776384,840

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2023-09-01$157.13$160.0037.9%10.0%38.4%0.0%35.3%1.5%0.9%29.4M-207.1M-6.9M0.602.62N/AN/A32,41619,441204,887189,889
2023-09-05$159.33$145.0038.8%11.4%38.9%1.7%40.1%1.3%0.4%7.0M-242.7M-6.9M0.661.89N/AN/A21,79414,355173,547169,211
2023-09-06$156.91$145.0039.5%11.5%34.9%3.0%40.4%1.5%0.5%3.8M-131.7M-6.8M1.032.14N/AN/A17,59618,083180,425173,936
2023-09-07$159.66$145.0039.5%11.5%34.5%2.9%40.0%1.7%0.3%14.2M-285.6M-6.9M0.792.08N/AN/A30,82324,427184,477178,301
2023-09-08$165.61$145.0038.1%11.1%36.7%0.4%38.7%1.4%0.3%74.2M-734.4M-7.0M0.602.34N/AN/A85,94651,842198,014182,858
2023-09-11$170.81$150.0037.7%10.9%37.6%0.0%38.6%1.4%0.2%24.7M-814.9M-7.3M0.655.36N/AN/A37,54824,475185,645172,344
2023-09-12$167.18$150.0038.6%11.2%38.6%1.5%39.5%1.4%0.4%17.7M-614.9M-7.3M1.131.97N/AN/A17,90620,270192,823178,203
2023-09-13$164.91$150.0037.7%10.9%38.7%0.0%38.2%1.7%0.4%11.7M-465.0M-7.2M1.052.06N/AN/A18,56219,438194,546181,583
2023-09-14$163.34$150.0036.8%10.6%38.8%0.0%37.2%1.6%0.4%3.9M-363.0M-7.1M0.951.88N/AN/A24,99123,803196,858185,607
2023-09-15$162.01$155.0037.6%10.9%37.6%1.5%37.9%1.8%0.7%15.4M-283.0M-7.1M0.892.25N/AN/A20,06517,828201,743189,191
2023-09-18$161.35$155.0037.9%10.9%37.7%2.1%38.6%1.9%2.1%563.6K-228.2M-7.0M0.911.81N/AN/A18,63917,032163,634156,525
2023-09-19$160.15$155.0038.1%10.9%36.5%2.5%38.6%2.5%1.7%-4.8M-154.1M-7.1M0.611.85N/AN/A21,25612,893170,655165,773
2023-09-20$159.32$155.0037.9%10.9%36.6%2.0%38.4%2.4%1.6%-6.2M-129.6M-7.0M0.762.75N/AN/A18,46713,995178,071169,267
2023-09-21$150.08$155.0042.3%12.1%41.7%10.1%42.1%3.0%1.3%-20.1M328.1M-6.6M0.652.07N/AN/A49,93432,464184,035171,558
2023-09-22$150.37$155.0041.0%11.6%37.6%7.8%40.5%2.7%1.7%-10.8M186.1M-6.8M0.952.41N/AN/A22,70821,476202,928171,438
2023-09-25$150.11$155.0043.3%12.1%35.4%11.9%42.1%3.3%0.8%-6.1M156.2M-6.8M0.771.90N/AN/A12,7459,828189,220167,878
2023-09-26$146.78$155.0045.5%12.6%34.9%15.9%44.1%3.4%0.6%-11.0M298.5M-6.6M0.632.33N/AN/A19,87612,567194,807171,641
2023-09-27$147.06$155.0044.8%12.3%33.5%14.6%42.5%3.3%0.6%-10.7M285.5M-6.6M0.844.51N/AN/A14,38312,056197,110173,841
2023-09-28$150.76$152.5044.5%12.3%34.5%14.0%42.6%3.1%0.5%2.1M65.0M-6.8M0.602.25N/AN/A35,08421,227201,058174,810
2023-09-29$152.59$150.0043.0%11.7%34.1%11.4%41.2%2.9%0.7%14.8M-74.9M-6.8M0.822.29N/AN/A26,57621,720205,064179,776