SNAP Options History — March 2017

Name: SNAP Options Analytics - March 2017
Creator: Options Analysis Suite

In March 2017, SNAP traded between $19.43 and $24.00. ATM implied volatility averaged 55.9%. The 30-day expected move averaged 15.5%. IV traded below realized volatility by 8.1% (HV 20d: 63.9%). Max pain ranged from $21.00 to $30.00. Net GEX was positive for 9 of 16 trading days. Term structure was in contango for 9 of 16 days. Put/call ratio averaged 1.12.

Notable Days

2017-03-22: Highest Volume — 147,260 contracts
2017-03-27: Largest IV spike — 9.2% change
2017-03-28: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.56	$19.43	$24.00	$22.02	$22.55
Max Pain	$23.67	$21.00	$30.00	$30.00	$22.00
ATM IV	55.9%	50.1%	63.5%	55.1%	62.2%
Expected Move	15.5%	14.0%	18.1%	15.1%	15.5%
HV 20d	63.9%	63.9%	63.9%	63.9%	63.9%
Term Structure	0.6%	-4.2%	6.3%	-2.3%	2.7%
VWIV	54.6%	49.3%	64.4%	51.4%	55.8%
Skew 25d	-1.1%	-7.8%	3.3%	1.3%	0.9%
Skew 10d	-3.6%	-10.6%	1.4%	0.5%	-8.7%
Call IV 25d	57.3%	50.9%	67.2%	53.8%	62.4%
Put IV 25d	56.2%	49.4%	64.0%	55.0%	63.3%
Bid-Ask Spread %	20.20	12.84	29.48	27.56	17.06
Gamma HHI	0.14	0.08	0.24	0.24	0.11
Net GEX	618.1K	-4.0M	5.1M	0	5.1M
Net DEX	-15.2M	-157.2M	115.9M	0	-75.1M
Net VEX	-707.0K	-1.2M	0	0	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.12	0.43	3.07	3.07	0.57
Total Volume	92,992.063	49,537	147,260	106,308	65,991
Total OI	306,141.625	0	538,429	0	538,429

Daily Data (16 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 Vol	Put Vol	Call OI	Put OI
2017-03-10	$22.02	$0.00	55.1%	15.1%	0.0%	0.0%	51.4%	1.3%	-2.3%	0	0	0	3.07	27.56	26,123	80,185	0	0
2017-03-13	$21.03	$30.00	53.6%	14.3%	0.0%	0.0%	49.5%	2.2%	-1.8%	-1.9M	55.0M	-205.4K	2.94	17.37	16,898	49,678	24,352	72,047
2017-03-14	$20.36	$30.00	53.4%	14.6%	0.0%	0.0%	49.7%	-4.2%	-2.1%	-2.5M	71.9M	-328.4K	2.40	14.29	21,439	51,467	37,361	95,382
2017-03-15	$20.77	$30.00	53.2%	14.6%	0.0%	0.0%	50.9%	3.3%	-2.3%	-2.8M	70.2M	-435.1K	1.34	15.12	27,487	36,702	52,356	120,225
2017-03-16	$19.98	$26.00	51.2%	14.0%	0.0%	0.0%	49.3%	-0.8%	-2.6%	-4.0M	98.1M	-473.0K	1.08	12.84	38,057	41,067	62,639	137,522
2017-03-17	$19.43	$23.00	51.1%	14.1%	0.0%	0.0%	49.3%	0.9%	-4.2%	-4.0M	115.9M	-536.7K	0.91	22.39	71,659	65,362	86,035	151,867
2017-03-20	$19.88	$21.00	50.1%	14.3%	0.0%	0.0%	50.3%	-1.5%	0.4%	-388.7K	46.7M	-657.7K	0.72	17.70	41,319	29,949	112,907	146,134
2017-03-21	$20.22	$21.00	50.4%	14.4%	0.0%	0.0%	50.5%	0.1%	2.6%	385.0K	28.3M	-712.8K	0.72	22.43	46,718	33,709	129,940	159,336
2017-03-22	$21.73	$21.00	54.0%	15.5%	0.0%	0.0%	53.8%	-1.8%	2.4%	2.6M	-71.0M	-775.4K	0.67	28.77	88,239	59,021	149,651	174,401
2017-03-23	$22.98	$21.00	55.3%	15.8%	0.0%	0.0%	55.7%	0.2%	1.9%	2.8M	-151.8M	-856.3K	0.55	17.23	86,591	47,233	175,398	205,361
2017-03-24	$22.72	$22.00	56.3%	16.3%	0.0%	0.0%	57.4%	-1.4%	-1.4%	1.2M	-96.4M	-928.9K	0.56	17.88	59,237	32,913	180,577	231,235
2017-03-27	$24.00	$22.00	61.4%	18.0%	0.0%	0.0%	63.1%	-1.9%	2.5%	4.2M	-157.2M	-960.4K	0.43	27.06	91,232	39,543	190,522	203,109
2017-03-28	$22.49	$22.00	63.5%	18.1%	0.0%	0.0%	64.4%	-3.2%	3.4%	3.6M	-69.4M	-1.1M	0.64	29.48	61,239	38,930	229,565	221,137
2017-03-29	$22.54	$22.00	62.2%	17.6%	0.0%	0.0%	62.1%	-4.3%	3.4%	2.9M	-60.2M	-1.1M	0.77	19.50	51,184	39,164	244,552	238,952
2017-03-30	$22.22	$22.00	60.8%	16.5%	0.0%	0.0%	60.5%	-7.8%	6.3%	2.6M	-47.5M	-1.2M	0.50	16.46	32,955	16,582	272,030	255,244
2017-03-31	$22.55	$22.00	62.2%	15.5%	63.9%	0.0%	55.8%	0.9%	2.7%	5.1M	-75.1M	-1.1M	0.57	17.06	42,062	23,929	280,409	258,020