SNAP Options History — February 2019

In February 2019, SNAP traded between $6.84 and $10.14. ATM implied volatility averaged 55.4%, placing in the 31.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded below realized volatility by 31.1% (HV 20d: 86.5%). Max pain ranged from $7.00 to $8.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 5 of 19 days. Put/call ratio averaged 0.61.

Notable Days

2019-02-06: Highest Volume — 498,318 contracts
2019-02-06: Largest IV drop — 29.7% change
2019-02-05: Highest IV Rank — 75.0%
2019-02-05: Largest Expected Move — 22.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$8.94	$6.84	$10.14	$6.96	$9.77
Max Pain	$7.16	$7.00	$8.00	$7.00	$8.00
ATM IV	55.4%	44.7%	83.0%	79.0%	45.4%
Expected Move	15.6%	12.7%	22.2%	20.7%	12.9%
HV 20d	86.5%	67.4%	102.9%	69.3%	83.5%
HV 60d	71.9%	61.0%	76.0%	61.1%	72.7%
IV Rank	31.7%	15.0%	75.0%	68.7%	16.0%
IV Percentile	39.8%	15.1%	88.9%	81.3%	18.7%
Term Structure	-1.1%	-6.0%	2.1%	-6.0%	-0.2%
VWIV	55.4%	45.5%	78.9%	73.3%	45.9%
Skew 25d	3.0%	1.8%	6.3%	6.3%	3.5%
Skew 10d	6.8%	0.4%	13.5%	0.4%	8.6%
Call IV 25d	55.3%	44.8%	82.1%	79.5%	45.7%
Put IV 25d	58.3%	46.7%	87.6%	85.8%	49.1%
Bid-Ask Spread %	3.23	2.62	4.45	2.87	3.01
Gamma HHI	0.16	0.13	0.24	0.20	0.15
Net GEX	2.3M	-78.7K	4.4M	99.7K	3.6M
Net DEX	-130.6M	-273.8M	86.7M	60.9M	-187.2M
Net VEX	-2.6M	-2.8M	-2.0M	-2.0M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.31	1.21	0.39	1.21
Total Volume	139,480.158	63,915	498,318	129,048	72,195
Total OI	1,551,579.579	1,345,349	1,647,754	1,389,713	1,645,318

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
2019-02-01	$6.96	$7.00	79.0%	20.7%	69.3%	68.7%	73.3%	6.3%	-6.0%	99.7K	60.9M	-2.0M	0.39	2.87	92,610	36,438	696,945	692,768
2019-02-04	$6.84	$7.00	78.4%	21.2%	68.2%	67.8%	75.1%	4.4%	-2.8%	-78.7K	86.7M	-2.0M	0.42	3.60	61,496	26,017	663,529	681,820
2019-02-05	$6.95	$7.00	83.0%	22.2%	67.4%	75.0%	78.9%	5.5%	-4.5%	141.2K	75.6M	-2.0M	0.57	3.25	118,025	66,991	697,354	700,595
2019-02-06	$8.65	$7.00	58.3%	16.4%	101.1%	36.3%	59.4%	2.4%	-1.5%	1.7M	-141.9M	-2.5M	0.46	4.45	341,825	156,493	763,724	745,497
2019-02-07	$8.57	$7.00	57.8%	16.2%	100.7%	35.5%	58.1%	3.5%	-1.8%	2.0M	-96.3M	-2.6M	0.74	3.53	91,706	67,843	818,587	811,608
2019-02-08	$9.11	$7.00	61.8%	17.5%	101.6%	41.8%	61.8%	3.4%	-0.8%	1.4M	-203.1M	-2.7M	0.31	3.25	224,065	70,549	821,312	817,152
2019-02-11	$9.03	$7.00	61.7%	17.6%	102.1%	41.5%	62.3%	3.6%	-0.7%	2.3M	-148.6M	-2.7M	0.51	3.21	91,330	46,323	785,361	762,988
2019-02-12	$8.82	$7.00	51.6%	14.8%	102.9%	25.7%	53.0%	2.5%	-1.0%	2.4M	-105.8M	-2.6M	0.60	2.62	65,343	38,986	800,978	778,685
2019-02-13	$9.11	$7.00	51.3%	14.7%	102.9%	25.4%	51.4%	1.8%	-1.4%	3.6M	-157.2M	-2.7M	0.43	4.25	95,856	40,896	812,340	787,763
2019-02-14	$9.22	$7.00	49.0%	14.0%	84.0%	21.7%	49.4%	2.4%	0.4%	4.4M	-179.2M	-2.7M	0.61	2.89	43,243	26,506	830,478	804,806
2019-02-15	$9.15	$7.00	50.7%	14.4%	84.6%	24.4%	51.2%	1.9%	2.1%	1.4M	-173.0M	-2.7M	0.38	2.94	46,447	17,468	835,721	812,033
2019-02-19	$9.30	$7.00	44.9%	12.7%	83.1%	15.3%	46.5%	1.8%	-1.1%	2.2M	-129.5M	-2.6M	0.73	2.82	37,723	27,451	739,175	730,123
2019-02-20	$9.23	$7.00	45.1%	12.7%	81.8%	15.6%	46.2%	1.8%	0.1%	2.1M	-114.1M	-2.6M	0.92	3.07	65,698	60,386	740,986	739,333
2019-02-21	$9.36	$7.00	44.7%	12.9%	81.6%	15.0%	45.5%	2.4%	-0.6%	2.4M	-135.8M	-2.7M	0.54	2.62	58,461	31,349	769,010	784,113
2019-02-22	$9.72	$7.00	50.2%	14.7%	81.6%	23.7%	51.3%	2.0%	0.1%	2.2M	-207.4M	-2.8M	0.35	4.25	107,452	37,671	797,675	791,046
2019-02-25	$10.14	$7.00	48.5%	14.3%	81.7%	20.9%	50.0%	2.9%	-0.8%	3.6M	-273.8M	-2.8M	0.54	3.18	81,701	44,154	806,019	777,070
2019-02-26	$10.06	$8.00	45.1%	13.1%	81.4%	15.5%	46.2%	2.7%	0.2%	3.9M	-256.0M	-2.8M	0.78	2.65	42,457	33,194	818,839	792,805
2019-02-27	$9.84	$8.00	46.0%	13.5%	82.9%	17.0%	47.5%	2.6%	-0.7%	3.5M	-196.4M	-2.7M	1.05	2.86	40,859	42,916	824,726	801,730
2019-02-28	$9.77	$8.00	45.4%	12.9%	83.5%	16.0%	45.9%	3.5%	-0.2%	3.6M	-187.2M	-2.7M	1.21	3.01	32,595	39,600	827,263	818,055