SNAP Options History — June 2017

In June 2017, SNAP traded between $17.11 and $21.32. ATM implied volatility averaged 49.3%. The 30-day expected move averaged 13.6%. IV traded below realized volatility by 8.9% (HV 20d: 58.2%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 1.09.

Notable Days

  • 2017-06-08: Highest Volume — 130,883 contracts
  • 2017-06-29: Largest IV spike — 8.9% change
  • 2017-06-20: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.37$17.11$21.32$21.32$17.78
Max Pain$20.09$20.00$21.00$21.00$20.00
ATM IV49.3%46.8%54.8%48.4%54.8%
Expected Move13.6%12.8%14.5%13.3%13.3%
HV 20d58.2%35.9%103.2%103.2%38.2%
HV 60d67.7%64.3%70.6%70.6%64.3%
Term Structure3.2%-2.0%12.7%2.9%9.8%
VWIV47.6%44.4%50.8%45.3%45.8%
Skew 25d1.7%-0.4%6.7%-0.3%4.5%
Skew 10d2.7%-1.7%19.3%3.1%1.6%
Call IV 25d48.3%46.1%51.3%49.6%48.2%
Put IV 25d50.0%47.3%53.7%49.3%52.8%
Bid-Ask Spread %12.809.3620.0916.8314.05
Gamma HHI0.150.080.300.080.12
Net GEX-6.2M-11.7M-367.7K-367.7K-6.3M
Net DEX306.5M61.5M449.6M61.5M337.9M
Net VEX-1.7M-1.8M-1.6M-1.7M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.090.651.671.530.96
Total Volume62,722.68230,628130,88361,07347,860
Total OI773,207.091644,735860,914644,735860,914

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-06-01$21.32$21.0048.4%13.3%103.2%0.0%45.3%-0.3%2.9%-367.7K61.5M-1.7M1.5316.8324,14836,925256,824387,911
2017-06-02$21.15$21.0048.3%12.8%102.2%0.0%44.7%0.2%-0.1%-1.7M90.1M-1.7M1.5017.3337,36956,158261,727405,658
2017-06-05$20.21$20.0046.8%12.8%102.8%0.0%45.5%1.1%0.4%-4.6M181.2M-1.8M1.6011.7629,67047,376253,265421,342
2017-06-06$20.34$20.0047.6%12.9%102.1%0.0%45.0%1.2%0.0%-5.4M182.9M-1.8M0.8813.2121,85119,320262,771446,422
2017-06-07$19.62$20.0047.4%12.8%101.0%0.0%44.4%0.5%-0.2%-8.6M259.5M-1.8M1.5711.2721,74034,175266,780454,018
2017-06-08$18.87$20.0047.6%13.2%101.6%0.0%46.7%1.8%-0.4%-9.2M332.0M-1.8M1.3611.1155,47775,406272,344464,910
2017-06-09$18.04$20.0050.0%14.5%54.9%0.0%49.4%2.3%-0.8%-10.0M398.2M-1.8M0.6512.3471,64746,758291,927487,098
2017-06-12$18.14$20.0051.5%14.0%50.3%0.0%49.2%-0.4%-1.5%-8.2M341.5M-1.8M1.0011.3334,60934,639310,547476,084
2017-06-13$18.15$20.0048.6%13.4%40.9%0.0%47.2%0.3%-1.6%-9.4M341.8M-1.8M0.8610.2527,99224,178312,287483,811
2017-06-14$17.89$20.0048.6%13.5%40.9%0.0%47.0%-0.1%-2.0%-11.7M390.3M-1.7M0.6610.5526,92817,728315,725496,040
2017-06-15$17.11$20.0049.7%14.5%42.1%0.0%50.4%2.5%2.0%-8.4M449.6M-1.6M1.4011.1028,70840,221321,964500,398
2017-06-16$17.55$20.0047.4%13.7%42.7%0.0%47.9%0.6%0.1%-5.4M431.6M-1.7M0.7210.5246,76733,646336,029511,178
2017-06-19$17.88$20.0050.3%14.5%43.3%0.0%49.4%2.9%3.3%-4.5M285.6M-1.8M0.7720.0939,51130,558297,949442,040
2017-06-20$17.35$20.0050.7%14.5%43.8%0.0%50.8%2.5%3.8%-4.4M322.0M-1.7M0.6913.3626,21918,203310,510453,686
2017-06-21$17.30$20.0049.5%14.2%43.8%0.0%50.0%2.8%3.4%-4.1M326.5M-1.7M1.4214.0012,66917,959324,067461,891
2017-06-22$17.65$20.0049.5%14.0%43.1%0.0%49.0%0.3%2.4%-4.0M308.5M-1.7M0.7413.3828,23320,909326,719467,939
2017-06-23$17.54$20.0048.7%13.6%36.1%0.0%47.0%0.0%4.2%-4.8M318.2M-1.7M1.039.3619,03919,572331,922474,536
2017-06-26$17.29$20.0049.3%13.8%36.0%0.0%49.3%2.3%12.7%-5.2M343.3M-1.7M1.6712.4320,45434,129306,929463,443
2017-06-27$17.35$20.0049.1%13.3%35.9%0.0%46.7%3.0%11.3%-6.4M372.5M-1.6M0.8410.8528,05823,497314,297494,624
2017-06-28$17.77$20.0048.6%13.5%37.9%0.0%46.7%3.2%10.6%-6.8M341.4M-1.7M0.6712.9923,65215,859327,802505,367
2017-06-29$17.94$20.0053.0%13.7%38.2%0.0%48.9%6.7%10.9%-6.2M326.2M-1.7M1.3513.5125,55234,530337,848511,013
2017-06-30$17.78$20.0054.8%13.3%38.2%0.0%45.8%4.5%9.8%-6.3M337.9M-1.7M0.9614.0524,44323,417346,187514,727