SNAP Options History — April 2017

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

In April 2017, SNAP traded between $20.00 and $22.56. ATM implied volatility averaged 64.1%. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 14.4% (HV 20d: 49.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 14 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.64.

Notable Days

2017-04-05: Highest Volume — 63,961 contracts
2017-04-27: Largest IV spike — 8.1% change
2017-04-28: Largest Expected Move — 22.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.08	$20.00	$22.56	$22.39	$22.56
Max Pain	$21.37	$21.00	$22.00	$22.00	$21.00
ATM IV	64.1%	59.5%	69.0%	64.7%	68.1%
Expected Move	18.5%	14.1%	22.3%	15.7%	22.3%
HV 20d	49.7%	29.8%	62.1%	61.9%	31.6%
Term Structure	-1.4%	-5.9%	5.6%	-3.5%	-5.9%
VWIV	65.0%	52.0%	77.4%	58.5%	77.4%
Skew 25d	-1.7%	-7.4%	1.4%	-2.0%	1.4%
Skew 10d	-2.4%	-12.1%	12.3%	-6.7%	12.3%
Call IV 25d	65.7%	61.9%	69.8%	65.1%	68.0%
Put IV 25d	64.0%	58.7%	69.3%	63.2%	69.3%
Bid-Ask Spread %	18.25	11.36	30.54	13.77	18.75
Gamma HHI	0.11	0.07	0.50	0.09	0.07
Net GEX	1.2M	-1.6M	8.6M	3.4M	1.7M
Net DEX	34.1M	-81.3M	97.5M	-31.5M	-81.3M
Net VEX	-1.1M	-1.1M	-1.0M	-1.1M	-1.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.35	1.10	0.40	0.35
Total Volume	37,887.895	17,968	63,961	47,823	55,909
Total OI	454,514	330,476	521,801	471,231	367,673

Daily Data (19 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
2017-04-03	$22.39	$22.00	64.7%	15.7%	61.9%	0.0%	58.5%	-2.0%	-3.5%	3.4M	-31.5M	-1.1M	0.40	13.77	34,135	13,688	235,733	235,498
2017-04-04	$22.06	$22.00	62.8%	15.5%	60.2%	0.0%	55.5%	-2.8%	-1.4%	2.9M	-12.1M	-1.1M	0.43	14.71	24,318	10,507	245,302	240,350
2017-04-05	$20.86	$22.00	59.5%	14.1%	62.1%	0.0%	52.0%	-7.4%	5.6%	-614.2K	69.3M	-1.1M	0.58	24.45	40,594	23,367	250,388	242,771
2017-04-06	$20.65	$22.00	61.3%	18.3%	60.4%	0.0%	64.9%	-1.1%	2.3%	-1.6M	85.5M	-1.0M	0.64	17.38	34,535	22,152	259,947	246,315
2017-04-07	$20.76	$22.00	60.3%	18.4%	58.8%	0.0%	63.9%	-4.6%	4.2%	151.4K	69.3M	-1.1M	0.68	15.20	29,269	19,981	271,090	250,711
2017-04-10	$20.96	$22.00	61.9%	18.5%	56.7%	0.0%	64.6%	-0.5%	3.3%	672.8K	45.9M	-1.1M	0.72	15.69	19,425	14,062	234,880	241,155
2017-04-11	$20.72	$22.00	64.1%	18.4%	55.6%	0.0%	63.5%	-2.8%	-0.2%	9.5K	61.7M	-1.0M	1.10	18.04	19,104	20,981	239,952	245,006
2017-04-12	$20.23	$21.00	62.3%	18.2%	55.8%	0.0%	64.2%	-1.8%	0.0%	-1.4M	89.3M	-1.1M	1.02	13.23	15,022	15,394	244,240	252,865
2017-04-13	$20.17	$21.00	65.3%	18.0%	54.0%	0.0%	63.5%	-1.7%	-3.0%	-1.1M	97.5M	-1.0M	0.63	15.39	24,027	15,101	248,188	255,781
2017-04-17	$20.00	$21.00	67.0%	18.9%	53.1%	0.0%	67.6%	-4.0%	-1.3%	-1.4M	97.0M	-1.0M	0.83	16.51	9,815	8,153	223,459	249,867
2017-04-18	$20.47	$21.00	69.0%	19.6%	53.1%	0.0%	68.6%	-2.1%	-2.3%	616.6K	71.2M	-1.0M	0.66	19.95	24,966	16,571	228,924	252,697
2017-04-19	$20.56	$21.00	67.6%	19.4%	52.8%	0.0%	67.2%	-2.2%	-2.9%	1.4M	60.9M	-1.1M	0.79	11.36	22,314	17,558	237,936	258,214
2017-04-20	$21.19	$21.00	64.5%	18.6%	47.1%	0.0%	65.9%	-0.6%	-1.1%	4.9M	19.7M	-1.1M	0.89	30.54	17,487	15,595	243,736	263,451
2017-04-21	$20.95	$21.00	64.5%	18.7%	42.1%	0.0%	65.8%	-0.3%	-2.6%	8.6M	35.4M	-1.1M	0.67	16.00	18,327	12,322	248,061	268,219
2017-04-24	$21.16	$21.00	63.1%	18.9%	42.3%	0.0%	65.5%	-0.2%	-3.8%	284.2K	14.3M	-1.1M	0.48	16.20	13,455	6,398	151,290	179,186
2017-04-25	$21.28	$21.00	63.8%	19.5%	36.5%	0.0%	66.3%	0.8%	-5.7%	809.6K	6.0M	-1.1M	0.40	27.20	16,335	6,601	154,343	179,808
2017-04-26	$21.59	$21.00	61.5%	19.3%	29.8%	0.0%	66.1%	-0.2%	-3.1%	1.6M	-10.6M	-1.1M	0.59	16.19	13,929	8,220	158,313	181,266
2017-04-27	$21.99	$21.00	66.4%	21.2%	30.6%	0.0%	73.5%	0.0%	-5.8%	2.5M	-40.2M	-1.1M	0.36	26.14	29,597	10,656	166,943	182,208
2017-04-28	$22.56	$21.00	68.1%	22.3%	31.6%	0.0%	77.4%	1.4%	-5.9%	1.7M	-81.3M	-1.1M	0.35	18.75	41,404	14,505	180,952	186,721