SNAP Options History — January 2018

In January 2018, SNAP traded between $13.25 and $15.33. ATM implied volatility averaged 64.9%, placing in the 45.1% IV rank vs the trailing year. The 30-day expected move averaged 20.5%. IV traded above realized volatility by 25.2% (HV 20d: 39.7%). Max pain ranged from $13.00 to $18.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 1.43.

Notable Days

2018-01-08: Highest Volume — 134,028 contracts
2018-01-10: Largest IV spike — 37.7% change
2018-01-10: Highest IV Rank — 65.4%
2018-01-30: Largest Expected Move — 26.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.10	$13.25	$15.33	$14.94	$13.51
Max Pain	$13.95	$13.00	$18.00	$18.00	$13.00
ATM IV	64.9%	39.8%	76.6%	39.8%	72.7%
Expected Move	20.5%	10.9%	26.4%	10.9%	26.3%
HV 20d	39.7%	32.7%	48.7%	48.7%	42.4%
HV 60d	58.0%	55.2%	61.2%	60.3%	55.3%
IV Rank	45.1%	1.5%	65.4%	1.5%	58.5%
IV Percentile	69.2%	1.0%	92.4%	1.0%	87.1%
Term Structure	-0.5%	-5.6%	15.7%	5.4%	-4.9%
VWIV	72.6%	39.9%	92.4%	39.9%	92.3%
Skew 25d	-0.3%	-2.1%	1.4%	1.0%	0.9%
Skew 10d	-1.2%	-11.3%	12.2%	2.1%	-11.3%
Call IV 25d	66.4%	40.9%	77.7%	40.9%	73.2%
Put IV 25d	66.1%	41.9%	78.1%	41.9%	74.1%
Bid-Ask Spread %	4.90	2.15	31.52	2.15	14.24
Gamma HHI	0.18	0.10	0.57	0.25	0.15
Net GEX	-4.7M	-12.9M	-1.8M	-4.5M	-2.4M
Net DEX	162.5M	34.2M	305.4M	129.5M	96.9M
Net VEX	-1.9M	-2.0M	-1.6M	-1.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.43	0.32	2.92	1.51	1.39
Total Volume	80,538.619	40,840	134,028	62,355	67,051
Total OI	1,056,142.524	835,594	1,304,290	1,009,701	936,261

Daily Data (21 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
2018-01-02	$14.94	$18.00	39.8%	10.9%	48.7%	1.5%	39.9%	1.0%	5.4%	-4.5M	129.5M	-1.6M	1.51	2.15	24,846	37,509	420,990	588,711
2018-01-03	$15.33	$18.00	43.4%	11.7%	48.3%	7.7%	42.0%	-2.1%	3.8%	-3.3M	84.2M	-1.7M	0.97	3.14	41,746	40,437	425,523	601,538
2018-01-04	$14.59	$16.00	48.1%	18.4%	39.3%	15.9%	65.7%	1.4%	5.4%	-5.3M	189.3M	-1.7M	0.81	2.71	41,264	33,311	433,052	618,726
2018-01-05	$14.46	$15.00	51.5%	19.9%	38.5%	21.9%	70.3%	0.6%	6.9%	-4.7M	201.4M	-1.7M	2.09	3.04	30,737	64,155	445,544	631,595
2018-01-08	$14.02	$14.00	56.0%	20.2%	39.8%	29.6%	71.0%	0.7%	13.4%	-5.6M	241.0M	-1.8M	1.51	3.22	53,319	80,709	440,223	653,690
2018-01-09	$14.06	$14.00	55.6%	20.7%	38.5%	29.0%	72.9%	0.1%	15.7%	-6.4M	251.8M	-1.8M	1.73	3.08	35,680	61,642	470,926	681,600
2018-01-10	$14.65	$14.00	76.6%	20.8%	32.8%	65.4%	74.5%	0.4%	-3.7%	-6.7M	171.2M	-1.9M	0.91	2.46	42,593	38,702	482,352	695,794
2018-01-11	$14.62	$14.00	68.5%	18.8%	32.7%	51.4%	66.7%	1.2%	-3.7%	-6.5M	174.0M	-1.9M	1.30	3.44	28,117	36,457	502,289	712,326
2018-01-12	$14.10	$14.00	69.0%	19.0%	34.5%	52.2%	68.0%	-1.8%	-3.7%	-5.4M	238.6M	-1.9M	2.48	2.46	28,198	69,922	513,171	725,019
2018-01-16	$13.47	$13.00	68.5%	19.5%	36.9%	51.4%	69.3%	-1.8%	-3.4%	-6.4M	305.4M	-1.8M	2.92	2.20	32,282	94,249	508,364	717,741
2018-01-17	$13.52	$13.00	69.6%	20.0%	37.0%	53.2%	70.4%	-0.8%	-3.6%	-6.2M	300.5M	-1.8M	1.75	2.31	20,178	35,342	522,525	743,068
2018-01-18	$14.01	$13.00	70.7%	20.4%	38.8%	55.1%	73.6%	-1.4%	-3.6%	-5.1M	228.0M	-1.9M	0.78	2.37	72,668	56,631	530,913	745,207
2018-01-19	$14.03	$13.00	70.3%	20.6%	38.6%	54.4%	73.4%	-1.6%	-5.4%	-12.9M	208.4M	-1.9M	1.97	7.70	32,173	63,222	549,731	754,559
2018-01-22	$14.17	$13.00	68.5%	20.6%	38.8%	51.3%	72.8%	0.4%	-3.3%	-3.1M	69.7M	-1.9M	0.94	2.50	21,094	19,746	343,056	492,538
2018-01-23	$14.25	$13.00	67.8%	21.4%	38.9%	50.1%	74.9%	-0.0%	-3.4%	-2.8M	47.4M	-2.0M	0.71	2.73	27,853	19,797	352,348	503,311
2018-01-24	$14.43	$13.00	68.7%	22.3%	39.1%	51.6%	78.7%	-0.7%	-3.0%	-3.0M	34.2M	-2.0M	1.26	3.25	22,824	28,824	358,515	509,001
2018-01-25	$13.75	$13.00	74.9%	24.1%	42.3%	62.4%	84.7%	-1.0%	-5.4%	-3.0M	104.8M	-1.9M	1.24	2.76	30,219	37,520	364,594	512,824
2018-01-26	$13.56	$13.00	72.0%	23.3%	42.5%	57.4%	81.6%	-0.6%	-4.4%	-1.8M	116.5M	-1.9M	1.77	31.52	35,980	63,698	377,836	522,341
2018-01-29	$13.48	$13.00	76.3%	25.5%	42.4%	64.9%	88.9%	-0.9%	-3.9%	-2.4M	103.3M	-1.9M	0.32	2.92	42,555	13,500	376,131	510,426
2018-01-30	$13.25	$13.00	74.5%	26.4%	42.5%	61.8%	92.4%	-0.5%	-5.6%	-2.3M	115.9M	-1.9M	1.67	2.79	24,199	40,362	390,291	514,343
2018-01-31	$13.51	$13.00	72.7%	26.3%	42.4%	58.5%	92.3%	0.9%	-4.9%	-2.4M	96.9M	-2.0M	1.39	14.24	28,098	38,953	399,613	536,648