SNAP Options History — July 2018

In July 2018, SNAP traded between $12.27 and $13.66. ATM implied volatility averaged 76.3%, placing in the 65.4% IV rank vs the trailing year. The 30-day expected move averaged 22.3%. IV traded above realized volatility by 46.4% (HV 20d: 29.9%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2018-07-30: Highest Volume — 132,862 contracts
2018-07-16: Largest IV spike — 7.0% change
2018-07-30: Highest IV Rank — 84.9%
2018-07-30: Largest Expected Move — 30.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.21	$12.27	$13.66	$13.13	$12.50
Max Pain	$14.14	$14.00	$15.00	$15.00	$14.00
ATM IV	76.3%	63.3%	87.7%	63.3%	83.4%
Expected Move	22.3%	12.9%	30.6%	13.3%	29.6%
HV 20d	29.9%	23.8%	36.6%	36.6%	32.2%
HV 60d	57.1%	32.6%	61.8%	61.7%	33.9%
IV Rank	65.4%	43.2%	84.9%	43.2%	77.5%
IV Percentile	84.5%	64.3%	98.4%	64.3%	95.6%
Term Structure	-2.7%	-6.9%	11.2%	11.2%	-5.2%
VWIV	78.2%	45.6%	107.5%	46.5%	104.1%
Skew 25d	2.1%	-0.4%	5.9%	2.6%	2.2%
Skew 10d	3.5%	-22.8%	16.0%	16.0%	4.1%
Call IV 25d	76.1%	64.5%	88.2%	67.0%	82.7%
Put IV 25d	78.2%	69.5%	88.7%	69.6%	84.9%
Bid-Ask Spread %	3.15	2.48	4.58	2.66	3.03
Gamma HHI	0.15	0.11	0.21	0.11	0.11
Net GEX	-95.4K	-4.8M	4.3M	-1.0M	-4.8M
Net DEX	142.2M	55.1M	208.8M	178.0M	181.3M
Net VEX	-3.3M	-3.5M	-3.1M	-3.4M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.20	1.45	0.55	1.45
Total Volume	67,270.619	30,324	132,862	37,818	60,881
Total OI	1,643,824.619	1,330,278	1,844,351	1,685,361	1,492,744

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
2018-07-02	$13.13	$15.00	63.3%	13.3%	36.6%	43.2%	46.5%	2.6%	11.2%	-1.0M	178.0M	-3.4M	0.55	2.66	24,390	13,428	712,177	973,184
2018-07-03	$13.15	$15.00	65.3%	12.9%	32.7%	46.5%	45.6%	4.2%	10.3%	-684.6K	171.2M	-3.5M	0.66	4.58	18,302	12,022	718,163	978,840
2018-07-05	$13.20	$14.00	69.1%	20.7%	32.5%	53.0%	72.1%	1.8%	6.0%	-734.3K	177.9M	-3.4M	0.20	4.08	60,094	11,998	717,168	980,561
2018-07-06	$13.53	$14.00	69.3%	20.0%	32.5%	53.4%	70.4%	5.9%	10.9%	754.8K	101.4M	-3.4M	0.43	3.10	56,710	24,664	752,394	984,161
2018-07-09	$13.66	$14.00	72.3%	19.9%	31.5%	58.6%	70.0%	1.5%	-5.6%	1.5M	55.1M	-3.4M	0.22	3.05	104,916	22,665	741,199	979,052
2018-07-10	$13.33	$14.00	73.7%	20.2%	32.8%	60.9%	70.8%	0.4%	-4.5%	1.5M	155.8M	-3.3M	0.51	2.79	38,010	19,302	768,988	985,623
2018-07-11	$13.39	$14.00	75.9%	20.5%	31.8%	64.6%	72.4%	-0.4%	-4.9%	2.1M	171.8M	-3.3M	0.83	2.70	20,981	17,446	781,243	995,375
2018-07-12	$13.60	$14.00	75.6%	20.4%	32.0%	64.1%	71.7%	0.8%	-5.2%	4.3M	111.0M	-3.3M	0.60	2.48	31,767	18,963	782,995	999,896
2018-07-13	$13.34	$14.00	75.6%	20.6%	31.9%	64.3%	72.2%	0.2%	-5.2%	1.0M	167.6M	-3.3M	0.54	2.72	32,864	17,640	784,188	1,001,593
2018-07-16	$13.08	$14.00	80.9%	22.8%	32.1%	73.3%	79.6%	3.2%	-6.0%	-411.8K	208.8M	-3.2M	0.65	3.39	42,293	27,671	765,713	990,875
2018-07-17	$13.40	$15.00	79.9%	22.7%	33.6%	71.5%	78.6%	3.6%	-6.5%	2.6M	163.4M	-3.3M	0.47	2.58	54,415	25,504	788,520	1,013,652
2018-07-18	$13.31	$14.00	80.1%	23.0%	27.7%	71.9%	79.4%	2.4%	-5.8%	1.6M	183.4M	-3.2M	0.73	3.18	25,987	18,987	801,524	1,028,306
2018-07-19	$13.42	$14.00	77.3%	22.4%	24.9%	67.1%	77.3%	2.3%	-5.0%	2.7M	164.3M	-3.2M	0.88	3.58	30,416	26,831	811,974	1,032,377
2018-07-20	$13.25	$14.00	77.2%	22.6%	23.8%	67.0%	80.2%	2.6%	-5.1%	-1.6M	186.4M	-3.2M	0.70	3.14	37,518	26,081	809,944	1,029,581
2018-07-23	$13.35	$14.00	76.2%	23.3%	23.9%	65.2%	83.1%	1.6%	-5.3%	-1.0M	60.6M	-3.2M	1.28	2.81	20,209	25,790	532,017	798,261
2018-07-24	$13.08	$14.00	76.6%	23.8%	25.0%	65.9%	82.5%	2.4%	-6.3%	-2.0M	103.7M	-3.2M	0.87	3.70	36,164	31,572	535,554	815,275
2018-07-25	$13.35	$14.00	76.6%	24.4%	25.8%	65.9%	85.5%	0.9%	-5.2%	-503.3K	65.0M	-3.2M	0.73	3.33	33,024	24,062	553,048	836,296
2018-07-26	$13.34	$14.00	80.5%	26.2%	25.8%	72.7%	91.7%	2.6%	-6.3%	227.1K	59.8M	-3.3M	0.69	2.74	44,000	30,377	566,234	841,746
2018-07-27	$12.81	$14.00	85.8%	28.2%	27.9%	81.6%	100.1%	0.5%	-6.9%	-3.0M	127.7M	-3.2M	1.25	3.75	49,626	62,251	575,678	842,913
2018-07-30	$12.27	$14.00	87.7%	30.6%	31.2%	84.9%	107.5%	2.4%	-5.8%	-4.5M	191.6M	-3.1M	1.32	2.82	57,369	75,493	555,691	865,594
2018-07-31	$12.50	$14.00	83.4%	29.6%	32.2%	77.5%	104.1%	2.2%	-5.2%	-4.8M	181.3M	-3.2M	1.45	3.03	24,883	35,998	579,149	913,595