SNAP Options History — November 2018

In November 2018, SNAP traded between $6.04 and $7.24. ATM implied volatility averaged 59.4%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded below realized volatility by 16.6% (HV 20d: 76.0%). Max pain ranged from $7.00 to $10.00. Net GEX was positive for 1 of 21 trading days. Term structure was in contango for 5 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2018-11-01: Highest Volume — 167,324 contracts
2018-11-21: Largest IV drop — 15.9% change
2018-11-20: Highest IV Rank — 57.7%
2018-11-01: Largest Expected Move — 21.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$6.62	$6.04	$7.24	$7.24	$6.51
Max Pain	$9.71	$7.00	$10.00	$7.00	$10.00
ATM IV	59.4%	50.9%	72.0%	62.7%	52.4%
Expected Move	17.5%	15.1%	21.1%	21.1%	15.6%
HV 20d	76.0%	54.6%	83.5%	81.1%	54.6%
HV 60d	57.2%	53.7%	60.5%	53.7%	59.9%
IV Rank	38.0%	24.6%	57.7%	43.2%	27.0%
IV Percentile	59.0%	43.3%	73.0%	61.9%	47.6%
Term Structure	-0.9%	-5.1%	2.3%	-1.6%	-0.8%
VWIV	62.2%	53.4%	74.1%	73.9%	58.6%
Skew 25d	2.9%	0.0%	5.5%	4.3%	3.1%
Skew 10d	6.7%	-4.4%	13.3%	13.3%	8.0%
Call IV 25d	59.7%	50.8%	74.1%	63.0%	51.5%
Put IV 25d	62.6%	54.7%	75.2%	67.3%	54.7%
Bid-Ask Spread %	2.84	1.60	7.39	4.47	2.75
Gamma HHI	0.17	0.15	0.34	0.15	0.34
Net GEX	-843.6K	-1.6M	1.5M	-1.1M	1.5M
Net DEX	363.4M	325.4M	386.6M	325.4M	361.6M
Net VEX	-2.1M	-2.5M	-1.8M	-2.5M	-1.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.53	1.73	0.73	1.20
Total Volume	65,080.286	26,102	167,324	167,324	38,395
Total OI	2,150,168.667	2,047,429	2,284,086	2,214,904	2,084,073

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
2018-11-01	$7.24	$7.00	62.7%	21.1%	81.1%	43.2%	73.9%	4.3%	-1.6%	-1.1M	325.4M	-2.5M	0.73	4.47	96,751	70,573	1,089,486	1,125,418
2018-11-02	$6.82	$7.00	61.9%	19.0%	83.5%	41.9%	69.3%	3.9%	-1.2%	-1.0M	371.1M	-2.2M	0.81	3.24	68,081	55,089	1,129,061	1,155,025
2018-11-05	$6.92	$10.00	60.6%	17.2%	83.3%	39.8%	60.8%	4.8%	-0.4%	-960.1K	347.0M	-2.3M	0.71	1.97	29,368	20,803	1,076,534	1,113,165
2018-11-06	$7.08	$10.00	59.6%	16.9%	80.3%	38.2%	60.0%	3.3%	-0.8%	-727.7K	340.2M	-2.4M	0.84	2.09	36,684	30,651	1,081,772	1,116,446
2018-11-07	$7.19	$10.00	54.1%	15.6%	77.8%	29.8%	55.1%	4.0%	-0.1%	-702.9K	344.9M	-2.4M	0.71	3.53	29,123	20,796	1,089,181	1,126,426
2018-11-08	$7.00	$10.00	51.6%	15.1%	78.3%	25.7%	53.4%	3.6%	0.7%	-429.1K	362.4M	-2.3M	1.42	7.39	15,674	22,328	1,092,235	1,122,998
2018-11-09	$6.80	$10.00	55.9%	16.5%	76.6%	32.4%	59.5%	1.9%	0.4%	-1.1M	369.3M	-2.2M	0.84	2.40	38,664	32,313	1,095,319	1,130,763
2018-11-12	$6.63	$10.00	61.1%	17.5%	74.9%	40.7%	62.3%	1.9%	-0.5%	-1.3M	368.3M	-2.2M	0.86	1.76	43,714	37,465	1,063,669	1,106,941
2018-11-13	$6.69	$10.00	60.5%	16.9%	74.2%	39.7%	60.6%	2.1%	-1.2%	-1.0M	372.1M	-2.1M	1.48	1.87	24,438	36,140	1,076,386	1,106,642
2018-11-14	$6.48	$10.00	61.3%	17.9%	74.7%	41.0%	61.8%	1.0%	0.6%	-1.5M	386.6M	-2.0M	1.73	2.15	29,377	50,894	1,072,010	1,114,479
2018-11-15	$6.81	$10.00	62.9%	17.8%	76.1%	43.5%	63.3%	1.2%	-1.5%	-1.1M	356.2M	-2.3M	1.34	4.04	30,922	41,289	1,078,527	1,119,695
2018-11-16	$6.45	$10.00	62.1%	18.2%	78.5%	42.2%	63.8%	2.8%	1.9%	-1.6M	384.7M	-2.0M	0.94	2.07	42,018	39,401	1,085,223	1,125,777
2018-11-19	$6.04	$10.00	64.8%	18.3%	81.4%	46.5%	65.9%	0.0%	-3.2%	-1.4M	371.2M	-1.8M	1.11	2.49	36,688	40,781	982,731	1,064,698
2018-11-20	$6.09	$10.00	72.0%	20.6%	81.5%	57.7%	74.1%	1.1%	-4.5%	-1.2M	356.3M	-1.9M	0.68	1.85	39,634	26,863	992,780	1,063,477
2018-11-21	$6.37	$10.00	60.5%	17.3%	83.5%	39.7%	61.9%	3.0%	-2.4%	-641.7K	372.5M	-1.9M	0.53	2.48	48,003	25,325	1,007,508	1,062,825
2018-11-23	$6.20	$10.00	66.0%	19.4%	83.2%	48.3%	68.1%	1.8%	-5.1%	-988.7K	367.3M	-1.9M	0.98	4.76	13,203	12,899	1,025,022	1,072,749
2018-11-26	$6.48	$10.00	58.4%	17.6%	71.4%	36.4%	63.4%	3.9%	-0.9%	-828.0K	364.3M	-2.0M	0.97	1.60	18,959	18,420	1,005,534	1,055,164
2018-11-27	$6.36	$10.00	54.7%	16.3%	70.9%	30.6%	57.9%	2.4%	-0.0%	-873.9K	373.3M	-1.9M	0.57	1.75	27,454	15,560	1,014,301	1,062,973
2018-11-28	$6.47	$10.00	50.9%	15.9%	65.3%	24.6%	55.9%	5.5%	2.3%	-523.3K	371.9M	-1.9M	0.86	2.53	16,448	14,082	1,025,460	1,062,140
2018-11-29	$6.45	$10.00	53.5%	16.0%	64.7%	28.7%	56.8%	4.3%	-0.1%	-181.2K	364.7M	-1.9M	0.76	2.51	17,831	13,585	1,029,021	1,049,908
2018-11-30	$6.51	$10.00	52.4%	15.6%	54.6%	27.0%	58.6%	3.1%	-0.8%	1.5M	361.6M	-1.9M	1.20	2.75	17,464	20,931	1,035,086	1,048,987