SNAP Options History — May 2017

In May 2017, SNAP traded between $18.05 and $23.25. ATM implied volatility averaged 57.2%. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 18.6% (HV 20d: 75.8%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 10 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.93.

Notable Days

  • 2017-05-11: Highest Volume — 326,506 contracts
  • 2017-05-11: Largest IV drop — 36.2% change
  • 2017-05-03: Largest Expected Move — 24.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$21.15$18.05$23.25$22.19$21.21
Max Pain$21.14$20.00$23.00$21.00$21.00
ATM IV57.2%48.3%77.6%67.2%49.8%
Expected Move16.5%13.2%24.1%23.4%13.5%
HV 20d75.8%27.0%103.6%31.8%103.2%
HV 60d74.1%71.3%77.3%77.3%71.3%
Term Structure-1.3%-6.5%1.8%-3.7%-1.0%
VWIV57.6%46.1%83.7%81.8%47.1%
Skew 25d-0.5%-3.5%2.8%-0.8%1.3%
Skew 10d2.2%-4.4%25.7%-1.8%-4.4%
Call IV 25d57.4%47.7%76.8%67.0%48.1%
Put IV 25d56.9%46.7%76.4%66.2%49.4%
Bid-Ask Spread %18.185.9727.5816.7827.58
Gamma HHI0.090.070.140.080.08
Net GEX-184.3K-8.8M3.4M2.4M-43.7K
Net DEX42.6M-125.3M325.0M-55.6M53.7M
Net VEX-1.5M-1.8M-1.0M-1.1M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.930.302.510.401.24
Total Volume97,584.68222,833326,50630,02450,308
Total OI572,644.136354,615806,102354,615625,865

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-05-01$22.19$21.0067.2%23.4%31.8%0.0%81.8%-0.8%-3.7%2.4M-55.6M-1.1M0.4016.7821,4408,584178,193176,422
2017-05-02$21.95$21.0066.9%23.3%31.9%0.0%81.2%-0.6%-3.2%2.1M-38.0M-1.1M0.5716.7614,5458,288180,251179,975
2017-05-03$21.79$21.0065.8%24.1%31.6%0.0%83.7%-1.1%-1.5%2.0M-31.4M-1.1M0.4618.9619,5388,992181,207181,642
2017-05-04$22.63$22.0068.3%17.8%27.0%0.0%62.0%-1.2%-4.1%3.4M-84.1M-1.1M0.3020.1348,42014,462189,237185,024
2017-05-05$23.15$22.0067.7%17.6%27.2%0.0%62.3%-0.8%-5.0%3.1M-125.3M-1.2M0.7315.8728,31220,650208,890189,660
2017-05-08$22.25$22.0068.5%18.9%31.6%0.0%65.9%0.7%-1.1%2.4M-61.0M-1.2M1.8220.5733,89561,768200,561191,718
2017-05-09$23.25$22.0073.2%19.3%34.7%0.0%67.7%0.0%-6.5%1.8M-86.8M-1.3M1.1314.8343,98849,532211,024233,311
2017-05-10$23.02$22.0077.6%21.2%34.6%0.0%73.6%-0.3%-3.4%463.7K-50.2M-1.3M0.8814.68111,88797,940219,989270,962
2017-05-11$18.05$23.0049.5%13.7%94.6%0.0%49.6%2.8%-2.6%-8.8M325.0M-1.0M1.195.97149,214177,292274,299342,006
2017-05-12$19.15$20.0048.6%14.3%97.4%0.0%50.3%-1.5%1.1%-3.4M240.3M-1.3M0.8017.35123,16698,436346,080379,206
2017-05-15$20.66$20.0049.7%14.3%101.2%0.0%50.5%-1.2%-1.0%-3.1M39.3M-1.5M0.6016.93141,17885,163288,529349,066
2017-05-16$20.66$20.0050.3%14.4%100.9%0.0%50.2%0.3%1.8%-659.7K37.4M-1.6M0.9116.0478,60371,629334,023379,875
2017-05-17$19.98$20.0052.4%15.0%101.6%0.0%52.5%-1.9%0.7%-586.0K144.8M-1.8M1.1720.9942,62149,811361,802419,318
2017-05-18$20.35$21.0052.6%15.1%101.2%0.0%52.6%-2.6%0.2%275.9K116.2M-1.8M0.7716.7131,92024,673367,796434,083
2017-05-19$19.93$21.0051.5%14.7%101.4%0.0%51.6%-3.5%0.7%-776.1K179.2M-1.7M1.0723.6942,83245,744371,309434,793
2017-05-22$20.13$21.0050.1%14.1%101.4%0.0%50.4%1.1%0.9%-1.4M105.4M-1.7M2.5115.3718,87247,386243,156326,711
2017-05-23$20.02$21.0048.3%13.4%101.4%0.0%46.7%0.6%0.6%-3.0M124.3M-1.7M0.7318.8020,62414,989250,943359,917
2017-05-24$20.58$21.0048.4%13.4%101.8%0.0%46.9%0.5%0.4%-1.3M81.4M-1.7M0.7216.8723,75117,102257,438365,881
2017-05-25$21.75$21.0053.2%13.8%103.6%0.0%47.0%-3.2%1.5%2.8M-41.5M-1.7M0.8424.5752,34243,787267,576369,623
2017-05-26$21.29$21.0048.4%13.2%103.4%0.0%46.1%-1.3%-1.4%-1.6M25.2M-1.7M0.7217.7734,61125,088270,333384,561
2017-05-30$21.39$21.0049.9%13.6%103.3%0.0%47.8%0.6%-2.1%-319.8K39.1M-1.7M0.9822.8522,00221,478245,609370,307
2017-05-31$21.21$21.0049.8%13.5%103.2%0.0%47.1%1.3%-1.0%-43.7K53.7M-1.7M1.2427.5822,41627,892252,703373,162