SNAP Options History — March 2019

In March 2019, SNAP traded between $9.44 and $11.22. ATM implied volatility averaged 50.0%, placing in the 23.2% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 5.5% (HV 20d: 55.5%). Max pain ranged from $8.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2019-03-14: Highest Volume — 383,500 contracts
2019-03-14: Largest IV spike — 20.4% change
2019-03-27: Highest IV Rank — 40.8%
2019-03-25: Largest Expected Move — 19.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.42	$9.44	$11.22	$9.82	$11.03
Max Pain	$9.43	$8.00	$10.00	$8.00	$10.00
ATM IV	50.0%	41.7%	61.2%	44.2%	59.8%
Expected Move	16.8%	12.4%	19.3%	12.7%	19.0%
HV 20d	55.5%	36.0%	83.7%	83.7%	52.7%
HV 60d	71.5%	69.0%	74.6%	72.4%	69.0%
IV Rank	23.2%	10.3%	40.8%	14.2%	38.7%
IV Percentile	32.0%	9.9%	55.6%	14.7%	52.4%
Term Structure	2.1%	-1.7%	10.9%	-0.2%	5.6%
VWIV	59.4%	42.1%	67.8%	45.5%	67.0%
Skew 25d	3.1%	1.5%	5.5%	1.8%	4.9%
Skew 10d	7.5%	4.0%	12.5%	5.9%	8.4%
Call IV 25d	49.7%	40.2%	61.3%	44.8%	56.3%
Put IV 25d	52.8%	45.7%	63.4%	46.5%	61.2%
Bid-Ask Spread %	3.09	2.12	6.82	3.39	2.72
Gamma HHI	0.18	0.10	0.44	0.16	0.37
Net GEX	2.9M	845.8K	8.3M	2.6M	8.3M
Net DEX	-246.0M	-436.6M	-84.0M	-186.3M	-335.4M
Net VEX	-2.8M	-3.0M	-2.7M	-2.8M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.27	1.22	0.52	0.45
Total Volume	92,324.714	29,505	383,500	69,349	91,626
Total OI	1,653,761.571	1,588,066	1,745,316	1,664,759	1,723,218

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
2019-03-01	$9.82	$8.00	44.2%	12.7%	83.7%	14.2%	45.5%	1.8%	-0.2%	2.6M	-186.3M	-2.8M	0.52	3.39	45,744	23,605	829,950	834,809
2019-03-04	$9.89	$8.00	45.1%	13.5%	83.3%	15.7%	47.8%	3.5%	0.3%	3.2M	-191.6M	-2.8M	0.40	3.12	48,438	19,396	801,645	801,999
2019-03-05	$10.06	$8.00	43.3%	12.4%	82.3%	12.8%	42.1%	4.3%	0.2%	4.0M	-209.7M	-2.8M	0.57	3.28	43,824	25,046	797,941	805,453
2019-03-06	$9.86	$8.00	43.6%	12.7%	83.5%	13.2%	44.6%	3.5%	-0.4%	3.2M	-181.5M	-2.7M	1.22	3.27	16,821	20,478	798,259	817,804
2019-03-07	$9.49	$8.00	49.2%	14.8%	39.6%	22.0%	52.5%	3.8%	-0.1%	1.7M	-99.0M	-2.7M	1.01	4.38	43,350	43,789	795,351	821,544
2019-03-08	$9.44	$8.00	50.1%	14.5%	39.5%	23.4%	52.7%	4.5%	-0.3%	845.8K	-84.0M	-2.7M	0.77	3.14	38,525	29,833	804,107	832,964
2019-03-11	$9.93	$10.00	46.6%	17.6%	37.6%	18.0%	61.8%	4.6%	-0.7%	2.2M	-177.9M	-2.7M	0.85	2.82	47,819	40,659	774,053	814,013
2019-03-12	$9.89	$10.00	44.7%	17.0%	37.4%	15.0%	59.8%	3.4%	-0.6%	2.1M	-181.8M	-2.7M	0.55	3.95	25,421	14,097	794,753	822,669
2019-03-13	$10.02	$10.00	41.7%	16.4%	36.0%	10.3%	57.7%	5.5%	0.1%	3.0M	-204.8M	-2.7M	0.51	3.31	27,448	13,997	800,275	825,379
2019-03-14	$11.22	$10.00	50.2%	18.1%	51.7%	23.6%	64.4%	3.2%	-1.7%	3.1M	-436.6M	-2.8M	0.34	2.83	285,300	98,200	806,517	830,558
2019-03-15	$10.98	$10.00	48.5%	17.7%	52.9%	20.9%	62.6%	2.1%	-1.3%	7.7M	-395.4M	-2.9M	0.53	2.13	159,798	84,023	868,375	876,941
2019-03-18	$10.97	$10.00	48.0%	17.8%	52.7%	20.1%	63.2%	2.0%	2.6%	2.3M	-298.4M	-2.9M	0.45	2.40	67,551	30,129	786,544	827,842
2019-03-19	$10.59	$10.00	47.9%	17.9%	54.9%	20.0%	63.2%	2.2%	2.7%	2.0M	-236.3M	-2.8M	0.92	2.19	31,866	29,429	811,154	830,989
2019-03-20	$10.94	$10.00	48.3%	18.3%	55.4%	20.7%	64.2%	1.5%	3.5%	3.4M	-317.6M	-3.0M	0.72	6.82	33,033	23,752	831,374	837,929
2019-03-21	$10.95	$10.00	48.0%	18.4%	55.4%	20.1%	64.5%	2.4%	3.4%	4.0M	-317.9M	-2.9M	0.73	3.24	38,340	27,860	835,382	845,152
2019-03-22	$10.73	$10.00	53.4%	19.0%	55.1%	28.6%	66.2%	2.4%	2.8%	1.0M	-263.0M	-2.9M	0.65	2.79	100,509	65,267	828,194	856,311
2019-03-25	$10.74	$10.00	57.1%	19.3%	53.3%	34.4%	67.8%	1.9%	10.9%	1.3M	-260.2M	-2.9M	0.57	2.42	34,978	20,085	815,508	858,000
2019-03-26	$10.72	$10.00	58.6%	18.8%	53.2%	36.7%	66.8%	2.5%	5.3%	1.3M	-256.1M	-2.9M	0.89	2.12	15,605	13,900	822,095	863,334
2019-03-27	$10.66	$10.00	61.2%	19.0%	52.5%	40.8%	67.8%	2.1%	5.6%	901.4K	-244.4M	-2.8M	0.27	2.29	58,582	15,700	823,317	863,424
2019-03-28	$10.84	$10.00	60.0%	18.6%	52.5%	38.9%	65.0%	3.2%	6.2%	2.7M	-287.9M	-2.8M	0.58	2.32	28,467	16,529	848,360	865,507
2019-03-29	$11.03	$10.00	59.8%	19.0%	52.7%	38.7%	67.0%	4.9%	5.6%	8.3M	-335.4M	-2.8M	0.45	2.72	63,110	28,516	852,563	870,655