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Snowflake Inc. SNOW

TECHNOLOGY · SOFTWARE - APPLICATION
i

Market dataready · fetched 2026-11-06T22:34:04.961Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-13

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-06T21:41:18.428203101Z

FundamentalsAlpha Vantage · ready · quarter 2026-07-31 · fetched 2026-11-06T22:34:03.400447+00:00

Share price$275.90
1D-2.1%
AH$266$271$275$280$2845:30 AM6:30 AM9:00 AM1:00 PM2:00 PMSNOW
Sold putSold callAH

Snowflake Inc. options

Live interpolated SNOW call and put midpoint premiums by absolute delta.Snowflake Inc.$1.83$7.74$13.64$19.55$25.45$231.03$252.89$274.74$296.60$318.4620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80ΔOPTION PRICELive SNOW spot · $275.90SNOW PRICE$2.47$3.33$4.28$5.36$6.53$7.85$9.36$11.00$12.93$15.00$17.60$20.33$23.75$3.25$4.26$5.30$6.46$7.65$9.02$10.41$12.11$13.91$15.85$18.17$20.78$23.31
PutsCheap0.68×
CallsCheap0.84×
SkewBearish+0.45 pp
Implied moveBearish±$19.78
TiltBearish3.7% PUT
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ297.2160.2%8.6%255.0072.6%8.8%
25Δ293.3260.9%7.5%259.6271.1%7.4%
30Δ289.7561.4%6.6%263.7669.2%6.3%
35Δ286.5262.3%5.8%267.4468.0%5.4%
40Δ283.3563.0%5.1%270.8866.5%4.6%
45Δ280.2763.8%4.4%274.0965.7%3.9%
50Δ277.2264.9%3.9%277.2064.5%3.3%
55Δ274.0965.6%3.3%280.3164.2%2.8%
60Δ270.8666.8%2.9%283.4363.6%2.3%
65Δ267.5067.5%2.4%286.5862.6%1.9%
70Δ263.7969.0%2.0%289.9562.2%1.5%
75Δ259.9369.6%1.6%293.5361.5%1.1%
80Δ255.5070.6%1.2%296.9759.6%0.8%

20Δ

Calls
Pseudo strike
297.21
IV
60.2%
B/E move
8.6%
Puts
Pseudo strike
255.00
IV
72.6%
B/E move
8.8%

25Δ

Calls
Pseudo strike
293.32
IV
60.9%
B/E move
7.5%
Puts
Pseudo strike
259.62
IV
71.1%
B/E move
7.4%

30Δ

Calls
Pseudo strike
289.75
IV
61.4%
B/E move
6.6%
Puts
Pseudo strike
263.76
IV
69.2%
B/E move
6.3%

35Δ

Calls
Pseudo strike
286.52
IV
62.3%
B/E move
5.8%
Puts
Pseudo strike
267.44
IV
68.0%
B/E move
5.4%

40Δ

Calls
Pseudo strike
283.35
IV
63.0%
B/E move
5.1%
Puts
Pseudo strike
270.88
IV
66.5%
B/E move
4.6%

45Δ

Calls
Pseudo strike
280.27
IV
63.8%
B/E move
4.4%
Puts
Pseudo strike
274.09
IV
65.7%
B/E move
3.9%

50Δ

Calls
Pseudo strike
277.22
IV
64.9%
B/E move
3.9%
Puts
Pseudo strike
277.20
IV
64.5%
B/E move
3.3%

55Δ

Calls
Pseudo strike
274.09
IV
65.6%
B/E move
3.3%
Puts
Pseudo strike
280.31
IV
64.2%
B/E move
2.8%

60Δ

Calls
Pseudo strike
270.86
IV
66.8%
B/E move
2.9%
Puts
Pseudo strike
283.43
IV
63.6%
B/E move
2.3%

65Δ

Calls
Pseudo strike
267.50
IV
67.5%
B/E move
2.4%
Puts
Pseudo strike
286.58
IV
62.6%
B/E move
1.9%

70Δ

Calls
Pseudo strike
263.79
IV
69.0%
B/E move
2.0%
Puts
Pseudo strike
289.95
IV
62.2%
B/E move
1.5%

75Δ

Calls
Pseudo strike
259.93
IV
69.6%
B/E move
1.6%
Puts
Pseudo strike
293.53
IV
61.5%
B/E move
1.1%

80Δ

Calls
Pseudo strike
255.50
IV
70.6%
B/E move
1.2%
Puts
Pseudo strike
296.97
IV
59.6%
B/E move
0.8%

Options history

IV · four-Friday blend62.44%
Daily close
SNOW35.3%84.3%133.4%2026-08-10: 60.33%2026-08-11: 59.11%2026-08-12: 56.18%2026-08-13: 57.83%2026-08-14: 59.01%2026-08-17: 63.59%2026-08-18: 64.51%2026-08-19: 65.09%2026-08-20: 66.45%2026-08-21: 72.80%2026-08-24: 78.74%2026-08-25: 79.41%2026-08-26: 80.28%2026-08-27: 81.27%2026-08-28: 86.10%2026-08-31: 97.10%2026-09-01: 109.62%2026-09-02: 126.66%2026-09-03: 51.22%2026-09-04: 42.04%2026-09-08: 48.02%2026-09-09: 48.40%2026-09-10: 48.53%2026-09-11: 44.22%2026-09-14: 47.97%2026-09-15: 48.11%2026-09-16: 49.53%2026-09-17: 44.43%2026-09-18: 42.19%2026-09-21: 47.34%2026-09-22: 48.56%2026-09-23: 49.24%2026-09-24: 47.95%2026-09-25: 46.01%2026-09-28: 50.07%2026-09-29: 50.73%2026-09-30: 49.87%2026-10-01: 49.48%2026-10-02: 44.54%2026-10-05: 46.58%2026-10-06: 47.11%2026-10-07: 45.34%2026-10-08: 46.70%2026-10-09: 46.92%2026-10-12: 46.93%2026-10-13: 50.76%2026-10-14: 53.34%2026-10-15: 54.65%2026-10-16: 58.13%2026-10-19: 57.86%2026-10-20: 56.64%2026-10-21: 56.48%2026-10-22: 60.27%2026-10-23: 56.24%2026-10-26: 61.34%2026-10-27: 60.49%2026-10-28: 61.58%2026-10-29: 64.42%2026-10-30: 62.44%Aug 10Sep 21Oct 30
59 observations2026-08-10 — 2026-10-30
Table
DateIV (%)
60.33%
59.11%
56.18%
57.83%
59.01%
63.59%
64.51%
65.09%
66.45%
72.80%
78.74%
79.41%
80.28%
81.27%
86.10%
97.10%
109.62%
126.66%
51.22%
42.04%
48.02%
48.40%
48.53%
44.22%
47.97%
48.11%
49.53%
44.43%
42.19%
47.34%
48.56%
49.24%
47.95%
46.01%
50.07%
50.73%
49.87%
49.48%
44.54%
46.58%
47.11%
45.34%
46.70%
46.92%
46.93%
50.76%
53.34%
54.65%
58.13%
57.86%
56.64%
56.48%
60.27%
56.24%
61.34%
60.49%
61.58%
64.42%
62.44%