SNAP Options History — September 2017

In September 2017, SNAP traded between $13.20 and $15.29. ATM implied volatility averaged 50.0%, placing in the 6.9% IV rank vs the trailing year. The 30-day expected move averaged 14.3%. IV traded above realized volatility by 3.4% (HV 20d: 46.6%). Max pain ranged from $14.00 to $17.00. Net GEX was positive for 11 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2017-09-12: Highest Volume — 201,580 contracts
2017-09-11: Largest IV spike — 12.1% change
2017-09-11: Highest IV Rank — 20.6%
2017-09-11: Largest Expected Move — 16.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.53	$13.20	$15.29	$14.26	$14.50
Max Pain	$16.85	$14.00	$17.00	$14.00	$17.00
ATM IV	50.0%	46.0%	57.1%	49.4%	52.0%
Expected Move	14.3%	13.2%	16.8%	13.2%	13.6%
HV 20d	46.6%	33.1%	66.0%	66.0%	38.9%
HV 60d	51.6%	50.5%	53.2%	51.7%	53.2%
IV Rank	6.9%	0.0%	20.6%	8.2%	11.9%
IV Percentile	19.9%	0.0%	51.2%	29.4%	38.3%
Term Structure	1.8%	-0.6%	6.3%	1.8%	6.3%
VWIV	50.2%	46.8%	59.2%	47.1%	48.9%
Skew 25d	2.0%	0.7%	4.0%	2.8%	1.7%
Skew 10d	3.9%	0.8%	7.6%	5.9%	4.0%
Call IV 25d	50.0%	46.6%	58.2%	48.3%	51.5%
Put IV 25d	52.0%	47.7%	60.3%	51.1%	53.2%
Bid-Ask Spread %	4.00	2.24	10.35	5.54	3.36
Gamma HHI	0.13	0.07	0.26	0.07	0.21
Net GEX	945.5K	-2.8M	9.4M	261.1K	1.2M
Net DEX	111.9M	476.8K	242.0M	120.0M	137.8M
Net VEX	-1.7M	-1.9M	-1.5M	-1.7M	-1.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.15	1.34	0.96	1.05
Total Volume	81,123.85	38,858	201,580	90,690	62,065
Total OI	896,512.6	795,468	999,014	904,699	907,746

Daily Data (20 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
2017-09-01	$14.26	$14.00	49.4%	13.2%	66.0%	0.0%	47.1%	2.8%	1.8%	261.1K	120.0M	-1.7M	0.96	5.54	46,376	44,314	419,028	485,671
2017-09-05	$14.45	$17.00	50.5%	15.0%	65.9%	0.0%	51.7%	3.0%	1.0%	867.9K	92.1M	-1.7M	0.90	2.66	25,792	23,183	395,428	464,087
2017-09-06	$14.50	$17.00	50.8%	14.5%	64.5%	0.0%	48.2%	1.8%	-0.6%	1.0M	93.5M	-1.7M	1.34	2.34	25,947	34,663	395,616	469,674
2017-09-07	$15.15	$17.00	50.8%	14.8%	64.8%	0.0%	52.2%	3.6%	-0.5%	1.7M	29.0M	-1.8M	0.53	5.28	72,591	38,678	403,500	483,321
2017-09-08	$15.28	$17.00	50.9%	15.4%	64.4%	8.2%	54.4%	2.9%	1.3%	1.6M	10.9M	-1.8M	0.28	2.24	102,354	28,765	415,814	487,588
2017-09-11	$15.29	$17.00	57.1%	16.8%	46.9%	20.6%	59.2%	2.1%	2.3%	3.7M	8.9M	-1.8M	0.32	4.83	148,482	46,896	429,774	465,497
2017-09-12	$15.20	$17.00	51.9%	14.8%	44.8%	10.3%	52.8%	4.0%	-0.1%	9.4M	476.8K	-1.9M	0.15	10.35	175,460	26,120	498,675	488,586
2017-09-13	$15.04	$17.00	49.8%	14.6%	45.3%	6.0%	50.9%	2.1%	1.4%	7.3M	46.6M	-1.8M	0.62	3.72	29,534	18,258	495,584	496,792
2017-09-14	$14.90	$17.00	48.7%	14.1%	45.3%	3.7%	49.4%	2.6%	0.5%	4.9M	82.6M	-1.8M	0.58	3.90	24,626	14,232	496,912	501,927
2017-09-15	$15.27	$17.00	48.4%	14.1%	45.6%	3.2%	49.8%	1.0%	1.4%	168.1K	32.2M	-1.8M	0.55	3.59	34,489	19,108	496,642	502,372
2017-09-18	$14.91	$17.00	48.7%	14.0%	42.9%	3.8%	49.8%	1.7%	-0.3%	-180.4K	99.2M	-1.7M	0.71	3.40	30,873	21,784	368,405	427,063
2017-09-19	$14.70	$17.00	47.4%	13.6%	40.9%	1.1%	48.4%	0.9%	2.0%	-520.2K	121.2M	-1.6M	0.83	3.17	40,453	33,410	375,098	433,256
2017-09-20	$14.16	$17.00	46.0%	13.2%	35.7%	0.0%	46.8%	1.1%	2.5%	-1.9M	175.7M	-1.6M	1.13	2.65	36,203	40,874	392,387	449,721
2017-09-21	$13.71	$17.00	47.3%	13.4%	34.4%	2.4%	47.9%	1.6%	1.8%	-2.8M	221.9M	-1.6M	1.14	4.92	36,997	42,337	401,353	471,103
2017-09-22	$13.69	$17.00	47.5%	13.4%	33.1%	2.9%	47.4%	0.7%	2.2%	-2.1M	221.3M	-1.6M	0.95	2.87	23,254	22,144	412,382	483,134
2017-09-25	$13.20	$17.00	50.0%	14.2%	34.6%	7.9%	47.6%	1.3%	0.6%	-2.5M	242.0M	-1.5M	0.76	3.49	57,606	43,702	394,056	469,522
2017-09-26	$13.91	$17.00	48.3%	14.0%	38.5%	4.6%	49.5%	1.5%	2.9%	-1.6M	190.3M	-1.6M	0.71	3.49	29,228	20,780	397,489	475,663
2017-09-27	$14.19	$17.00	51.6%	14.4%	39.2%	11.0%	50.4%	1.6%	4.4%	-844.3K	162.0M	-1.7M	1.27	4.08	26,549	33,851	402,854	476,111
2017-09-28	$14.37	$17.00	52.5%	14.4%	39.6%	12.9%	51.4%	1.9%	4.4%	-829.3K	149.3M	-1.7M	0.77	4.19	22,877	17,622	407,938	492,483
2017-09-29	$14.50	$17.00	52.0%	13.6%	38.9%	11.9%	48.9%	1.7%	6.3%	1.2M	137.8M	-1.7M	1.05	3.36	30,275	31,790	414,491	493,255