SNAP Options History — April 2018

In April 2018, SNAP traded between $14.06 and $15.64. ATM implied volatility averaged 78.8%, placing in the 69.2% IV rank vs the trailing year. The 30-day expected move averaged 22.0%. IV traded above realized volatility by 33.6% (HV 20d: 45.1%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.85.

Notable Days

  • 2018-04-25: Highest Volume — 158,382 contracts
  • 2018-04-05: Largest IV spike — 14.7% change
  • 2018-04-25: Highest IV Rank — 78.1%
  • 2018-04-30: Largest Expected Move — 27.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.67$14.06$15.64$14.48$14.40
Max Pain$16.48$16.00$17.00$16.00$16.00
ATM IV78.8%71.5%83.9%83.8%78.5%
Expected Move22.0%14.5%27.2%16.9%27.2%
HV 20d45.1%41.7%52.8%42.4%42.3%
HV 60d94.1%93.2%94.7%94.7%94.6%
IV Rank69.2%56.5%78.1%77.9%68.8%
IV Percentile91.6%79.4%96.4%96.4%90.9%
Term Structure-4.7%-12.1%6.9%-5.0%-6.7%
VWIV77.4%52.0%96.6%59.7%96.6%
Skew 25d0.8%-7.4%7.3%5.4%-2.3%
Skew 10d2.3%-12.1%30.2%-12.1%-6.3%
Call IV 25d80.2%71.0%89.4%89.4%78.5%
Put IV 25d81.0%63.6%94.9%94.9%76.3%
Bid-Ask Spread %6.182.2020.5011.5510.27
Gamma HHI0.130.090.170.120.09
Net GEX-1.8M-4.5M2.3M-3.6M-1.8M
Net DEX130.5M-7.0M235.2M186.7M94.1M
Net VEX-2.5M-2.5M-2.4M-2.4M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.850.351.651.341.14
Total Volume77,559.90536,154158,382105,184116,580
Total OI1,098,225.905920,5001,211,7281,014,7871,053,463

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-04-02$14.48$16.0083.8%16.9%42.4%77.9%59.7%5.4%-5.0%-3.6M186.7M-2.4M1.3411.5544,92160,263390,166624,621
2018-04-03$14.06$16.0072.6%15.6%41.7%58.4%55.5%7.3%6.9%-4.3M235.2M-2.4M1.225.3245,00454,922409,444643,642
2018-04-04$14.61$16.0071.5%14.5%45.6%56.6%52.0%-7.4%4.5%-3.6M183.5M-2.5M0.824.0847,94939,278431,554667,144
2018-04-05$14.38$17.0082.0%21.1%45.4%74.9%74.3%0.8%-6.6%-3.5M195.2M-2.5M0.924.9126,33624,145452,996678,628
2018-04-06$14.21$17.0082.2%21.5%45.2%75.1%75.7%3.9%-12.1%-4.5M217.6M-2.4M0.913.5625,57323,261459,760684,996
2018-04-09$14.22$17.0080.6%21.3%44.5%72.4%74.8%3.9%-4.4%-4.5M210.8M-2.4M0.592.9122,73313,421440,550676,673
2018-04-10$14.49$17.0079.3%21.7%44.9%70.0%76.9%1.1%-2.6%-3.8M177.6M-2.5M0.514.5032,83316,770449,083681,969
2018-04-11$14.80$17.0082.9%22.4%45.5%76.3%78.0%3.7%-4.9%-2.2M128.7M-2.5M0.5120.5051,13925,833461,161683,006
2018-04-12$14.94$17.0081.0%22.1%45.0%73.0%77.4%3.0%-5.1%-1.7M107.7M-2.5M0.462.9344,28020,148476,949689,361
2018-04-13$14.72$17.0081.8%22.2%44.2%74.5%78.4%2.7%-6.6%-2.3M135.0M-2.5M1.655.1931,33551,719488,329693,324
2018-04-16$14.56$17.0075.7%21.2%44.2%63.9%74.4%1.3%-4.8%-2.3M149.5M-2.4M1.185.0020,56024,298476,455685,552
2018-04-17$14.92$17.0071.5%20.3%44.3%56.5%71.2%-1.8%-4.5%-947.9K104.7M-2.4M1.326.9832,75343,214483,273692,640
2018-04-18$14.64$17.0073.5%21.1%43.8%59.9%73.4%-0.9%-5.2%-1.6M145.7M-2.4M0.7210.8822,20616,079493,204714,251
2018-04-19$14.85$16.0077.4%22.5%41.8%66.9%79.2%-1.1%-5.7%313.3K107.6M-2.4M0.695.5626,02817,975501,964705,521
2018-04-20$15.24$16.0078.5%23.2%43.2%68.8%81.5%-0.1%-7.7%-45.2K37.2M-2.5M0.514.9364,82132,917503,421708,307
2018-04-23$15.50$16.0077.9%24.0%43.7%67.6%84.2%0.5%-5.2%2.1M8.6M-2.5M0.696.7832,22522,197393,175527,325
2018-04-24$15.64$16.0083.3%25.8%43.9%77.0%90.6%0.2%-5.8%2.3M-7.0M-2.5M0.354.5646,67416,336399,220533,537
2018-04-25$14.47$16.0083.9%26.7%51.5%78.1%92.2%-1.7%-5.7%-636.4K107.8M-2.4M0.744.4190,77067,612411,876537,851
2018-04-26$14.70$16.0079.4%25.7%52.0%70.2%90.2%-1.1%-5.8%-70.6K84.0M-2.5M0.482.7051,47924,533447,211578,830
2018-04-27$14.26$16.0077.0%25.4%52.8%66.1%89.5%-0.8%-6.7%-2.0M130.8M-2.4M1.172.2072,79784,841456,389575,923
2018-04-30$14.40$16.0078.5%27.2%42.3%68.8%96.6%-2.3%-6.7%-1.8M94.1M-2.5M1.1410.2754,39462,186458,824594,639