SNAP Options History — December 2017

In December 2017, SNAP traded between $13.58 and $16.15. ATM implied volatility averaged 44.9%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 12.8%. IV traded below realized volatility by 9.7% (HV 20d: 54.6%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.96.

Notable Days

2017-12-05: Highest Volume — 162,586 contracts
2017-12-15: Largest IV drop — 12.0% change
2017-12-05: Highest IV Rank — 9.1%
2017-12-01: Largest Expected Move — 15.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.18	$13.58	$16.15	$13.88	$14.64
Max Pain	$17.25	$16.00	$18.00	$17.00	$18.00
ATM IV	44.9%	38.9%	50.6%	49.4%	38.9%
Expected Move	12.8%	11.0%	15.3%	15.3%	11.0%
HV 20d	54.6%	47.5%	78.5%	72.3%	48.3%
HV 60d	60.6%	57.2%	62.4%	57.2%	60.2%
IV Rank	2.9%	0.0%	9.1%	6.6%	0.0%
IV Percentile	7.1%	0.0%	31.0%	18.4%	0.0%
Term Structure	0.3%	-1.5%	4.9%	-1.1%	1.6%
VWIV	46.6%	38.6%	55.0%	54.8%	38.6%
Skew 25d	-0.3%	-3.2%	2.8%	2.2%	0.2%
Skew 10d	-1.4%	-5.6%	3.6%	2.5%	2.3%
Call IV 25d	46.5%	38.5%	51.6%	49.2%	38.5%
Put IV 25d	46.2%	38.7%	52.8%	51.4%	38.7%
Bid-Ask Spread %	2.65	1.78	5.85	3.96	2.42
Gamma HHI	0.16	0.11	0.26	0.14	0.19
Net GEX	-1.7M	-5.3M	3.8M	-2.1M	-4.8M
Net DEX	77.0M	-51.3M	200.7M	157.6M	166.2M
Net VEX	-1.8M	-2.0M	-1.6M	-1.8M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.96	0.46	1.87	1.42	1.29
Total Volume	68,951.05	23,107	162,586	68,601	51,517
Total OI	1,085,992.5	1,002,796	1,226,928	1,100,542	1,028,733

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
2017-12-01	$13.88	$17.00	49.4%	15.3%	72.3%	6.6%	54.8%	2.2%	-1.1%	-2.1M	157.6M	-1.8M	1.42	3.96	28,340	40,261	502,798	597,744
2017-12-04	$13.58	$16.00	49.8%	14.6%	70.1%	7.5%	51.5%	2.8%	0.3%	-2.8M	200.7M	-1.8M	1.87	1.78	23,823	44,649	477,136	585,510
2017-12-05	$14.94	$16.00	50.6%	14.5%	78.2%	9.1%	53.4%	0.1%	0.7%	-549.1K	64.0M	-1.9M	0.50	2.46	108,396	54,190	480,971	612,174
2017-12-06	$14.59	$16.00	49.6%	14.2%	78.5%	7.0%	55.0%	-0.3%	0.4%	-704.9K	104.9M	-1.9M	0.72	2.32	33,521	23,995	499,975	627,225
2017-12-07	$14.72	$16.00	49.4%	14.2%	50.9%	6.5%	50.9%	-1.1%	1.0%	-254.0K	92.9M	-1.9M	0.74	1.78	28,250	20,790	509,324	633,826
2017-12-08	$15.10	$17.00	46.0%	13.1%	48.8%	0.0%	47.4%	-0.6%	1.5%	81.9K	48.3M	-1.8M	0.66	2.07	37,204	24,557	508,534	632,805
2017-12-11	$16.15	$17.00	48.0%	13.7%	52.4%	4.0%	49.0%	0.6%	-0.2%	2.2M	-51.3M	-1.8M	0.67	2.39	77,586	51,622	496,868	611,266
2017-12-12	$15.93	$17.00	48.1%	13.4%	50.6%	4.1%	47.7%	-1.5%	-1.3%	2.1M	-17.9M	-1.9M	1.17	1.94	42,868	49,963	504,837	626,765
2017-12-13	$15.93	$17.00	45.0%	12.5%	50.8%	0.0%	49.7%	0.9%	-1.5%	3.0M	-1.0M	-1.9M	1.15	3.06	50,900	58,469	520,586	657,750
2017-12-14	$16.02	$18.00	48.2%	13.5%	50.3%	6.2%	50.8%	0.6%	-1.2%	3.8M	-11.5M	-2.0M	0.98	3.13	46,126	45,217	528,098	670,601
2017-12-15	$15.72	$18.00	42.4%	12.0%	51.5%	0.0%	42.8%	0.4%	-1.1%	-2.7M	61.6M	-1.9M	0.86	2.09	40,118	34,407	538,337	688,591
2017-12-18	$16.05	$18.00	43.1%	12.3%	51.0%	1.3%	45.0%	-1.6%	-1.1%	-2.4M	11.0K	-1.9M	1.14	2.66	31,938	36,377	420,732	582,064
2017-12-19	$15.75	$18.00	42.5%	12.2%	47.5%	0.2%	43.6%	-1.7%	1.6%	-3.6M	39.2M	-1.9M	0.85	2.63	23,227	19,705	429,405	593,748
2017-12-20	$15.50	$18.00	40.9%	11.7%	48.2%	0.0%	41.8%	-1.0%	0.8%	-4.9M	70.4M	-1.8M	0.50	2.23	21,149	10,549	433,021	595,697
2017-12-21	$15.32	$18.00	41.1%	11.8%	48.7%	0.3%	42.1%	-2.4%	-0.6%	-5.3M	93.8M	-1.8M	0.72	2.34	22,900	16,572	437,108	596,929
2017-12-22	$15.11	$18.00	41.7%	11.9%	48.9%	1.4%	44.4%	-3.2%	-0.1%	-3.0M	117.4M	-1.8M	1.45	2.12	34,221	49,694	442,702	599,588
2017-12-26	$14.99	$18.00	42.0%	11.9%	49.2%	1.9%	42.9%	-0.9%	-0.5%	-3.9M	127.8M	-1.7M	0.46	2.22	23,259	10,626	425,031	585,261
2017-12-27	$14.85	$17.00	42.3%	11.7%	47.8%	2.6%	41.7%	0.3%	4.9%	-4.0M	138.6M	-1.7M	1.05	5.85	11,272	11,835	429,307	587,321
2017-12-28	$14.87	$17.00	39.8%	11.1%	47.8%	0.0%	39.7%	0.3%	2.1%	-4.0M	138.9M	-1.7M	1.00	3.48	19,477	19,451	431,955	589,527
2017-12-29	$14.64	$18.00	38.9%	11.0%	48.3%	0.0%	38.6%	0.2%	1.6%	-4.8M	166.2M	-1.6M	1.29	2.42	22,485	29,032	432,616	596,117