SNOW Options History — September 2024

In September 2024, SNOW traded between $108.47 and $114.69. ATM implied volatility averaged 41.4%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 11.8%. IV traded below realized volatility by 11.2% (HV 20d: 52.6%). Max pain ranged from $116.00 to $121.00. Net GEX was positive for 9 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.69.

Notable Days

  • 2024-09-27: Highest Volume — 103,159 contracts
  • 2024-09-30: Largest IV spike — 7.0% change
  • 2024-09-30: Highest IV Rank — 27.2%
  • 2024-09-30: Largest Expected Move — 12.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$111.99$108.47$114.69$109.72$114.56
Max Pain$119.70$116.00$121.00$121.00$117.00
ATM IV41.4%38.5%46.0%42.4%46.0%
Expected Move11.8%11.0%12.6%12.2%12.6%
HV 20d52.6%29.3%67.6%67.6%29.3%
HV 60d50.7%49.1%51.9%51.5%49.2%
IV Rank17.8%11.7%27.2%19.8%27.2%
IV Percentile40.2%24.2%59.1%45.2%59.1%
Term Structure0.4%-2.5%2.1%-2.5%1.3%
VWIV41.1%39.0%44.1%43.0%44.1%
Skew 25d2.2%0.7%4.2%2.0%1.5%
Skew 10d3.8%0.4%6.4%3.8%3.0%
Call IV 25d40.4%37.9%45.2%41.9%45.2%
Put IV 25d42.6%39.6%46.7%43.9%46.7%
Bid-Ask Spread %22.297.8638.2215.3612.56
Gamma HHI0.090.050.420.070.05
Net GEX-3.3M-56.7M46.6M-14.7M9.6M
Net DEX536.6M113.3M841.9M820.1M188.2M
Net VEX-8.5M-9.4M-8.0M-8.1M-9.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.690.242.000.610.25
Total Volume61,69629,772103,15956,88645,756
Total OI602,601.2530,375644,387591,774576,161

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2024-09-03$109.72$121.0042.4%12.2%67.6%19.8%43.0%2.0%-2.5%-14.7M820.1M-8.1M0.6115.36N/AN/A35,27121,615352,395239,379
2024-09-04$110.91$120.0042.0%12.0%66.3%19.0%41.7%1.7%0.3%-11.5M716.2M-8.4M0.5520.70N/AN/A28,65415,808363,528243,770
2024-09-05$112.40$120.0041.8%12.0%66.5%18.5%41.4%2.8%0.0%-5.6M609.4M-8.7M2.0030.47N/AN/A19,52738,967372,453247,107
2024-09-06$108.47$120.0043.7%12.4%64.8%22.5%43.5%2.1%-0.2%-19.0M841.9M-8.3M1.1927.36N/AN/A42,84851,187374,527248,939
2024-09-09$109.56$120.0042.6%12.2%64.5%20.3%42.4%0.8%-0.0%-11.5M748.3M-8.2M0.9124.61N/AN/A21,52219,541353,998240,534
2024-09-10$110.12$120.0042.4%12.1%64.6%19.7%41.8%4.2%0.9%-9.5M709.7M-8.3M0.6729.71N/AN/A17,87911,893360,997243,128
2024-09-11$112.05$120.0042.0%12.0%62.8%18.9%41.2%3.1%0.1%-788.5K587.5M-8.5M0.4623.11N/AN/A32,65815,049367,541244,828
2024-09-12$113.06$120.0040.9%11.6%63.1%16.7%40.7%0.7%-0.6%8.8M519.8M-8.6M0.8533.72N/AN/A39,98934,041376,403249,422
2024-09-13$113.67$120.0039.1%11.4%63.2%12.9%39.7%2.5%2.1%4.0M450.0M-8.6M0.5126.07N/AN/A36,57818,616381,098249,482
2024-09-16$112.16$120.0041.3%11.8%62.7%17.5%40.9%2.0%1.5%-8.2M588.8M-8.3M0.7222.08N/AN/A19,40314,013360,932238,520
2024-09-17$111.81$120.0041.3%11.8%61.8%17.4%41.3%2.3%0.1%-9.2M615.2M-8.3M0.8028.34N/AN/A19,62315,650367,871241,634
2024-09-18$110.78$120.0040.7%11.7%61.7%16.2%40.5%2.8%0.3%-16.6M689.3M-8.1M0.6338.22N/AN/A27,74317,566373,704246,220
2024-09-19$114.28$120.0038.5%11.0%61.9%11.7%39.0%1.7%1.1%2.9M398.4M-8.4M1.2022.80N/AN/A41,15049,474383,083247,820
2024-09-20$110.66$120.0039.1%11.2%32.9%12.8%39.1%2.2%-0.8%-56.7M687.3M-8.0M0.4523.48N/AN/A58,34326,176389,563254,824
2024-09-23$113.02$120.0039.4%11.1%33.9%13.4%39.0%2.8%1.0%1.2M378.2M-8.3M0.3613.09N/AN/A45,88116,685303,827226,548
2024-09-24$111.88$120.0039.9%11.3%32.9%14.6%39.6%2.7%0.9%795.3K437.1M-8.3M0.7719.33N/AN/A35,75027,526321,242232,562
2024-09-25$112.98$120.0041.2%11.7%32.5%17.4%40.6%1.7%1.5%9.9M328.8M-8.6M0.247.86N/AN/A70,48217,137330,318243,154
2024-09-26$113.04$120.0041.8%11.8%30.0%18.5%41.4%2.5%0.7%13.0M304.6M-8.8M0.388.74N/AN/A58,57822,182341,968246,479
2024-09-27$114.69$116.0042.9%12.0%29.4%20.9%42.0%1.3%0.9%46.6M113.3M-9.4M0.2418.17N/AN/A83,41219,747364,548251,517
2024-09-30$114.56$117.0046.0%12.6%29.3%27.2%44.1%1.5%1.3%9.6M188.2M-9.3M0.2512.56N/AN/A36,5189,238343,038233,123