SNAP Options History — October 2017

In October 2017, SNAP traded between $14.08 and $16.52. ATM implied volatility averaged 63.7%, placing in the 34.9% IV rank vs the trailing year. The 30-day expected move averaged 18.9%. IV traded above realized volatility by 15.8% (HV 20d: 47.9%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 5 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.87.

Notable Days

  • 2017-10-12: Highest Volume — 238,567 contracts
  • 2017-10-12: Largest IV spike — 17.3% change
  • 2017-10-30: Highest IV Rank — 53.5%
  • 2017-10-30: Largest Expected Move — 25.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.20$14.08$16.52$14.86$15.35
Max Pain$18.59$17.00$20.00$17.00$18.00
ATM IV63.7%49.0%73.0%53.4%70.3%
Expected Move18.9%12.4%25.1%14.2%24.6%
HV 20d47.9%35.8%56.4%39.0%56.4%
HV 60d52.8%49.5%54.4%53.5%54.1%
IV Rank34.9%5.9%53.5%14.6%48.1%
IV Percentile68.8%16.0%88.3%46.5%84.7%
Term Structure-0.6%-7.2%8.9%7.6%-1.7%
VWIV66.7%43.9%88.8%50.5%86.8%
Skew 25d3.0%0.5%5.4%2.6%1.5%
Skew 10d4.2%-9.3%10.2%6.0%2.7%
Call IV 25d63.2%46.9%71.1%54.9%69.4%
Put IV 25d66.2%50.8%76.2%57.6%70.9%
Bid-Ask Spread %4.752.1514.223.133.05
Gamma HHI0.120.100.180.110.10
Net GEX-945.3K-2.9M2.2M-761.6K-1.3M
Net DEX131.6M-36.5M225.2M108.6M122.6M
Net VEX-1.8M-2.0M-1.6M-1.8M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.870.421.450.870.66
Total Volume71,512.36436,342238,56754,04248,013
Total OI955,925.727826,9861,134,848887,927910,583

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-10-02$14.86$17.0053.4%14.2%39.0%14.6%50.5%2.6%7.6%-761.6K108.6M-1.8M0.873.1328,97125,071402,941484,986
2017-10-03$14.61$17.0052.2%12.8%39.3%12.1%45.5%1.8%7.5%-892.2K136.2M-1.7M0.883.5324,59921,726412,438492,792
2017-10-04$14.50$17.0049.0%12.4%39.4%5.9%43.9%0.5%8.9%-1.2M164.0M-1.7M1.024.1933,61834,246407,744495,351
2017-10-05$14.47$17.0053.0%17.4%35.8%13.8%61.5%2.4%8.4%-1.0M179.6M-1.7M1.002.7020,52420,465419,903508,984
2017-10-06$14.81$17.0054.3%17.2%36.8%16.3%54.9%3.9%6.2%-1.2M146.1M-1.7M1.075.9923,63825,410426,733516,079
2017-10-09$14.70$17.0057.1%16.9%36.8%22.0%59.9%2.6%0.8%-1.4M166.0M-1.6M0.952.2918,65617,686414,799508,367
2017-10-10$14.35$17.0059.1%17.1%37.7%25.9%61.3%3.4%-1.0%-2.4M204.6M-1.6M1.114.3827,48830,465417,299511,513
2017-10-11$15.83$20.0058.5%17.4%51.8%24.6%62.1%2.6%7.8%282.2K70.5M-1.8M0.5114.2278,37439,661430,373527,841
2017-10-12$16.52$18.0068.6%19.5%53.5%44.7%69.0%3.7%0.5%1.7M-36.5M-1.9M0.5910.29150,36088,207460,456545,317
2017-10-13$16.48$20.0069.2%19.4%53.1%45.8%68.0%5.1%-2.9%2.2M-3.9M-2.0M0.657.3647,53830,801502,492594,448
2017-10-16$16.11$20.0068.5%19.3%53.0%44.5%68.0%2.5%-4.0%1.1M69.1M-1.9M1.066.1837,65439,734472,587575,240
2017-10-17$16.09$20.0070.6%20.1%52.6%48.7%71.7%1.8%-7.1%698.9K82.5M-1.9M1.452.9624,46335,384480,502593,257
2017-10-18$15.76$20.0069.7%20.0%51.1%46.9%71.6%2.3%-5.2%-329.3K140.0M-1.9M1.194.2734,45340,844483,504609,250
2017-10-19$15.26$20.0069.8%20.3%51.1%47.0%72.6%3.1%-7.2%-2.5M209.5M-1.9M0.975.0239,93138,834490,935620,265
2017-10-20$15.52$20.0065.2%19.1%51.2%38.0%67.9%2.8%-3.8%-1.0M175.6M-1.9M0.632.1529,82618,846504,233630,615
2017-10-23$14.98$20.0063.0%18.9%51.1%33.6%66.7%2.8%-3.0%-1.8M155.8M-1.7M1.002.4624,03624,104373,073453,913
2017-10-24$14.59$20.0066.5%20.2%49.3%40.6%70.6%4.2%-6.1%-2.4M187.7M-1.7M1.094.0123,43925,513378,856463,624
2017-10-25$14.08$19.0069.4%21.1%50.6%46.3%73.4%3.9%-4.4%-2.9M225.2M-1.6M0.944.3833,60931,667386,339470,706
2017-10-26$14.43$19.0070.0%21.7%51.2%47.6%76.1%5.4%-6.0%-2.7M202.6M-1.7M0.493.0340,10919,550397,922483,587
2017-10-27$15.42$18.0069.7%22.0%56.3%46.9%77.5%1.4%-3.4%-1.6M103.7M-1.8M0.504.9253,77626,658407,427485,867
2017-10-30$15.71$18.0073.0%25.1%56.0%53.5%88.8%5.3%-4.8%-1.3M84.8M-1.9M0.423.9267,02628,299395,155482,070
2017-10-31$15.35$18.0070.3%24.6%56.4%48.1%86.8%1.5%-1.7%-1.3M122.6M-1.8M0.663.0528,85019,163418,917491,666