SNAP Options History — March 2018

In March 2018, SNAP traded between $15.85 and $18.27. ATM implied volatility averaged 51.2%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 22.9% (HV 20d: 74.1%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 1.02.

Notable Days

  • 2018-03-02: Highest Volume — 128,972 contracts
  • 2018-03-19: Largest IV spike — 8.9% change
  • 2018-03-01: Highest IV Rank — 27.5%
  • 2018-03-28: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.09$15.85$18.27$17.14$15.85
Max Pain$16.31$16.00$18.00$18.00$16.00
ATM IV51.2%46.1%54.8%54.8%54.5%
Expected Move14.5%13.0%15.9%15.5%14.2%
HV 20d74.1%36.1%153.1%152.6%36.1%
HV 60d93.0%92.1%95.0%94.7%93.0%
IV Rank21.3%12.4%27.5%27.5%27.1%
IV Percentile32.8%6.0%50.8%48.2%50.8%
Term Structure1.5%-2.2%17.9%-1.1%17.9%
VWIV51.4%46.0%55.9%55.1%50.1%
Skew 25d1.6%-0.4%4.7%1.4%2.7%
Skew 10d4.3%0.7%13.1%1.9%9.6%
Call IV 25d51.3%47.2%55.2%55.2%50.9%
Put IV 25d52.9%47.7%57.5%56.6%53.6%
Bid-Ask Spread %8.002.7321.547.735.25
Gamma HHI0.130.080.650.080.09
Net GEX-2.2M-24.5M1.5M-924.1K-2.5M
Net DEX-34.6M-168.6M87.8M-34.0M87.8M
Net VEX-2.6M-2.7M-2.5M-2.7M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.020.461.641.191.64
Total Volume70,610.57144,531128,97268,32680,060
Total OI1,074,791.238950,8071,174,5491,105,4971,036,154

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-03-01$17.14$18.0054.8%15.5%152.6%27.5%55.1%1.4%-1.1%-924.1K-34.0M-2.7M1.197.7331,25237,074466,669638,828
2018-03-02$18.00$18.0053.1%14.7%153.1%24.6%51.3%-0.4%3.0%-24.5M-149.6M-2.7M0.8121.5471,32457,648466,656642,462
2018-03-05$18.27$16.0052.1%14.7%152.8%22.9%52.0%1.2%-0.3%613.8K-168.6M-2.6M0.575.1733,47818,924449,334624,549
2018-03-06$18.05$16.0051.7%14.8%153.0%22.2%52.1%0.8%0.1%414.5K-146.5M-2.6M1.266.6321,53827,045457,512626,270
2018-03-07$18.08$16.0052.5%14.7%153.1%23.5%51.5%0.8%-0.9%-170.7K-143.4M-2.6M0.4617.7858,22826,775462,352638,861
2018-03-08$17.66$16.0050.5%14.1%59.3%20.2%49.7%0.2%-0.5%-1.2M-106.0M-2.6M1.157.1028,38232,523491,712642,797
2018-03-09$17.89$16.0047.8%13.9%56.5%15.4%49.2%0.9%0.1%1.1M-121.8M-2.6M0.797.4355,66644,216497,571652,634
2018-03-12$18.13$16.0049.0%14.3%55.2%17.5%50.6%0.6%0.4%-35.2K-136.7M-2.5M1.435.7531,59845,276462,506637,872
2018-03-13$17.52$16.0049.4%14.2%56.4%18.2%50.2%2.1%0.5%-1.8M-45.7M-2.6M0.6611.0527,86518,298469,186671,185
2018-03-14$17.81$16.0048.0%13.5%56.8%15.7%48.7%1.6%-0.1%-2.4M-85.0M-2.6M0.815.4329,31923,726473,697676,277
2018-03-15$17.23$16.0048.0%13.7%54.6%15.7%48.5%2.5%-0.4%-2.7M-3.3M-2.5M0.767.1843,70633,065478,524678,431
2018-03-16$17.02$16.0046.1%13.0%54.3%12.4%46.0%0.1%-2.2%1.5M14.3M-2.5M1.569.3542,22265,987490,132684,417
2018-03-19$16.42$17.0050.2%14.4%52.7%19.5%50.6%1.0%-1.1%-1.9M20.4M-2.5M1.328.5535,36546,748369,889580,918
2018-03-20$15.98$16.5051.7%14.8%47.4%22.3%52.2%2.0%0.4%-2.4M69.2M-2.6M1.265.2430,51638,417382,404605,949
2018-03-21$16.57$16.0050.0%14.3%49.9%19.2%50.7%1.9%0.3%-1.5M10.4M-2.6M0.649.9328,87118,429395,993613,309
2018-03-22$16.52$16.0053.3%15.2%44.9%25.0%54.2%1.7%1.8%-1.3M13.8M-2.7M0.735.6931,65323,197400,626620,142
2018-03-23$16.31$16.0052.2%14.8%45.1%23.0%53.6%2.1%1.4%-1.4M37.7M-2.6M1.584.0236,34757,479405,323625,859
2018-03-26$16.26$16.0051.7%14.9%44.6%22.1%52.8%2.7%5.7%-1.6M43.0M-2.6M1.242.7325,28831,300392,606616,817
2018-03-27$16.21$16.5053.8%15.5%41.9%25.8%55.5%4.7%0.6%-1.6M48.4M-2.6M0.628.2927,45217,079394,291623,253
2018-03-28$15.99$16.5054.3%15.9%36.2%26.7%55.9%2.6%6.2%-1.6M68.3M-2.6M0.886.0626,28923,197398,825627,824
2018-03-29$15.85$16.0054.5%14.2%36.1%27.1%50.1%2.7%17.9%-2.5M87.8M-2.5M1.645.2530,35049,710405,549630,605