SNAP Options History — July 2017

In July 2017, SNAP traded between $13.43 and $17.59. ATM implied volatility averaged 72.6%. The 30-day expected move averaged 21.4%. IV traded above realized volatility by 33.0% (HV 20d: 39.6%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 1.13.

Notable Days

  • 2017-07-11: Highest Volume — 175,110 contracts
  • 2017-07-26: Largest IV spike — 11.4% change
  • 2017-07-26: Largest Expected Move — 27.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.28$13.43$17.59$17.59$13.70
Max Pain$19.85$19.00$20.00$20.00$19.00
ATM IV72.6%60.0%87.2%60.0%78.8%
Expected Move21.4%13.0%27.4%13.4%26.4%
HV 20d39.6%28.0%44.6%35.6%42.8%
HV 60d66.3%64.2%67.5%64.3%66.8%
Term Structure-0.7%-5.7%9.4%8.6%-3.9%
VWIV74.2%45.2%96.8%45.2%92.2%
Skew 25d3.8%0.4%10.2%2.2%2.2%
Skew 10d3.9%-5.2%12.7%4.2%2.4%
Call IV 25d72.1%62.4%88.0%64.2%76.9%
Put IV 25d76.0%64.7%93.5%66.3%79.1%
Bid-Ask Spread %9.274.7518.7616.4010.52
Gamma HHI0.120.070.180.130.07
Net GEX-4.2M-7.9M-728.2K-7.1M-955.4K
Net DEX436.9M314.1M539.9M368.0M314.1M
Net VEX-1.5M-1.6M-1.3M-1.6M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.130.921.851.110.92
Total Volume85,47623,381175,11023,381126,947
Total OI968,297.1844,7971,120,055844,7971,013,028

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-07-03$17.59$20.0060.0%13.4%35.6%0.0%45.2%2.2%8.6%-7.1M368.0M-1.6M1.1116.4011,09312,288335,887508,910
2017-07-05$17.30$20.0064.3%13.0%35.4%0.0%46.8%2.3%7.0%-7.0M393.4M-1.6M1.0618.7617,66218,696337,989512,040
2017-07-06$17.32$20.0064.3%20.7%34.0%0.0%70.1%2.3%9.2%-7.2M393.0M-1.6M1.0615.0216,50417,569344,009516,480
2017-07-07$17.18$20.0067.2%20.9%31.7%0.0%72.7%3.6%9.4%-7.2M407.8M-1.6M0.9215.7316,84215,537348,143521,993
2017-07-10$17.03$20.0065.2%20.2%28.0%0.0%67.6%7.2%4.1%-7.9M426.6M-1.5M1.0612.4624,80926,242346,215518,986
2017-07-11$15.50$20.0065.5%19.1%42.6%0.0%68.8%3.4%-1.0%-5.8M518.4M-1.3M1.2410.0978,15396,957356,417530,541
2017-07-12$15.28$20.0068.1%20.0%42.5%0.0%65.8%2.2%2.0%-5.1M524.0M-1.3M1.035.3649,72150,969403,794567,119
2017-07-13$15.75$20.0071.7%20.0%44.6%0.0%69.9%4.3%-2.0%-4.2M494.8M-1.5M1.106.3851,63556,975432,863583,705
2017-07-14$15.33$20.0070.4%20.0%43.0%0.0%71.6%2.7%-5.0%-3.9M524.0M-1.4M1.056.3855,16557,986449,514593,755
2017-07-17$15.16$20.0071.9%20.3%41.5%0.0%67.5%0.9%-3.5%-4.0M514.9M-1.4M1.216.2327,70133,645449,796585,067
2017-07-18$14.77$20.0073.3%20.9%40.8%0.0%71.4%3.3%-4.5%-4.0M532.2M-1.4M1.256.9331,72239,756463,916593,914
2017-07-19$14.98$20.0073.3%21.0%40.9%0.0%73.1%0.4%-5.1%-3.6M511.5M-1.4M1.856.1023,52043,475479,041606,298
2017-07-20$14.91$20.0072.6%21.0%40.8%0.0%73.2%3.8%-3.6%-4.0M517.0M-1.4M1.125.2525,08628,027488,628615,380
2017-07-21$14.45$20.0075.9%22.5%40.3%0.0%81.4%10.2%-3.8%-3.9M539.9M-1.4M1.306.0045,48559,213498,354621,701
2017-07-24$14.13$20.0075.2%22.8%40.5%0.0%76.5%2.1%-3.9%-2.1M357.4M-1.4M1.086.6137,23040,148374,943490,460
2017-07-25$13.88$20.0076.6%23.5%40.6%0.0%83.2%3.6%-5.7%-2.0M363.2M-1.4M1.264.7542,32353,387391,528498,942
2017-07-26$13.43$20.0085.4%27.4%40.9%0.0%96.0%9.0%-4.3%-2.2M372.9M-1.4M1.015.3965,26266,080406,841520,178
2017-07-27$14.01$19.0085.3%26.9%43.5%0.0%94.5%5.7%-4.0%-728.2K326.5M-1.6M0.9710.0069,71667,302448,794550,915
2017-07-28$13.84$19.0087.2%27.3%42.8%0.0%96.8%5.5%-4.9%-1.5M338.2M-1.6M1.0410.9853,33055,362480,350579,508
2017-07-31$13.70$19.0078.8%26.4%42.8%0.0%92.2%2.2%-3.9%-955.4K314.1M-1.6M0.9210.5265,95260,995440,238572,790