SNAP Options History — September 2018

In September 2018, SNAP traded between $8.46 and $10.56. ATM implied volatility averaged 46.6%, placing in the 19.9% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded above realized volatility by 11.3% (HV 20d: 35.3%). Max pain ranged from $10.00 to $12.50. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 1.04.

Notable Days

2018-09-12: Highest Volume — 253,240 contracts
2018-09-28: Largest IV spike — 11.3% change
2018-09-12: Highest IV Rank — 26.3%
2018-09-14: Largest Expected Move — 14.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.37	$8.46	$10.56	$10.56	$8.46
Max Pain	$11.53	$10.00	$12.50	$12.50	$10.00
ATM IV	46.6%	43.2%	50.3%	43.2%	50.0%
Expected Move	13.3%	12.5%	14.1%	12.6%	14.1%
HV 20d	35.3%	27.9%	39.2%	30.4%	37.8%
HV 60d	34.0%	32.3%	36.2%	32.3%	34.6%
IV Rank	19.9%	14.0%	26.3%	14.0%	25.7%
IV Percentile	27.1%	16.7%	43.7%	16.7%	41.3%
Term Structure	0.1%	-2.5%	3.2%	-0.3%	3.2%
VWIV	48.0%	43.4%	52.3%	43.4%	52.3%
Skew 25d	-0.6%	-3.1%	2.0%	-1.7%	-2.7%
Skew 10d	-0.6%	-6.4%	4.5%	-4.7%	-6.0%
Call IV 25d	48.6%	45.1%	53.9%	45.3%	52.3%
Put IV 25d	48.0%	43.6%	52.4%	43.6%	49.6%
Bid-Ask Spread %	3.84	1.58	11.50	3.53	3.96
Gamma HHI	0.17	0.15	0.21	0.18	0.19
Net GEX	-5.2M	-6.4M	-3.7M	-6.3M	-5.7M
Net DEX	389.7M	322.3M	434.9M	322.3M	415.9M
Net VEX	-2.6M	-2.9M	-2.4M	-2.6M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.04	0.50	1.79	0.62	1.08
Total Volume	128,693.263	71,138	253,240	89,447	146,934
Total OI	1,768,450.579	1,478,059	1,986,289	1,478,059	1,986,289

Daily Data (19 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
2018-09-04	$10.56	$12.50	43.2%	12.6%	30.4%	14.0%	43.4%	-1.7%	-0.3%	-6.3M	322.3M	-2.6M	0.62	3.53	55,278	34,169	612,522	865,537
2018-09-05	$10.14	$12.50	44.2%	12.8%	31.8%	15.7%	45.2%	-0.2%	-0.1%	-6.4M	368.2M	-2.5M	1.29	3.42	45,019	57,960	642,454	876,722
2018-09-06	$9.77	$12.00	46.6%	13.1%	27.9%	19.8%	47.3%	-0.2%	-0.0%	-6.1M	394.8M	-2.4M	0.85	1.87	77,849	65,866	663,793	892,178
2018-09-07	$9.93	$12.00	47.3%	13.4%	29.3%	21.1%	51.3%	-1.1%	-0.2%	-5.2M	369.3M	-2.6M	1.04	1.72	48,173	50,028	692,819	907,084
2018-09-10	$9.74	$12.00	48.4%	13.9%	29.2%	23.0%	49.8%	-3.1%	-0.2%	-5.3M	375.7M	-2.6M	0.83	2.26	62,746	51,880	679,034	905,850
2018-09-11	$9.89	$12.00	46.3%	13.1%	28.7%	19.2%	46.8%	-0.8%	-0.6%	-5.3M	364.0M	-2.6M	0.86	1.58	80,605	69,003	701,922	915,443
2018-09-12	$9.17	$12.00	50.3%	13.8%	36.5%	26.3%	50.0%	0.7%	-2.0%	-5.5M	434.9M	-2.4M	1.59	2.89	97,767	155,473	724,334	936,635
2018-09-13	$9.37	$12.00	49.2%	13.6%	38.7%	24.3%	47.7%	0.7%	-2.5%	-5.4M	413.9M	-2.5M	1.79	6.80	41,621	74,393	763,233	974,866
2018-09-14	$9.30	$12.00	50.2%	14.1%	38.6%	26.2%	50.3%	-2.2%	-1.7%	-5.3M	422.1M	-2.5M	0.75	2.24	110,810	82,559	770,447	999,905
2018-09-17	$9.21	$12.00	49.0%	13.9%	38.6%	24.0%	49.5%	-0.3%	-0.8%	-5.6M	424.6M	-2.5M	0.50	2.19	123,370	62,211	781,900	1,002,308
2018-09-18	$9.12	$11.00	45.8%	13.1%	38.6%	18.5%	47.7%	-1.2%	-0.1%	-5.0M	417.4M	-2.6M	1.46	1.85	30,822	44,933	858,638	1,027,578
2018-09-19	$9.16	$11.00	43.7%	12.5%	38.9%	14.8%	44.7%	0.9%	-0.6%	-5.2M	419.0M	-2.6M	1.50	1.58	28,449	42,689	868,173	1,032,273
2018-09-20	$9.22	$11.00	45.0%	12.9%	39.2%	17.0%	48.6%	0.8%	-0.4%	-4.8M	411.4M	-2.6M	1.20	2.65	65,891	78,988	876,288	1,029,353
2018-09-21	$9.15	$11.00	43.6%	12.5%	39.2%	14.7%	45.8%	2.0%	-0.8%	-4.5M	401.5M	-2.7M	0.85	3.60	72,177	61,168	917,227	1,060,664
2018-09-24	$8.98	$11.00	45.4%	13.3%	38.0%	17.8%	47.8%	-0.2%	2.5%	-4.4M	363.1M	-2.8M	0.70	9.26	92,912	65,447	841,542	1,001,329
2018-09-25	$9.06	$11.00	46.1%	13.3%	37.5%	19.1%	48.2%	-0.3%	2.5%	-3.7M	342.1M	-2.9M	0.84	7.58	52,453	44,075	882,412	1,022,355
2018-09-26	$9.02	$11.00	46.8%	13.0%	36.1%	20.2%	46.7%	-1.5%	1.5%	-4.1M	358.0M	-2.9M	1.09	11.50	41,176	44,780	897,864	1,035,682
2018-09-27	$8.81	$11.00	44.9%	12.9%	36.4%	16.9%	49.6%	-1.7%	3.1%	-4.4M	385.4M	-2.8M	0.95	2.53	43,806	41,692	914,547	1,039,361
2018-09-28	$8.46	$10.00	50.0%	14.1%	37.8%	25.7%	52.3%	-2.7%	3.2%	-5.7M	415.9M	-2.7M	1.08	3.96	70,759	76,175	934,557	1,051,732