SNAP Options History — August 2018

In August 2018, SNAP traded between $10.91 and $13.09. ATM implied volatility averaged 48.0%, placing in the 19.1% IV rank vs the trailing year. The 30-day expected move averaged 14.4%. IV traded above realized volatility by 13.1% (HV 20d: 34.8%). Max pain ranged from $12.50 to $15.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 14 of 23 days. Put/call ratio averaged 1.10.

Notable Days

2018-08-07: Highest Volume — 438,540 contracts
2018-08-08: Largest IV drop — 55.8% change
2018-08-07: Highest IV Rank — 90.4%
2018-08-03: Largest Expected Move — 33.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.01	$10.91	$13.09	$12.39	$10.91
Max Pain	$13.30	$12.50	$15.00	$14.00	$12.50
ATM IV	48.0%	35.1%	90.9%	81.5%	38.4%
Expected Move	14.4%	9.9%	33.8%	29.8%	10.7%
HV 20d	34.8%	31.5%	38.4%	32.2%	31.6%
HV 60d	35.1%	32.2%	36.7%	33.9%	32.2%
IV Rank	19.1%	0.0%	90.4%	74.2%	5.6%
IV Percentile	21.9%	0.0%	98.8%	93.3%	5.2%
Term Structure	-1.2%	-8.7%	2.0%	-5.6%	0.5%
VWIV	51.1%	35.2%	117.7%	103.3%	38.2%
Skew 25d	-0.0%	-1.5%	2.4%	2.2%	0.3%
Skew 10d	-0.3%	-15.2%	6.3%	4.7%	-1.6%
Call IV 25d	49.2%	37.2%	92.2%	81.9%	39.1%
Put IV 25d	49.2%	35.7%	93.2%	84.1%	39.4%
Bid-Ask Spread %	4.64	1.90	25.43	11.58	1.90
Gamma HHI	0.16	0.11	0.21	0.12	0.18
Net GEX	-7.0M	-10.0M	-3.9M	-5.1M	-6.3M
Net DEX	233.2M	102.0M	322.3M	191.1M	322.3M
Net VEX	-2.9M	-3.4M	-2.6M	-3.2M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.10	0.47	1.93	0.94	0.78
Total Volume	99,171.174	31,218	438,540	43,475	73,920
Total OI	1,544,721.087	1,384,230	1,849,150	1,495,125	1,512,938

Daily Data (23 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
2018-08-01	$12.39	$14.00	81.5%	29.8%	32.2%	74.2%	103.3%	2.2%	-5.6%	-5.1M	191.1M	-3.2M	0.94	11.58	22,453	21,022	583,726	911,399
2018-08-02	$12.66	$14.00	84.6%	31.9%	33.3%	79.5%	111.4%	2.4%	-7.2%	-4.3M	144.8M	-3.3M	1.01	2.49	43,306	43,718	587,859	910,721
2018-08-03	$12.75	$14.00	84.9%	33.8%	32.0%	80.2%	117.7%	2.3%	-8.4%	-4.2M	138.9M	-3.2M	1.47	3.36	25,657	37,639	592,680	931,386
2018-08-06	$13.06	$15.00	86.0%	20.8%	33.1%	81.9%	75.1%	2.0%	-5.5%	-3.9M	104.8M	-3.3M	1.36	2.41	62,676	85,251	547,933	911,111
2018-08-07	$13.09	$15.00	90.9%	21.8%	32.1%	90.4%	76.7%	1.0%	-8.7%	-4.0M	102.0M	-3.4M	1.84	12.96	154,332	284,208	581,653	963,601
2018-08-08	$12.32	$14.00	40.2%	11.8%	38.4%	3.5%	41.6%	0.3%	0.2%	-10.0M	271.4M	-3.0M	1.39	3.59	158,243	219,724	668,033	1,122,906
2018-08-09	$12.35	$13.00	38.6%	11.2%	37.8%	0.8%	39.5%	-1.0%	1.0%	-9.6M	258.3M	-3.0M	1.20	2.68	48,575	58,200	693,607	1,155,543
2018-08-10	$12.33	$13.00	39.4%	11.4%	37.4%	2.1%	40.8%	-0.9%	0.4%	-8.0M	268.4M	-3.0M	1.84	3.06	26,433	48,598	693,934	1,150,986
2018-08-13	$12.57	$13.00	38.9%	11.3%	37.8%	1.4%	39.7%	-0.6%	0.0%	-6.6M	193.8M	-3.0M	1.03	3.18	35,394	36,524	604,173	1,001,531
2018-08-14	$12.40	$13.00	37.3%	10.6%	36.6%	0.0%	39.9%	-0.8%	-0.1%	-8.4M	223.3M	-2.9M	0.47	3.25	55,723	26,297	611,742	1,013,739
2018-08-15	$12.18	$13.00	38.7%	11.2%	37.0%	2.5%	40.3%	-0.3%	0.1%	-8.9M	258.7M	-2.9M	1.12	2.53	24,485	27,339	638,142	1,013,397
2018-08-16	$12.12	$13.00	36.4%	10.2%	36.7%	0.0%	38.5%	-0.8%	-1.3%	-9.2M	262.4M	-2.9M	0.79	4.04	24,817	19,586	641,907	1,010,113
2018-08-17	$11.88	$13.00	37.7%	10.7%	37.0%	2.4%	38.2%	-0.9%	-0.6%	-6.8M	309.5M	-2.8M	1.29	2.32	35,512	45,910	647,848	1,013,625
2018-08-20	$11.73	$13.00	37.6%	10.7%	36.7%	2.2%	38.1%	-0.9%	1.5%	-7.1M	234.9M	-2.8M	1.00	2.77	27,578	27,570	539,172	845,058
2018-08-21	$11.49	$13.00	36.9%	10.6%	36.7%	1.0%	37.6%	-0.8%	2.0%	-7.3M	260.7M	-2.7M	1.09	2.68	39,877	43,566	547,239	848,434
2018-08-22	$11.49	$13.00	37.1%	10.6%	35.4%	1.3%	37.7%	-0.9%	0.2%	-7.3M	254.9M	-2.7M	0.84	25.43	16,989	14,229	566,962	859,679
2018-08-23	$11.44	$13.00	35.8%	10.2%	35.4%	0.0%	36.3%	-0.1%	1.1%	-7.4M	259.7M	-2.7M	1.03	2.90	17,258	17,718	572,064	853,583
2018-08-24	$11.62	$13.00	36.1%	10.3%	34.0%	0.6%	36.2%	-0.6%	0.7%	-7.1M	236.3M	-2.7M	0.79	2.53	24,737	19,506	575,181	855,458
2018-08-27	$11.79	$13.00	35.1%	9.9%	31.5%	0.0%	35.2%	-1.5%	0.5%	-7.0M	210.6M	-2.7M	0.68	2.91	21,582	14,624	554,892	843,369
2018-08-28	$11.32	$13.00	37.6%	10.7%	33.4%	4.4%	37.8%	0.0%	-0.3%	-7.6M	276.3M	-2.6M	0.49	2.66	68,692	33,935	560,475	846,362
2018-08-29	$11.19	$13.00	36.4%	10.2%	33.4%	2.3%	37.5%	-0.3%	0.8%	-6.9M	281.3M	-2.6M	1.93	2.38	26,717	51,483	593,911	856,973
2018-08-30	$11.05	$12.50	37.3%	10.5%	32.0%	3.8%	37.6%	-0.8%	0.9%	-7.0M	298.4M	-2.7M	0.94	2.98	35,831	33,503	607,384	886,156
2018-08-31	$10.91	$12.50	38.4%	10.7%	31.6%	5.6%	38.2%	0.3%	0.5%	-6.3M	322.3M	-2.7M	0.78	1.90	41,425	32,495	618,889	894,049