SNOW Options History — March 2024 In March 2024, SNOW traded between $156.64 and $187.68. ATM implied volatility averaged 40.6%, placing in the 22.5% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 42.4% (HV 20d: 82.9%). Max pain ranged from $170.00 to $195.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.54.
Notable Days 2024-03-01 : Highest Volume — 268,108 contracts2024-03-12 : Largest IV drop — 4.4% change2024-03-05 : Highest IV Rank — 36.7%2024-03-01 : Largest Expected Move — 13.3%Monthly Statistics Metric Avg Min Max Open Close Price $163.34 $156.64 $187.68 $187.68 $161.94 Max Pain $177.50 $170.00 $195.00 $195.00 $170.00 ATM IV 40.6% 37.5% 45.3% 43.0% 37.9% Expected Move 11.5% 10.2% 13.3% 13.3% 10.2% HV 20d 82.9% 37.2% 92.9% 92.9% 37.2% HV 60d 61.5% 59.2% 62.2% 59.2% 61.2% IV Rank 22.5% 13.5% 36.7% 29.6% 14.8% IV Percentile 19.4% 10.3% 30.6% 23.4% 15.1% Term Structure 0.3% -1.3% 1.7% -1.3% 0.9% VWIV 41.7% 36.9% 48.4% 48.4% 36.9% Skew 25d -1.2% -2.3% -0.3% -1.1% -1.2% Skew 10d -3.4% -7.6% -1.6% -4.2% -3.9% Call IV 25d 42.1% 38.5% 46.3% 45.4% 39.3% Put IV 25d 40.9% 37.4% 45.5% 44.2% 38.1% Bid-Ask Spread % 5.93 3.91 10.09 5.14 5.07 Gamma HHI 0.08 0.04 0.15 0.15 0.15 Net GEX 619.3K -23.8M 45.8M 45.8M 36.6M Net DEX 413.4M -230.1M 868.9M -230.1M 14.2M Net VEX -11.5M -11.9M -10.9M -11.9M -11.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.54 0.27 0.98 0.47 0.30 Total Volume 111,013.1 47,776 268,108 268,108 150,513 Total OI 555,043.45 484,582 620,318 620,318 532,189
Daily Data (20 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 2024-03-01 $187.68 $195.00 43.0% 13.3% 92.9% 29.6% 48.4% -1.1% -1.3% 45.8M -230.1M -11.9M 0.47 5.14 N/A N/A 182,809 85,299 366,715 253,603 2024-03-04 $178.10 $190.00 44.3% 12.4% 87.7% 33.6% 44.9% -2.3% -0.4% 1.0M 77.6M -11.9M 0.51 7.83 N/A N/A 123,386 62,313 310,686 213,822 2024-03-05 $167.01 $185.00 45.3% 12.7% 89.8% 36.7% 45.8% -0.8% -1.0% -11.9M 707.7M -11.6M 0.72 8.55 N/A N/A 106,829 76,949 340,570 231,588 2024-03-06 $167.19 $185.00 43.7% 12.4% 89.9% 31.8% 45.4% -1.6% -0.5% -8.8M 575.7M -11.9M 0.78 7.57 N/A N/A 91,037 71,139 364,003 238,966 2024-03-07 $168.73 $180.00 43.9% 12.4% 89.1% 32.5% 44.8% -2.0% -0.3% -8.1M 453.9M -11.9M 0.65 6.90 N/A N/A 62,898 40,754 362,879 239,822 2024-03-08 $162.59 $180.00 43.5% 12.4% 88.4% 31.1% 45.2% -0.8% -0.2% -22.7M 868.9M -11.4M 0.58 10.09 N/A N/A 87,700 50,956 373,556 245,812 2024-03-11 $162.21 $180.00 42.6% 12.2% 85.5% 28.7% 44.3% -1.3% 0.1% -9.3M 639.9M -11.4M 0.55 6.87 N/A N/A 59,072 32,416 327,412 230,932 2024-03-12 $161.47 $180.00 40.8% 11.7% 85.6% 23.1% 42.3% -1.6% -0.1% -8.9M 595.8M -11.4M 0.53 4.68 N/A N/A 53,776 28,342 346,758 231,208 2024-03-13 $162.36 $180.00 40.0% 11.4% 86.0% 20.8% 41.7% -1.7% -0.1% 211.6K 409.3M -11.6M 0.88 6.13 N/A N/A 58,011 50,772 362,346 230,727 2024-03-14 $158.29 $180.00 40.1% 11.5% 83.7% 21.3% 41.8% -1.2% -0.4% -23.8M 698.8M -11.1M 0.98 5.46 N/A N/A 44,088 43,307 364,305 231,561 2024-03-15 $156.97 $175.00 39.7% 11.4% 83.8% 20.1% 41.3% -0.8% 0.1% -23.8M 763.3M -11.0M 0.67 4.99 N/A N/A 42,163 28,166 371,687 235,945 2024-03-18 $156.64 $175.00 38.8% 11.1% 83.9% 17.4% 40.1% -0.3% 1.0% -5.9M 591.3M -10.9M 0.46 3.91 N/A N/A 43,063 19,990 281,630 202,952 2024-03-19 $157.28 $175.00 38.2% 11.0% 83.6% 15.6% 39.3% -0.7% 1.4% 1.5M 464.9M -11.0M 0.47 4.19 N/A N/A 43,831 20,792 295,844 204,187 2024-03-20 $163.31 $170.00 37.5% 10.8% 85.7% 13.5% 38.9% -1.3% 1.5% 19.3M 21.6M -11.7M 0.31 4.50 N/A N/A 98,545 30,686 302,723 207,771 2024-03-21 $159.64 $170.00 37.6% 10.7% 81.9% 13.9% 38.9% -1.4% 1.4% 6.8M 307.5M -11.4M 0.44 5.90 N/A N/A 72,468 31,702 311,535 215,520 2024-03-22 $159.39 $170.00 37.9% 10.7% 81.6% 14.6% 38.6% -1.1% 1.7% 11.9M 341.3M -11.5M 0.43 4.53 N/A N/A 42,969 18,631 320,100 219,924 2024-03-25 $158.24 $170.00 39.0% 10.8% 81.0% 17.9% 38.9% -0.9% 0.9% 254.6K 377.0M -11.4M 0.27 4.25 N/A N/A 37,526 10,250 292,120 206,074 2024-03-26 $158.31 $170.00 38.7% 10.7% 80.4% 17.1% 38.8% -1.1% 1.1% 3.0M 354.1M -11.4M 0.52 4.69 N/A N/A 40,892 21,195 302,391 209,022 2024-03-27 $159.54 $170.00 38.4% 10.4% 81.0% 16.0% 37.8% -0.9% 1.0% 9.6M 234.7M -11.6M 0.29 7.41 N/A N/A 42,645 12,382 310,741 211,243 2024-03-28 $161.94 $170.00 37.9% 10.2% 37.2% 14.8% 36.9% -1.2% 0.9% 36.6M 14.2M -11.8M 0.30 5.07 N/A N/A 115,339 35,174 319,736 212,453
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