SNAP Options History — October 2018

In October 2018, SNAP traded between $5.95 and $8.32. ATM implied volatility averaged 81.3%, placing in the 74.2% IV rank vs the trailing year. The 30-day expected move averaged 23.3%. IV traded above realized volatility by 33.1% (HV 20d: 48.1%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 0 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 1.30.

Notable Days

2018-10-26: Highest Volume — 378,144 contracts
2018-10-26: Largest IV drop — 35.7% change
2018-10-10: Highest IV Rank — 100.0%
2018-10-25: Largest Expected Move — 31.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$7.08	$5.95	$8.32	$8.32	$6.60
Max Pain	$8.39	$7.00	$10.00	$10.00	$7.00
ATM IV	81.3%	51.3%	99.0%	51.3%	60.9%
Expected Move	23.3%	13.8%	31.8%	13.8%	18.5%
HV 20d	48.1%	36.3%	74.5%	37.8%	74.5%
HV 60d	40.0%	33.9%	50.4%	34.0%	50.4%
IV Rank	74.2%	28.0%	100.0%	28.0%	40.4%
IV Percentile	85.9%	47.6%	100.0%	47.6%	61.5%
Term Structure	-2.6%	-9.0%	19.6%	19.6%	-1.2%
VWIV	81.9%	49.8%	111.2%	49.8%	64.5%
Skew 25d	4.8%	-1.7%	8.8%	0.1%	6.9%
Skew 10d	13.3%	-14.2%	71.0%	16.1%	15.1%
Call IV 25d	81.3%	55.0%	100.4%	55.0%	58.3%
Put IV 25d	86.1%	55.1%	105.7%	55.1%	65.2%
Bid-Ask Spread %	3.77	1.86	13.69	2.32	2.22
Gamma HHI	0.18	0.13	0.43	0.22	0.16
Net GEX	-2.5M	-4.1M	-1.1M	-3.8M	-1.1M
Net DEX	425.6M	333.4M	477.3M	427.7M	403.4M
Net VEX	-2.2M	-2.6M	-1.7M	-2.6M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.30	0.54	3.48	1.20	0.84
Total Volume	150,321.739	74,466	378,144	104,753	74,466
Total OI	2,161,481.87	1,975,248	2,365,118	1,975,248	2,205,721

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
2018-10-01	$8.32	$10.00	51.3%	13.8%	37.8%	28.0%	49.8%	0.1%	19.6%	-3.8M	427.7M	-2.6M	1.20	2.32	47,618	57,135	916,935	1,058,313
2018-10-02	$8.15	$10.00	66.4%	14.8%	37.2%	54.1%	52.4%	-1.7%	9.4%	-3.7M	441.0M	-2.5M	0.91	1.86	80,153	73,184	931,393	1,072,536
2018-10-03	$8.20	$10.00	70.4%	14.3%	36.3%	61.0%	50.8%	-0.7%	7.2%	-3.9M	435.5M	-2.6M	0.85	3.15	42,949	36,617	966,259	1,097,673
2018-10-04	$7.77	$9.00	80.0%	21.2%	38.3%	77.8%	75.3%	5.7%	0.7%	-3.8M	465.5M	-2.4M	1.60	7.40	72,044	115,098	988,331	1,104,460
2018-10-05	$7.71	$9.00	76.3%	21.8%	37.0%	71.3%	77.5%	3.4%	6.0%	-3.2M	458.3M	-2.4M	1.11	13.69	73,569	81,519	1,012,139	1,115,427
2018-10-08	$7.47	$9.00	80.2%	22.9%	37.5%	78.0%	79.0%	1.2%	-4.7%	-3.2M	465.5M	-2.3M	1.41	2.65	66,267	93,522	985,578	1,111,136
2018-10-09	$6.99	$9.00	92.3%	24.6%	40.4%	99.0%	86.8%	4.6%	-4.4%	-2.7M	477.3M	-2.1M	1.16	8.48	103,741	120,508	1,015,381	1,139,304
2018-10-10	$6.62	$9.00	99.0%	26.2%	36.9%	100.0%	93.6%	5.1%	-7.8%	-2.4M	471.6M	-2.0M	1.74	2.55	65,934	114,738	1,047,448	1,159,674
2018-10-11	$6.76	$9.00	98.7%	26.5%	36.8%	99.5%	93.4%	4.7%	-7.1%	-2.4M	434.4M	-2.2M	1.31	7.83	104,561	136,502	1,075,201	1,173,514
2018-10-12	$7.12	$8.00	93.0%	25.4%	44.0%	90.6%	90.2%	6.2%	-6.9%	-2.3M	428.9M	-2.3M	1.24	2.33	83,167	102,881	1,098,722	1,206,202
2018-10-15	$7.45	$8.00	89.4%	25.3%	48.7%	84.9%	87.6%	8.1%	-9.0%	-2.4M	416.9M	-2.4M	1.49	1.89	41,337	61,463	1,063,069	1,193,768
2018-10-16	$7.19	$8.00	85.8%	24.4%	49.5%	79.4%	84.7%	8.8%	-7.6%	-2.1M	440.7M	-2.2M	1.78	2.41	47,062	83,898	1,073,737	1,193,210
2018-10-17	$7.06	$8.00	84.7%	24.3%	49.1%	77.5%	84.9%	7.6%	-7.3%	-2.6M	463.3M	-2.1M	1.04	2.09	59,448	61,914	1,089,011	1,221,683
2018-10-18	$6.81	$8.00	87.9%	25.6%	49.2%	82.7%	90.1%	4.6%	-7.5%	-3.2M	458.1M	-2.1M	3.48	2.24	33,237	115,802	1,122,158	1,230,200
2018-10-19	$6.78	$8.00	83.2%	24.5%	49.3%	75.3%	87.6%	5.6%	-6.9%	-2.0M	469.6M	-2.1M	2.00	2.27	35,459	70,923	1,131,005	1,234,113
2018-10-22	$6.86	$8.00	85.1%	26.5%	50.2%	78.3%	94.1%	7.3%	-5.1%	-2.0M	359.6M	-2.2M	0.54	3.00	59,994	32,280	928,853	1,054,009
2018-10-23	$6.82	$8.00	92.9%	29.2%	49.6%	90.5%	103.4%	4.5%	-7.6%	-1.8M	358.7M	-2.2M	1.27	2.14	36,178	46,088	964,128	1,061,685
2018-10-24	$6.77	$8.00	92.5%	29.5%	49.5%	89.9%	103.3%	7.6%	-7.1%	-1.7M	346.9M	-2.2M	0.64	2.22	50,106	31,965	982,803	1,066,812
2018-10-25	$6.95	$8.00	98.5%	31.8%	51.4%	99.2%	111.2%	7.4%	-8.1%	-4.1M	333.4M	-2.3M	0.61	2.80	150,306	90,956	1,017,091	1,069,181
2018-10-26	$6.12	$7.50	63.4%	19.8%	65.2%	44.2%	68.6%	4.5%	-1.3%	-1.3M	427.8M	-1.7M	1.55	3.05	148,086	230,058	1,089,811	1,111,986
2018-10-29	$5.95	$7.50	67.2%	21.5%	65.3%	50.1%	76.5%	4.4%	-1.3%	-1.2M	412.8M	-1.7M	0.92	4.88	51,682	47,373	1,059,614	1,092,374
2018-10-30	$6.44	$7.00	69.7%	22.5%	73.6%	54.1%	79.3%	5.5%	-1.9%	-1.2M	392.9M	-2.0M	1.17	3.32	57,759	67,853	1,074,377	1,108,058
2018-10-31	$6.60	$7.00	60.9%	18.5%	74.5%	40.4%	64.5%	6.9%	-1.2%	-1.1M	403.4M	-2.0M	0.84	2.22	40,361	34,105	1,078,527	1,127,194