SNAP Options History — June 2018

In June 2018, SNAP traded between $11.65 and $14.04. ATM implied volatility averaged 48.3%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 13.7%. IV traded above realized volatility by 10.8% (HV 20d: 37.5%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2018-06-06: Highest Volume — 261,540 contracts
2018-06-18: Largest IV spike — 8.7% change
2018-06-29: Highest IV Rank — 29.5%
2018-06-25: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.15	$11.65	$14.04	$11.65	$13.16
Max Pain	$14.67	$12.00	$15.00	$12.00	$15.00
ATM IV	48.3%	43.1%	55.4%	43.1%	55.4%
Expected Move	13.7%	12.6%	15.1%	12.6%	13.9%
HV 20d	37.5%	27.2%	43.0%	27.2%	41.2%
HV 60d	63.7%	61.8%	64.9%	62.3%	61.8%
IV Rank	17.5%	8.5%	29.5%	8.5%	29.5%
IV Percentile	25.2%	8.7%	57.5%	8.7%	57.5%
Term Structure	4.6%	-1.4%	21.1%	-1.4%	16.7%
VWIV	48.8%	45.1%	54.0%	45.1%	48.8%
Skew 25d	-1.4%	-3.5%	0.6%	-1.0%	0.0%
Skew 10d	-3.3%	-7.1%	0.5%	-3.2%	-0.3%
Call IV 25d	49.7%	45.4%	53.6%	45.4%	49.4%
Put IV 25d	48.3%	44.3%	53.0%	44.3%	49.4%
Bid-Ask Spread %	6.61	1.73	32.87	6.65	1.73
Gamma HHI	0.14	0.11	0.36	0.16	0.11
Net GEX	-885.0K	-2.6M	5.2M	-2.6M	-1.8M
Net DEX	91.1M	-39.3M	188.3M	159.0M	154.0M
Net VEX	-3.5M	-3.7M	-2.9M	-2.9M	-3.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.28	0.89	0.55	0.68
Total Volume	121,665	33,505	261,540	136,683	59,092
Total OI	1,642,423.333	1,398,642	1,746,011	1,403,742	1,724,636

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
2018-06-01	$11.65	$12.00	43.1%	12.6%	27.2%	8.5%	45.1%	-1.0%	-1.4%	-2.6M	159.0M	-2.9M	0.55	6.65	88,139	48,544	615,349	788,393
2018-06-04	$12.33	$14.00	46.2%	13.0%	33.0%	13.8%	46.9%	-3.4%	0.1%	-1.8M	75.6M	-3.1M	0.45	7.25	111,605	49,987	607,167	791,475
2018-06-05	$12.93	$13.00	44.8%	12.6%	35.5%	11.4%	45.5%	-2.3%	-0.4%	-1.3M	-6.6M	-3.1M	0.50	4.72	151,135	75,810	621,143	816,707
2018-06-06	$13.07	$14.00	46.5%	13.0%	35.4%	14.3%	48.3%	-1.2%	-0.6%	-1.3M	13.8M	-3.3M	0.68	13.00	155,863	105,677	649,226	860,126
2018-06-07	$12.79	$15.00	47.8%	13.5%	37.1%	16.6%	50.7%	-2.1%	-0.4%	-2.4M	109.4M	-3.4M	0.86	2.47	110,854	95,092	703,896	924,843
2018-06-08	$13.12	$15.00	47.1%	13.4%	37.5%	15.4%	50.0%	-2.5%	-1.1%	-1.9M	76.7M	-3.5M	0.70	3.77	109,812	76,453	742,739	954,319
2018-06-11	$13.16	$15.00	45.7%	13.2%	37.5%	13.0%	47.1%	-2.5%	0.3%	-1.4M	104.7M	-3.5M	0.71	15.02	34,555	24,677	721,580	946,804
2018-06-12	$13.47	$15.00	46.5%	13.2%	37.5%	14.4%	46.8%	-0.8%	-0.1%	-60.6K	49.4M	-3.5M	0.53	20.45	95,440	50,405	729,225	951,642
2018-06-13	$13.62	$15.00	45.3%	13.3%	33.1%	12.2%	46.5%	-1.6%	0.8%	-86.8K	45.0M	-3.5M	0.60	32.87	59,049	35,369	723,011	968,754
2018-06-14	$13.87	$15.00	45.4%	13.2%	33.0%	12.5%	46.9%	-1.3%	0.6%	930.0K	-2.9M	-3.6M	0.49	2.86	68,193	33,747	731,937	976,565
2018-06-15	$14.04	$15.00	46.0%	13.3%	31.8%	13.4%	47.0%	-2.4%	0.6%	5.2M	-39.3M	-3.6M	0.46	2.40	64,748	29,919	746,705	988,229
2018-06-18	$14.01	$15.00	50.0%	14.4%	32.3%	20.3%	51.5%	-3.5%	-0.3%	-421.7K	-9.0M	-3.7M	0.41	3.18	121,673	50,012	663,061	923,510
2018-06-19	$13.28	$15.00	49.2%	14.1%	40.2%	18.9%	49.8%	-1.0%	1.2%	-1.3M	122.4M	-3.6M	0.63	2.05	123,528	77,915	696,084	945,938
2018-06-20	$12.85	$15.00	49.9%	14.3%	43.0%	20.2%	50.4%	-1.0%	0.9%	-2.0M	188.3M	-3.6M	0.73	2.07	57,578	41,769	731,321	972,104
2018-06-21	$13.18	$15.00	50.2%	14.3%	42.5%	20.7%	50.6%	-1.1%	1.1%	-604.0K	123.2M	-3.7M	0.89	6.72	49,906	44,347	749,283	982,336
2018-06-22	$13.19	$15.00	48.8%	14.0%	42.5%	18.3%	49.2%	-1.0%	0.2%	-1.7M	134.1M	-3.7M	0.81	1.88	24,561	19,935	751,813	994,198
2018-06-25	$13.10	$15.00	52.6%	15.1%	42.9%	24.9%	54.0%	-0.7%	21.1%	-1.8M	158.2M	-3.6M	0.67	2.74	27,799	18,651	713,361	971,814
2018-06-26	$13.01	$15.00	50.4%	14.1%	42.8%	21.0%	50.0%	0.2%	21.0%	-1.7M	176.0M	-3.6M	0.74	2.03	19,215	14,290	716,826	974,873
2018-06-27	$13.00	$15.00	50.9%	14.6%	41.6%	21.9%	51.5%	0.6%	19.7%	-1.3M	171.5M	-3.6M	0.28	1.90	57,321	16,077	723,978	977,826
2018-06-28	$13.36	$15.00	53.0%	14.0%	40.6%	25.5%	48.7%	-1.2%	16.5%	874.9K	109.3M	-3.6M	0.44	3.06	39,078	17,145	738,602	979,491
2018-06-29	$13.16	$15.00	55.4%	13.9%	41.2%	29.5%	48.8%	0.0%	16.7%	-1.8M	154.0M	-3.5M	0.68	1.73	35,111	23,981	738,594	986,042