SNAP Options History — January 2019

In January 2019, SNAP traded between $5.66 and $6.67. ATM implied volatility averaged 76.7%, placing in the 65.1% IV rank vs the trailing year. The 30-day expected move averaged 22.7%. IV traded above realized volatility by 8.5% (HV 20d: 68.3%). Max pain ranged from $6.00 to $11.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.78.

Notable Days

  • 2019-01-16: Highest Volume — 167,231 contracts
  • 2019-01-07: Largest IV spike — 11.3% change
  • 2019-01-10: Highest IV Rank — 80.3%
  • 2019-01-30: Largest Expected Move — 26.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$6.17$5.66$6.67$5.73$6.67
Max Pain$6.29$6.00$11.00$11.00$7.00
ATM IV76.7%71.0%86.4%73.6%77.4%
Expected Move22.7%18.9%26.6%18.9%19.6%
HV 20d68.3%61.1%77.7%61.5%68.6%
HV 60d65.6%60.5%71.0%65.7%60.5%
IV Rank65.1%56.1%80.3%60.2%66.1%
IV Percentile77.2%64.7%95.6%74.2%78.6%
Term Structure-1.0%-8.3%18.0%11.2%-3.6%
VWIV79.1%64.5%93.1%64.5%69.7%
Skew 25d7.7%2.5%11.8%4.0%6.1%
Skew 10d18.0%-30.0%46.0%9.0%12.2%
Call IV 25d73.9%62.1%81.7%71.3%75.2%
Put IV 25d81.6%71.0%92.0%75.3%81.4%
Bid-Ask Spread %3.071.833.961.833.36
Gamma HHI0.170.140.210.200.19
Net GEX10.0K-836.3K692.7K-583.8K654.0K
Net DEX214.5M88.2M302.8M288.5M88.2M
Net VEX-1.7M-1.9M-1.5M-1.6M-1.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.391.370.660.51
Total Volume54,780.04820,523167,23146,02251,317
Total OI1,727,097.5711,345,3042,054,5921,875,5141,377,664

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-01-02$5.73$11.0073.6%18.9%61.5%60.2%64.5%4.0%11.2%-583.8K288.5M-1.6M0.661.8327,77618,246943,798931,716
2019-01-03$5.66$6.0078.8%24.7%61.3%68.4%85.5%2.5%16.5%-773.3K285.6M-1.5M0.413.5140,62416,637948,927932,769
2019-01-04$5.96$6.0071.8%22.6%64.5%57.4%76.4%8.9%18.0%-491.4K278.1M-1.7M0.603.1544,90926,817971,159933,928
2019-01-07$6.18$6.0080.0%22.4%63.8%70.2%78.0%9.7%-6.0%-264.1K268.0M-1.8M0.772.6811,6238,900975,785923,619
2019-01-08$6.40$6.0081.4%23.3%64.9%72.4%78.3%11.7%-2.0%1.2K255.8M-1.8M0.732.9727,97320,462995,868939,246
2019-01-09$6.28$6.0083.9%23.5%62.2%76.4%79.5%11.6%-1.5%-356.1K271.3M-1.7M0.913.3838,15034,524999,456949,161
2019-01-10$6.24$6.0086.4%23.8%62.2%80.3%80.7%10.3%-4.2%75.3K267.5M-1.7M0.892.9219,95417,7021,018,478949,072
2019-01-11$6.32$6.0083.9%23.5%61.4%76.3%80.4%10.2%-3.2%102.8K269.5M-1.7M0.903.7919,53617,5391,022,690948,825
2019-01-14$6.32$6.0082.6%23.4%61.1%74.2%80.6%10.3%-8.3%116.8K275.1M-1.7M0.853.8217,41814,8551,009,278936,830
2019-01-15$6.53$6.0077.5%21.9%61.8%66.4%78.1%11.8%-3.8%673.8K260.2M-1.8M0.392.7535,37313,7171,020,485938,418
2019-01-16$5.66$6.0074.3%21.3%77.3%61.2%75.9%5.5%-2.1%-836.3K302.8M-1.5M0.832.5491,52975,7021,036,798942,816
2019-01-17$5.71$6.0071.6%20.5%76.9%57.0%76.2%5.4%1.0%-330.0K289.3M-1.5M0.882.8936,25231,8721,079,780952,651
2019-01-18$6.10$6.0071.0%20.8%77.7%56.1%74.4%8.8%-4.6%325.5K257.0M-1.8M0.783.2366,91651,9331,094,700959,892
2019-01-22$5.93$6.0075.4%22.4%75.2%63.0%78.5%6.4%-5.7%58.9K140.3M-1.6M1.113.2419,59621,699684,470667,744
2019-01-23$5.95$6.0074.7%23.0%73.9%62.0%79.3%6.6%-3.7%61.3K142.0M-1.6M0.743.1615,57411,471688,362673,639
2019-01-24$6.17$6.0071.8%22.5%72.6%57.4%78.7%5.3%-3.4%438.7K128.3M-1.7M1.372.7116,48922,525691,926673,941
2019-01-25$6.43$6.0071.8%22.9%73.3%57.4%81.0%6.1%-4.1%91.0K113.8M-1.8M0.642.2043,36827,694691,019681,721
2019-01-28$6.35$6.0073.9%24.0%73.5%60.8%84.8%6.1%-2.7%65.1K118.0M-1.8M0.953.1414,97514,196673,546671,758
2019-01-29$6.44$6.0073.7%24.9%70.6%60.4%88.2%7.9%-4.4%487.0K107.3M-1.8M0.773.3416,51512,645688,548680,822
2019-01-30$6.55$6.0076.2%26.6%69.5%64.2%93.1%6.6%-4.0%692.7K98.6M-1.9M0.653.9621,42713,951688,142679,602
2019-01-31$6.67$7.0077.4%19.6%68.6%66.1%69.7%6.1%-3.6%654.0K88.2M-1.9M0.513.3633,98417,333690,571687,093