SNAP Options History — May 2018

In May 2018, SNAP traded between $10.52 and $14.06. ATM implied volatility averaged 45.4%, placing in the 11.6% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded below realized volatility by 40.7% (HV 20d: 86.1%). Max pain ranged from $13.00 to $16.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2018-05-02: Highest Volume — 356,604 contracts
2018-05-02: Largest IV drop — 40.1% change
2018-05-01: Highest IV Rank — 81.3%
2018-05-01: Largest Expected Move — 31.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.97	$10.52	$14.06	$14.06	$11.44
Max Pain	$13.82	$13.00	$16.00	$16.00	$13.00
ATM IV	45.4%	38.1%	85.8%	85.8%	45.2%
Expected Move	13.4%	10.7%	31.1%	31.1%	13.6%
HV 20d	86.1%	27.2%	93.8%	41.8%	27.2%
HV 60d	69.8%	60.7%	106.8%	94.7%	62.1%
IV Rank	11.6%	0.0%	81.3%	81.3%	12.1%
IV Percentile	12.0%	0.0%	97.6%	97.6%	11.1%
Term Structure	-0.5%	-6.4%	1.7%	-6.4%	-2.2%
VWIV	47.7%	38.9%	109.5%	109.5%	48.8%
Skew 25d	-1.9%	-4.2%	-0.4%	-4.2%	-2.6%
Skew 10d	-4.2%	-16.5%	1.1%	-16.5%	-8.8%
Call IV 25d	47.6%	40.5%	88.4%	88.4%	48.4%
Put IV 25d	45.6%	38.8%	84.2%	84.2%	45.7%
Bid-Ask Spread %	3.76	1.73	13.88	7.31	13.88
Gamma HHI	0.17	0.10	0.25	0.10	0.18
Net GEX	-2.9M	-5.1M	-216.4K	-1.4M	-2.4M
Net DEX	301.5M	101.7M	414.6M	101.7M	187.7M
Net VEX	-2.3M	-2.8M	-1.8M	-2.5M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.38	1.76	0.73	0.40
Total Volume	105,685.818	35,012	356,604	207,540	204,252
Total OI	1,296,915.045	1,080,648	1,416,768	1,080,648	1,352,337

Daily Data (22 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
2018-05-01	$14.06	$16.00	85.8%	31.1%	41.8%	81.3%	109.5%	-4.2%	-6.4%	-1.4M	101.7M	-2.5M	0.73	7.31	120,142	87,398	483,109	597,539
2018-05-02	$11.04	$15.00	51.3%	15.6%	93.7%	21.6%	58.3%	-1.8%	-1.7%	-5.1M	414.6M	-1.8M	1.02	4.41	176,582	180,022	553,979	655,736
2018-05-03	$10.90	$14.00	50.8%	14.1%	93.7%	20.6%	49.9%	-2.3%	-0.8%	-4.8M	386.0M	-1.9M	0.88	3.09	114,311	100,017	628,222	674,442
2018-05-04	$10.85	$15.00	48.7%	13.8%	93.8%	17.0%	48.7%	-1.9%	0.1%	-3.5M	378.1M	-2.1M	1.09	2.01	57,718	62,673	675,595	694,302
2018-05-07	$10.76	$15.00	47.1%	13.6%	93.7%	14.2%	48.4%	-1.7%	0.5%	-3.5M	342.7M	-2.1M	0.70	2.65	56,389	39,709	583,130	658,074
2018-05-08	$10.93	$14.00	48.2%	13.8%	93.5%	16.1%	49.3%	-1.8%	-0.1%	-2.1M	306.8M	-2.2M	0.45	2.92	86,387	38,496	615,798	665,796
2018-05-09	$11.01	$14.00	44.7%	12.9%	93.0%	10.0%	45.5%	-2.4%	0.4%	-2.1M	306.3M	-2.3M	0.61	2.41	29,361	17,803	635,063	680,382
2018-05-10	$11.01	$14.00	43.6%	12.6%	92.7%	8.0%	44.7%	-1.4%	0.6%	-1.9M	307.6M	-2.3M	0.52	2.35	28,905	14,962	641,799	682,582
2018-05-11	$11.03	$14.00	42.8%	12.4%	92.9%	6.7%	43.8%	-2.8%	1.0%	-216.4K	297.7M	-2.3M	0.71	3.59	31,619	22,592	649,529	682,011
2018-05-14	$11.00	$14.00	42.3%	12.2%	93.0%	5.8%	43.0%	-1.1%	-0.3%	-2.7M	310.7M	-2.2M	0.88	1.73	23,600	20,730	611,262	667,616
2018-05-15	$10.60	$14.00	43.8%	12.6%	92.2%	8.4%	44.8%	-0.9%	-1.5%	-3.0M	335.8M	-2.1M	0.46	5.96	86,754	39,888	621,452	674,837
2018-05-16	$10.63	$14.00	42.1%	12.1%	92.4%	5.5%	42.1%	-2.5%	-1.1%	-2.7M	327.4M	-2.2M	0.81	1.95	31,678	25,576	649,063	691,782
2018-05-17	$10.52	$14.00	42.6%	12.2%	91.8%	6.4%	43.1%	-1.9%	1.7%	-2.5M	332.8M	-2.2M	1.66	2.34	35,959	59,650	664,297	696,418
2018-05-18	$10.61	$13.00	41.9%	12.1%	90.9%	5.1%	42.1%	-2.3%	-0.7%	-2.6M	333.1M	-2.4M	1.27	1.87	48,403	61,668	677,721	739,047
2018-05-21	$10.75	$13.00	40.0%	11.3%	90.7%	1.8%	41.2%	-0.7%	0.5%	-2.8M	267.7M	-2.4M	0.79	2.01	39,351	30,962	530,664	683,011
2018-05-22	$10.76	$13.00	41.1%	11.9%	90.4%	3.7%	44.4%	-1.1%	-0.1%	-2.6M	261.9M	-2.5M	0.87	8.40	27,778	24,278	549,081	699,806
2018-05-23	$10.62	$13.00	40.0%	11.3%	87.7%	1.8%	40.8%	-2.4%	-0.1%	-3.0M	281.7M	-2.5M	1.76	4.98	31,401	55,372	562,033	712,751
2018-05-24	$10.62	$13.00	39.5%	11.1%	87.1%	1.0%	39.9%	-3.0%	1.2%	-3.7M	294.3M	-2.5M	1.28	1.87	20,291	26,015	568,409	745,444
2018-05-25	$10.68	$13.00	38.1%	10.7%	87.3%	0.0%	38.9%	-1.8%	0.8%	-3.5M	289.9M	-2.6M	1.12	2.28	23,347	26,159	576,792	759,326
2018-05-29	$10.58	$13.00	40.3%	11.5%	86.9%	3.7%	40.9%	-0.4%	-1.7%	-3.9M	309.3M	-2.5M	0.87	2.54	18,735	16,277	558,180	757,312
2018-05-30	$11.00	$13.00	40.2%	11.6%	88.9%	3.5%	41.3%	-1.8%	-1.5%	-3.4M	258.3M	-2.7M	0.38	2.17	59,148	22,730	565,175	761,227
2018-05-31	$11.44	$13.00	45.2%	13.6%	27.2%	12.1%	48.8%	-2.6%	-2.2%	-2.4M	187.7M	-2.8M	0.40	13.88	145,656	58,596	585,603	766,734