SNAP Options History — February 2018

In February 2018, SNAP traded between $13.69 and $20.71. ATM implied volatility averaged 62.1%, placing in the 40.2% IV rank vs the trailing year. The 30-day expected move averaged 17.4%. IV traded below realized volatility by 63.3% (HV 20d: 125.4%). Max pain ranged from $16.00 to $19.00. Net GEX was positive for 9 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.99.

Notable Days

2018-02-07: Highest Volume — 664,343 contracts
2018-02-12: Largest IV drop — 18.4% change
2018-02-06: Highest IV Rank — 70.0%
2018-02-06: Largest Expected Move — 21.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.62	$13.69	$20.71	$13.90	$17.32
Max Pain	$17.42	$16.00	$19.00	$16.00	$18.00
ATM IV	62.1%	51.7%	79.2%	73.2%	51.8%
Expected Move	17.4%	15.0%	21.3%	18.6%	15.6%
HV 20d	125.4%	38.6%	152.4%	42.7%	152.4%
HV 60d	83.8%	43.2%	94.7%	54.7%	94.7%
IV Rank	40.2%	22.2%	70.0%	59.4%	22.3%
IV Percentile	63.0%	37.2%	95.6%	88.5%	37.3%
Term Structure	-1.7%	-7.3%	1.6%	-0.9%	-2.0%
VWIV	61.7%	53.3%	74.3%	66.1%	56.7%
Skew 25d	3.5%	-5.9%	59.4%	-0.1%	0.4%
Skew 10d	-0.7%	-28.8%	8.3%	-3.0%	1.5%
Call IV 25d	63.2%	52.3%	78.7%	74.6%	53.3%
Put IV 25d	66.7%	53.6%	138.1%	74.5%	53.6%
Bid-Ask Spread %	9.75	3.19	40.73	3.19	7.05
Gamma HHI	0.11	0.08	0.15	0.11	0.09
Net GEX	195.3K	-2.6M	5.3M	-1.5M	-1.4M
Net DEX	-206.8M	-678.9M	89.2M	57.4M	-52.5M
Net VEX	-2.4M	-2.7M	-1.9M	-2.0M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.39	2.65	1.03	0.75
Total Volume	162,393.421	42,271	664,343	42,271	120,449
Total OI	1,110,428.368	964,386	1,291,485	975,241	1,100,656

Daily Data (19 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
2018-02-01	$13.90	$16.00	73.2%	18.6%	42.7%	59.4%	66.1%	-0.1%	-0.9%	-1.5M	57.4M	-2.0M	1.03	3.19	20,864	21,407	417,717	557,524
2018-02-02	$13.69	$16.00	75.0%	19.1%	39.5%	62.5%	66.7%	1.1%	-4.4%	-1.7M	89.2M	-2.0M	2.65	8.11	21,785	57,807	421,722	565,830
2018-02-05	$13.86	$16.00	76.8%	20.3%	39.8%	65.7%	71.6%	59.4%	-7.3%	-1.9M	66.6M	-2.0M	1.50	17.87	49,951	75,125	406,237	558,149
2018-02-06	$14.01	$16.00	79.2%	21.3%	38.6%	70.0%	74.3%	5.9%	-4.1%	-1.9M	52.1M	-2.1M	0.93	40.73	84,426	78,920	427,679	597,490
2018-02-07	$20.71	$16.00	71.6%	20.7%	144.1%	56.8%	73.4%	1.9%	1.6%	752.7K	-678.9M	-1.9M	0.48	8.68	448,681	215,662	455,600	643,851
2018-02-08	$19.52	$17.00	72.0%	20.1%	146.4%	57.4%	70.3%	-5.9%	-2.8%	2.7M	-519.3M	-2.2M	0.63	4.34	187,903	118,179	516,248	723,468
2018-02-09	$18.76	$17.00	72.0%	19.6%	147.6%	57.3%	70.3%	-1.9%	-6.0%	1.7M	-426.4M	-2.4M	0.62	26.29	167,827	103,618	555,565	735,920
2018-02-12	$18.65	$17.00	58.7%	16.9%	146.7%	34.3%	59.6%	0.1%	0.8%	2.3M	-341.6M	-2.3M	0.67	7.68	77,384	51,880	503,507	652,540
2018-02-13	$18.61	$17.00	55.6%	15.9%	145.1%	28.9%	55.7%	0.1%	0.5%	1.4M	-325.0M	-2.3M	0.93	4.22	53,300	49,512	499,153	672,260
2018-02-14	$19.52	$17.00	56.2%	16.1%	145.5%	29.9%	57.1%	-0.7%	-1.9%	4.1M	-446.9M	-2.4M	0.99	6.83	67,408	66,712	510,427	696,528
2018-02-15	$19.72	$18.00	55.0%	15.8%	145.3%	28.0%	56.7%	-1.4%	-0.7%	5.3M	-468.5M	-2.5M	0.67	11.25	77,230	51,628	529,724	712,967
2018-02-16	$20.43	$19.00	54.8%	15.7%	145.3%	27.6%	55.8%	-0.8%	-0.4%	1.6M	-551.6M	-2.5M	0.39	3.58	93,281	36,694	541,208	733,831
2018-02-20	$18.95	$19.00	56.4%	16.5%	149.1%	30.4%	58.4%	0.1%	-0.9%	336.2K	-207.5M	-2.5M	0.98	4.21	51,515	50,626	415,472	604,389
2018-02-21	$18.67	$19.00	54.6%	15.6%	149.5%	27.1%	55.2%	0.6%	-1.3%	-239.5K	-180.8M	-2.5M	1.29	10.72	40,267	51,873	423,555	612,156
2018-02-22	$17.51	$19.00	58.1%	16.6%	152.0%	33.3%	59.1%	2.1%	-0.9%	-2.6M	-32.9M	-2.6M	0.79	5.42	125,619	98,711	433,334	623,866
2018-02-23	$17.44	$18.00	53.9%	15.5%	150.6%	26.0%	55.5%	2.4%	-0.7%	-946.3K	-27.7M	-2.6M	2.19	7.46	39,992	87,579	457,116	643,434
2018-02-26	$17.09	$18.00	51.7%	15.0%	150.7%	22.2%	53.3%	1.0%	0.2%	-2.3M	-5.2M	-2.7M	0.54	3.76	42,443	22,872	429,770	634,831
2018-02-27	$16.36	$18.00	52.8%	15.5%	151.9%	24.0%	55.5%	2.1%	-0.8%	-1.8M	70.4M	-2.6M	0.76	3.81	43,399	32,946	444,573	639,842
2018-02-28	$17.32	$18.00	51.8%	15.6%	152.4%	22.3%	56.7%	0.4%	-2.0%	-1.4M	-52.5M	-2.7M	0.75	7.05	68,942	51,507	455,893	644,763