SNAP Options History — August 2017

In August 2017, SNAP traded between $11.91 and $15.19. ATM implied volatility averaged 65.3%. The 30-day expected move averaged 18.4%. IV traded above realized volatility by 6.2% (HV 20d: 59.1%). Max pain ranged from $14.00 to $18.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 8 of 23 days. Put/call ratio averaged 0.80.

Notable Days

  • 2017-08-11: Highest Volume — 252,707 contracts
  • 2017-08-11: Largest IV drop — 33.7% change
  • 2017-08-02: Largest Expected Move — 26.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.69$11.91$15.19$13.13$14.58
Max Pain$14.52$14.00$18.00$18.00$14.00
ATM IV65.3%50.4%96.5%77.6%50.4%
Expected Move18.4%13.6%26.5%26.3%13.6%
HV 20d59.1%42.2%70.7%44.0%66.8%
HV 60d52.3%42.3%67.3%66.9%52.0%
Term Structure-1.8%-7.9%2.0%-3.0%-0.6%
VWIV65.0%48.1%93.5%92.4%48.1%
Skew 25d3.0%-0.9%4.6%3.5%3.7%
Skew 10d6.5%-1.7%9.7%7.0%7.3%
Call IV 25d65.0%48.9%97.1%76.6%48.9%
Put IV 25d68.0%52.6%101.0%80.0%52.6%
Bid-Ask Spread %6.852.5827.448.102.91
Gamma HHI0.150.070.850.090.10
Net GEX1.8M-2.3M23.5M-543.3K1.4M
Net DEX181.3M-25.8M424.9M340.3M85.9M
Net VEX-1.7M-1.9M-1.3M-1.5M-1.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.800.441.291.190.58
Total Volume125,782.8748,370252,70775,06765,144
Total OI1,063,859.478830,7751,299,0821,066,235894,257

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-08-01$13.13$18.0077.6%26.3%44.0%0.0%92.4%3.5%-3.0%-543.3K340.3M-1.5M1.198.1034,33040,737480,850585,385
2017-08-02$12.60$18.0077.1%26.5%45.0%0.0%92.7%4.4%-5.7%-1.9M374.7M-1.4M1.246.5052,25964,934491,128589,405
2017-08-03$12.93$14.0079.8%21.1%47.1%0.0%74.4%3.6%-5.6%-401.2K327.1M-1.6M0.6818.7295,46865,011513,815593,081
2017-08-04$13.51$14.0089.0%22.4%51.4%0.0%79.0%-0.9%-5.2%8.2M232.4M-1.7M0.5327.44143,04575,409558,256608,646
2017-08-07$13.40$14.0085.5%22.7%51.5%0.0%79.2%3.1%-3.4%488.1K228.8M-1.7M0.718.9251,98836,764531,112574,600
2017-08-08$12.97$14.0087.3%22.9%42.2%0.0%80.7%1.8%-6.9%358.1K251.8M-1.7M0.838.7045,77738,141549,432585,931
2017-08-09$13.50$15.0091.3%23.8%45.6%0.0%82.2%-0.4%-7.9%883.1K197.8M-1.8M0.8716.7963,10154,685568,121592,882
2017-08-10$13.32$15.0096.5%26.3%43.5%0.0%93.5%4.0%-4.7%554.8K211.6M-1.8M0.604.42148,30289,604579,574613,056
2017-08-11$11.91$15.0064.0%18.3%56.8%0.0%65.3%3.7%0.4%-2.3M424.9M-1.3M1.293.55110,117142,590641,958657,124
2017-08-14$12.56$15.0058.3%16.6%61.4%0.0%59.4%2.0%0.9%-1.5M337.3M-1.4M0.775.31114,79488,348556,002603,075
2017-08-15$12.73$14.0056.3%16.1%61.6%0.0%57.3%2.6%0.5%-792.2K300.8M-1.5M0.922.7763,10957,749603,923621,087
2017-08-16$13.05$14.0052.2%15.0%62.2%0.0%53.9%3.8%2.0%236.7K274.7M-1.6M0.943.0942,62739,937619,625626,248
2017-08-17$13.25$14.0052.7%15.1%62.7%0.0%53.9%2.5%-0.5%1.1M246.8M-1.6M0.923.4847,31643,550625,881627,591
2017-08-18$14.02$14.0055.5%16.0%65.6%0.0%56.2%3.4%-1.9%23.5M122.5M-1.7M0.693.19109,15475,365639,359624,997
2017-08-21$13.52$14.0055.0%15.8%66.4%0.0%56.1%4.6%0.2%-135.2K114.7M-1.7M0.945.5967,18863,177388,730442,045
2017-08-22$14.48$14.0053.0%15.1%70.7%0.0%53.5%3.6%-0.2%1.4M28.1M-1.8M0.763.4662,34047,669405,103460,088
2017-08-23$15.02$14.0054.8%15.8%70.4%0.0%56.3%4.5%-0.2%1.2M-25.8M-1.9M0.585.26110,43864,094417,350477,709
2017-08-24$14.58$14.0054.9%15.7%70.0%0.0%55.3%4.5%-0.1%1.6M18.5M-1.9M0.614.0374,72345,854443,363496,111
2017-08-25$14.75$14.0053.3%14.6%69.9%0.0%50.8%3.3%0.2%1.1M9.1M-1.8M0.443.3166,45329,479443,502507,193
2017-08-28$15.19$14.0053.7%15.1%70.3%0.0%53.9%2.8%-1.6%2.0M-2.2M-1.8M0.876.8533,38929,135405,716461,170
2017-08-29$14.98$14.0052.7%14.7%68.5%0.0%51.9%2.1%0.7%1.9M26.7M-1.8M0.772.6829,00322,339410,439467,536
2017-08-30$14.92$14.0050.5%14.1%66.3%0.0%50.0%2.9%1.2%2.0M43.3M-1.8M0.682.5828,75319,617412,043474,269
2017-08-31$14.58$14.0050.4%13.6%66.8%0.0%48.1%3.7%-0.6%1.4M85.9M-1.7M0.582.9141,11624,028413,179481,078