SNAP Options History — November 2017

In November 2017, SNAP traded between $12.34 and $15.25. ATM implied volatility averaged 57.1%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 16.5%. IV traded below realized volatility by 15.4% (HV 20d: 72.6%). Max pain ranged from $17.00 to $20.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2017-11-08: Highest Volume — 475,683 contracts
  • 2017-11-08: Largest IV drop — 40.5% change
  • 2017-11-07: Highest IV Rank — 92.8%
  • 2017-11-01: Largest Expected Move — 26.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.32$12.34$15.25$14.47$13.78
Max Pain$18.67$17.00$20.00$18.00$17.00
ATM IV57.1%47.4%92.9%73.1%48.4%
Expected Move16.5%13.6%26.2%26.2%15.6%
HV 20d72.6%60.4%78.1%60.4%72.2%
HV 60d56.8%49.2%60.1%55.1%58.0%
IV Rank22.0%2.8%92.8%53.5%4.6%
IV Percentile38.8%2.9%99.4%88.4%10.3%
Term Structure-1.0%-6.9%2.3%-3.4%0.7%
VWIV59.4%48.7%92.4%92.4%55.5%
Skew 25d1.2%-1.3%5.4%4.5%2.7%
Skew 10d1.4%-5.6%17.3%-2.1%3.6%
Call IV 25d58.3%47.2%91.7%72.3%48.8%
Put IV 25d59.5%48.1%96.7%76.8%51.5%
Bid-Ask Spread %5.122.2129.795.123.32
Gamma HHI0.170.090.510.110.13
Net GEX-2.3M-6.1M6.9M-2.3M-1.1M
Net DEX270.2M141.3M428.8M200.6M161.0M
Net VEX-1.6M-1.9M-1.4M-1.7M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.621.921.530.89
Total Volume112,157.38144,426475,68373,60159,902
Total OI1,082,060.857916,5581,318,870916,5581,095,191

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-11-01$14.47$18.0073.1%26.2%60.4%53.5%92.4%4.5%-3.4%-2.3M200.6M-1.7M1.535.1229,11244,489418,803497,755
2017-11-02$14.55$18.0073.6%19.0%60.4%54.5%71.5%3.2%-4.0%-3.1M208.7M-1.7M1.035.5624,67225,535431,239512,765
2017-11-03$15.25$20.0075.8%19.6%62.2%58.9%69.9%3.5%-4.5%-1.6M141.3M-1.9M0.905.3631,37828,337441,357526,816
2017-11-06$14.85$20.0078.0%21.2%62.9%63.3%75.9%5.4%-3.0%-1.9M170.1M-1.8M1.108.2356,77762,349421,930508,660
2017-11-07$15.09$20.0092.9%24.6%62.4%92.8%87.8%5.0%-6.9%-1.5M144.2M-1.9M0.6229.79184,881114,795455,489534,409
2017-11-08$12.84$20.0055.3%16.2%76.2%18.3%57.6%0.9%0.4%-6.1M414.1M-1.4M1.434.43196,057279,626556,942600,220
2017-11-09$12.40$20.0056.4%15.7%74.0%20.4%55.3%0.3%-1.9%-4.8M428.8M-1.4M1.123.4995,980107,575628,930637,300
2017-11-10$12.80$20.0053.9%15.2%75.7%15.5%53.9%-0.8%-1.1%-3.1M390.9M-1.6M0.703.3363,99444,782658,413660,457
2017-11-13$12.38$19.0053.3%15.2%75.9%14.3%54.5%-0.6%0.5%-3.1M370.9M-1.5M1.042.2133,69934,945539,833597,182
2017-11-14$12.56$19.0050.7%14.6%76.5%9.2%52.7%-0.3%-0.2%-3.1M363.5M-1.5M0.882.3729,69926,185546,030602,331
2017-11-15$12.45$18.0050.3%14.4%76.4%8.4%51.9%-1.3%1.2%-3.1M370.9M-1.5M1.633.1341,09067,067556,487609,334
2017-11-16$12.59$20.0047.4%13.6%76.4%2.8%50.1%-1.0%0.2%-3.0M367.6M-1.5M1.174.0120,42823,998560,288620,434
2017-11-17$13.01$20.0047.9%13.6%77.4%3.7%49.4%0.8%2.3%-2.1M331.7M-1.6M0.942.7343,11240,656568,218627,553
2017-11-20$12.40$20.0050.0%14.3%78.1%7.9%54.2%-0.6%-1.5%-2.7M268.7M-1.5M1.043.7246,17747,944464,022513,051
2017-11-21$12.34$18.0050.5%14.7%77.8%8.8%54.5%-1.1%-1.4%-3.0M275.6M-1.6M1.922.8128,55154,798486,816536,762
2017-11-22$12.62$17.0049.2%14.2%77.9%6.3%50.8%0.3%-0.6%-2.9M258.2M-1.6M1.022.9627,73328,263495,786556,782
2017-11-24$12.97$17.0047.7%13.7%78.0%3.4%48.7%-0.3%-0.7%6.9M230.3M-1.7M1.095.1923,23525,316501,968569,537
2017-11-27$13.08$17.0047.9%14.7%73.5%3.7%52.7%0.7%1.7%-2.4M224.1M-1.7M0.714.1550,60235,891475,813553,150
2017-11-28$13.62$17.0047.7%14.7%75.0%3.3%52.9%2.6%0.6%-1.4M174.8M-1.8M1.053.1047,70849,924497,216569,160
2017-11-29$13.68$17.0050.1%15.7%74.8%8.0%55.9%1.2%-0.5%-2.0M178.5M-1.8M0.692.5946,29431,749497,290591,559
2017-11-30$13.78$17.0048.4%15.6%72.2%4.6%55.5%2.7%0.7%-1.1M161.0M-1.8M0.893.3231,72228,180503,307591,884