SNAP Options History — December 2018

In December 2018, SNAP traded between $4.94 and $6.35. ATM implied volatility averaged 63.2%, placing in the 43.9% IV rank vs the trailing year. The 30-day expected move averaged 18.5%. IV traded above realized volatility by 10.6% (HV 20d: 52.6%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 1.96.

Notable Days

  • 2018-12-21: Highest Volume — 162,425 contracts
  • 2018-12-24: Largest IV spike — 19.3% change
  • 2018-12-24: Highest IV Rank — 75.8%
  • 2018-12-24: Largest Expected Move — 24.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$5.68$4.94$6.35$6.35$5.51
Max Pain$11.05$10.00$12.00$10.00$11.00
ATM IV63.2%46.9%83.5%46.9%68.5%
Expected Move18.5%14.0%24.5%14.0%18.5%
HV 20d52.6%48.6%59.5%51.3%59.5%
HV 60d61.2%58.1%65.6%59.8%65.0%
IV Rank43.9%18.4%75.8%18.4%52.2%
IV Percentile61.4%27.8%91.7%27.8%63.9%
Term Structure2.3%-4.3%10.5%2.2%10.5%
VWIV65.3%49.6%84.0%49.6%64.8%
Skew 25d2.7%-4.2%12.4%2.2%3.9%
Skew 10d5.8%-11.4%40.9%7.5%10.1%
Call IV 25d63.3%47.7%78.3%47.7%69.1%
Put IV 25d66.0%49.9%86.6%49.9%72.9%
Bid-Ask Spread %2.381.456.302.542.40
Gamma HHI0.180.140.230.170.21
Net GEX-791.4K-1.0M-526.8K-861.2K-1.0M
Net DEX348.4M280.9M380.9M379.8M299.9M
Net VEX-1.6M-1.8M-1.3M-1.7M-1.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.960.426.800.970.42
Total Volume64,674.3528,068162,42540,42556,093
Total OI2,038,836.81,852,1252,147,1312,048,4631,857,457

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-12-03$6.35$10.0046.9%14.0%51.3%18.4%49.6%2.2%2.2%-861.2K379.8M-1.7M0.972.5420,56219,8631,013,3721,035,091
2018-12-04$6.23$10.0054.5%16.7%51.2%30.3%60.0%1.7%0.6%-898.0K364.7M-1.8M4.273.9418,57179,3391,021,8831,035,826
2018-12-05$6.22$10.0054.4%17.2%50.1%30.1%61.1%0.3%2.0%-870.0K361.6M-1.8M4.226.3019,13780,7281,021,8831,035,826
2018-12-06$5.95$12.0059.3%17.6%51.1%37.9%61.9%4.0%-0.6%-1.0M373.8M-1.7M2.271.6429,85567,6571,027,2921,050,497
2018-12-07$5.96$12.0057.9%18.2%50.8%35.7%65.3%2.6%1.0%-870.2K369.7M-1.7M3.892.1114,65256,9751,040,3261,056,381
2018-12-10$5.66$12.0064.5%18.7%52.7%46.0%65.9%3.0%0.7%-790.5K363.3M-1.7M1.171.5512,91515,1531,030,2831,048,957
2018-12-11$5.76$12.0060.2%17.8%53.1%39.3%63.3%0.4%1.4%-818.1K373.5M-1.6M0.591.5523,51613,9931,034,3531,051,823
2018-12-12$5.94$11.0056.7%16.8%54.5%33.7%60.1%0.3%1.7%-736.5K373.4M-1.7M1.081.8518,66220,1121,046,7701,059,407
2018-12-13$5.85$11.0053.8%16.1%53.8%29.3%57.8%-0.7%2.7%-803.4K371.9M-1.7M0.421.6323,3419,8851,053,3271,061,031
2018-12-14$5.94$11.0056.9%16.8%50.4%34.1%59.6%4.3%2.4%-744.9K373.8M-1.7M0.651.8828,70018,7401,067,8611,060,324
2018-12-17$5.55$11.0062.0%17.9%52.3%42.0%63.0%-4.2%-1.0%-779.9K368.4M-1.5M3.511.6618,40664,5761,068,8931,050,558
2018-12-18$5.68$11.0059.8%17.1%48.6%38.6%60.8%-1.1%1.5%-665.0K380.9M-1.6M0.561.4524,88814,0071,078,7621,068,369
2018-12-19$5.39$11.0059.8%17.1%51.4%38.6%59.4%1.8%3.9%-752.0K380.2M-1.4M1.232.0018,74122,9591,076,2031,062,842
2018-12-20$5.09$11.0068.9%19.9%50.8%52.9%70.6%6.0%-4.3%-739.7K349.2M-1.4M1.081.6035,00437,8461,081,1831,032,312
2018-12-21$4.94$11.0070.0%20.3%50.9%54.6%71.8%5.3%-1.3%-526.8K346.7M-1.3M6.803.1020,834141,5911,086,2781,032,862
2018-12-24$5.22$11.0083.5%24.5%52.6%75.8%84.0%12.4%4.2%-635.5K280.9M-1.6M3.003.0619,57158,653917,799935,332
2018-12-26$5.36$11.0077.9%22.5%54.1%66.9%80.5%4.1%6.1%-764.8K288.0M-1.6M0.973.0825,88225,185918,938933,187
2018-12-27$5.32$11.0075.9%21.9%53.3%63.8%76.1%3.9%6.5%-775.1K282.0M-1.5M0.952.3918,84817,946927,945929,595
2018-12-28$5.67$11.0072.0%20.2%59.3%57.7%70.8%4.0%4.8%-764.1K286.6M-1.6M1.111.8237,98642,115931,903933,805
2018-12-31$5.51$11.0068.5%18.5%59.5%52.2%64.8%3.9%10.5%-1.0M299.9M-1.5M0.422.4039,41916,674922,576934,881