SNOW Options History — October 2023 In October 2023, SNOW traded between $140.35 and $163.70. ATM implied volatility averaged 47.2%, placing in the 18.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 7.5% (HV 20d: 39.7%). Max pain ranged from $150.00 to $160.00. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.95.
Notable Days 2023-10-06 : Highest Volume — 78,330 contracts2023-10-30 : Largest IV spike — 10.0% change2023-10-31 : Highest IV Rank — 40.6%2023-10-26 : Largest Expected Move — 15.1%Monthly Statistics Metric Avg Min Max Open Close Price $152.68 $140.35 $163.70 $150.25 $145.07 Max Pain $157.95 $150.00 $160.00 $150.00 $155.00 ATM IV 47.2% 42.7% 59.1% 44.9% 59.1% Expected Move 13.3% 12.1% 15.1% 12.2% 14.0% HV 20d 39.7% 34.1% 45.1% 34.4% 44.3% HV 60d 41.2% 38.7% 42.6% 42.1% 38.7% IV Rank 18.9% 10.9% 40.6% 14.8% 40.6% IV Percentile 18.2% 7.5% 56.3% 9.9% 56.3% Term Structure 1.8% -1.8% 10.5% -0.1% -1.8% VWIV 46.3% 42.2% 51.9% 42.5% 49.1% Skew 25d 4.0% 2.6% 6.0% 3.1% 5.9% Skew 10d 7.8% 5.6% 11.4% 6.1% 11.0% Call IV 25d 45.5% 41.6% 57.8% 43.7% 57.5% Put IV 25d 49.5% 44.6% 63.8% 46.8% 63.5% Bid-Ask Spread % 2.87 2.09 5.10 2.42 2.80 Gamma HHI 0.07 0.04 0.41 0.05 0.05 Net GEX -245.3K -30.4M 65.7M -3.5M -5.0M Net DEX 1.8M -561.3M 548.9M 74.5M 237.8M Net VEX -6.5M -7.1M -5.8M -6.6M -5.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.95 0.30 2.07 0.79 0.91 Total Volume 36,043.091 18,197 78,330 35,625 18,197 Total OI 365,461.409 322,616 386,623 349,934 350,342
Daily Data (22 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 2023-10-02 $150.25 $150.00 44.9% 12.2% 34.4% 14.8% 42.5% 3.1% -0.1% -3.5M 74.5M -6.6M 0.79 2.42 N/A N/A 19,887 15,738 184,416 165,518 2023-10-03 $148.12 $150.00 46.8% 13.0% 34.1% 18.3% 45.3% 3.7% -0.4% -10.0M 185.6M -6.6M 0.98 2.93 N/A N/A 10,499 10,342 192,917 174,500 2023-10-04 $152.53 $150.00 44.6% 12.1% 35.7% 14.2% 42.2% 3.5% -0.2% 2.1M -30.4M -6.7M 1.04 3.03 N/A N/A 11,553 11,972 195,303 177,734 2023-10-05 $150.25 $160.00 45.1% 13.0% 35.3% 15.2% 45.0% 3.5% -0.0% -9.0M 105.4M -6.6M 0.70 2.96 N/A N/A 20,241 14,142 197,625 180,666 2023-10-06 $159.86 $160.00 44.5% 12.7% 39.9% 14.0% 44.7% 3.0% -0.2% 65.7M -497.4M -6.9M 0.75 2.14 N/A N/A 44,878 33,452 202,057 182,796 2023-10-09 $162.18 $160.00 44.8% 12.8% 38.5% 14.5% 44.8% 2.6% 0.0% 13.7M -479.9M -7.1M 1.04 2.23 N/A N/A 17,603 18,383 187,412 173,090 2023-10-10 $163.70 $160.00 43.5% 12.5% 38.1% 12.2% 44.7% 2.9% 0.1% 19.0M -561.3M -7.1M 1.08 2.19 N/A N/A 14,110 15,260 193,633 177,067 2023-10-11 $163.45 $160.00 42.9% 12.3% 37.8% 11.2% 43.8% 2.9% 0.1% 16.6M -524.3M -7.0M 1.54 2.18 N/A N/A 8,665 13,351 195,282 180,752 2023-10-12 $160.44 $160.00 42.7% 12.3% 38.2% 10.9% 43.5% 2.9% 0.3% 5.8M -328.6M -6.9M 1.58 3.88 N/A N/A 12,921 20,355 196,945 183,338 2023-10-13 $157.38 $160.00 45.0% 12.9% 38.7% 14.9% 45.6% 3.4% 0.1% 4.9M -135.4M -6.8M 1.16 2.47 N/A N/A 15,138 17,553 200,453 186,170 2023-10-16 $162.12 $160.00 43.8% 12.5% 40.2% 12.7% 43.7% 3.4% -0.9% 11.3M -405.3M -6.7M 1.25 2.31 N/A N/A 16,441 20,563 185,502 169,316 2023-10-17 $159.28 $160.00 43.5% 12.5% 40.6% 12.2% 44.2% 3.4% -1.0% 4.3M -238.3M -6.6M 2.07 2.11 N/A N/A 9,267 19,216 190,808 174,217 2023-10-18 $152.84 $160.00 45.5% 13.1% 43.2% 15.9% 45.3% 3.9% -1.0% -15.8M 140.1M -6.3M 0.78 2.36 N/A N/A 19,993 15,647 193,199 179,217 2023-10-19 $153.20 $160.00 46.0% 13.2% 37.4% 16.7% 46.2% 4.3% -1.3% -13.4M 80.4M -6.3M 0.74 2.09 N/A N/A 18,942 13,992 199,429 178,612 2023-10-20 $147.87 $160.00 47.1% 13.6% 39.6% 18.9% 47.8% 5.0% -1.3% -30.4M 396.0M -6.0M 0.90 5.10 N/A N/A 28,215 25,465 201,986 180,727 2023-10-23 $149.00 $160.00 47.1% 13.9% 39.7% 18.7% 48.3% 4.6% 10.0% -10.2M 217.7M -6.0M 0.62 2.39 N/A N/A 23,832 14,817 168,777 153,839 2023-10-24 $151.25 $160.00 47.8% 14.2% 39.1% 20.1% 49.1% 4.4% 9.7% -4.3M 91.8M -6.3M 0.30 4.03 N/A N/A 32,736 9,735 178,460 162,429 2023-10-25 $142.24 $160.00 50.2% 14.9% 45.1% 24.5% 51.3% 5.2% 9.9% -17.7M 490.3M -5.9M 0.59 3.04 N/A N/A 34,604 20,589 191,086 167,588 2023-10-26 $140.35 $160.00 52.5% 15.1% 44.1% 28.6% 51.9% 5.2% 9.6% -18.3M 548.9M -5.8M 0.55 4.56 N/A N/A 25,925 14,372 198,531 171,582 2023-10-27 $142.91 $155.00 52.5% 14.5% 44.4% 28.7% 50.3% 5.0% 10.5% -6.4M 428.3M -5.9M 0.80 3.17 N/A N/A 20,867 16,723 204,590 174,133 2023-10-30 $144.70 $155.00 57.8% 14.1% 44.5% 38.3% 48.9% 6.0% -1.6% -4.7M 244.0M -5.9M 0.82 2.65 N/A N/A 14,744 12,023 182,164 155,943 2023-10-31 $145.07 $155.00 59.1% 14.0% 44.3% 40.6% 49.1% 5.9% -1.8% -5.0M 237.8M -5.9M 0.91 2.80 N/A N/A 9,519 8,678 188,072 162,270
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