On 4 March 2011, a heavy snowfall episode affected the central Iberian Peninsula. Under the TECOAGUA Project (aimed at the study of winter cloud masses that produce snow in the Guadarrama Mountains near Madrid), measurements using a ground‐based multichannel microwave radiometer (MMWR) with vertical range 10 km recorded this episode of winter convection embedded within stratiform precipitation. In contrast to radiosondes, data retrieval from the MMWR has a clear advantage for identifying hazardous weather phenomena of short duration, such as winter convective episodes. From these continuous measurements, we analyzed the behavior of variables such as temperature, surface pressure, relative humidity, liquid water content, liquid water path, water vapor content, and integrated water vapor throughout the day. The continuous measurements also permitted construction of skew‐T log‐P profiles every 15 min during the convective episode, indicating vertical evolution of an event with an appearance similar to a “zipper” in which temperature and dew point temperature profiles are “closed” from the surface to 400 hPa and “reopen” at the end of the event. Finally, we selected six indices of stability most suitable for the study of winter convection, namely, the Showalter index, low‐topped convection index, most unstable lifted index, most unstable convective available potential energy (MUCAPE), convective inhibition, and MUCAPE level of free convection. Each of these indices has been evaluated for their capacity to warn of meteorological conditions leading to a convective heavy snowfall event.