SNAP Options History — April 2019

In April 2019, SNAP traded between $10.77 and $12.39. ATM implied volatility averaged 70.9%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 19.6%. IV traded above realized volatility by 27.5% (HV 20d: 43.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 3 of 21 days. Put/call ratio averaged 0.64.

Notable Days

2019-04-24: Highest Volume — 361,489 contracts
2019-04-24: Largest IV drop — 39.4% change
2019-04-23: Highest IV Rank — 77.4%
2019-04-23: Largest Expected Move — 26.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.58	$10.77	$12.39	$11.39	$11.11
Max Pain	$10.95	$10.00	$11.00	$10.00	$11.00
ATM IV	70.9%	46.0%	84.6%	65.4%	46.0%
Expected Move	19.6%	13.1%	26.0%	19.5%	13.5%
HV 20d	43.4%	31.4%	54.0%	53.5%	44.0%
HV 60d	64.6%	60.3%	69.2%	68.9%	62.7%
IV Rank	56.0%	17.0%	77.4%	47.4%	17.1%
IV Percentile	68.2%	23.8%	92.5%	60.7%	24.2%
Term Structure	-3.6%	-6.8%	3.5%	3.5%	0.4%
VWIV	69.4%	47.1%	92.2%	68.5%	48.5%
Skew 25d	1.6%	-0.9%	6.0%	4.5%	-0.1%
Skew 10d	1.0%	-36.4%	27.0%	-4.6%	-0.6%
Call IV 25d	71.6%	47.3%	84.6%	65.3%	47.3%
Put IV 25d	73.2%	47.2%	85.5%	69.8%	47.2%
Bid-Ask Spread %	3.85	2.39	12.13	2.39	2.65
Gamma HHI	0.17	0.07	0.50	0.15	0.11
Net GEX	4.0M	-132.2K	11.3M	4.1M	2.4M
Net DEX	-360.0M	-568.1M	-86.6M	-393.1M	-169.7M
Net VEX	-2.7M	-2.8M	-2.6M	-2.8M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.31	1.32	0.86	0.65
Total Volume	131,293.762	40,937	361,489	80,919	51,408
Total OI	1,629,656.381	1,255,507	1,790,017	1,673,782	1,449,260

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
2019-04-01	$11.39	$10.00	65.4%	19.5%	53.5%	47.4%	68.5%	4.5%	3.5%	4.1M	-393.1M	-2.8M	0.86	2.39	43,502	37,417	825,436	848,346
2019-04-02	$11.20	$11.00	76.3%	20.2%	54.0%	64.4%	70.9%	6.0%	-5.5%	4.2M	-360.8M	-2.8M	1.32	2.54	55,193	72,859	833,679	863,548
2019-04-03	$11.16	$11.00	80.2%	20.1%	53.3%	70.6%	71.1%	2.9%	-6.0%	4.8M	-365.7M	-2.8M	0.67	4.18	70,998	47,213	849,345	845,957
2019-04-04	$11.30	$11.00	83.6%	20.0%	50.6%	75.9%	69.6%	1.3%	-4.9%	5.2M	-392.2M	-2.7M	0.32	10.64	95,063	30,850	854,015	847,306
2019-04-05	$11.97	$11.00	75.2%	19.3%	53.2%	62.8%	67.7%	2.4%	-6.0%	8.2M	-531.6M	-2.7M	0.46	2.45	182,269	84,533	873,606	854,583
2019-04-08	$12.26	$11.00	77.1%	20.4%	51.4%	65.7%	71.7%	3.4%	-4.2%	4.8M	-538.5M	-2.7M	0.31	2.44	137,793	43,190	841,847	822,223
2019-04-09	$12.39	$11.00	79.1%	21.1%	51.1%	68.8%	73.8%	2.4%	-4.0%	5.9M	-568.1M	-2.8M	0.48	3.07	73,288	35,437	883,460	839,303
2019-04-10	$12.06	$11.00	78.9%	21.0%	52.9%	68.6%	73.8%	2.5%	-5.3%	5.2M	-506.2M	-2.8M	0.75	4.11	109,049	81,294	898,305	850,269
2019-04-11	$11.90	$11.00	77.6%	20.8%	36.5%	66.5%	73.2%	2.2%	-6.3%	4.7M	-475.5M	-2.8M	0.60	2.46	50,242	29,913	919,153	865,684
2019-04-12	$11.97	$11.00	75.9%	20.6%	35.3%	63.8%	72.3%	2.5%	-6.0%	11.3M	-484.6M	-2.8M	0.64	3.98	38,883	24,852	923,551	866,466
2019-04-15	$11.86	$11.00	77.3%	21.7%	35.6%	66.1%	76.3%	1.1%	-4.4%	4.2M	-455.1M	-2.7M	0.45	2.98	32,911	14,972	868,483	845,277
2019-04-16	$11.64	$11.00	78.0%	22.1%	33.6%	67.1%	78.3%	0.5%	-3.8%	3.6M	-418.5M	-2.7M	0.82	3.19	38,973	32,048	876,850	849,137
2019-04-17	$11.73	$11.00	78.7%	22.6%	32.0%	68.2%	79.5%	0.4%	-4.1%	4.7M	-436.7M	-2.7M	0.55	2.79	26,472	14,465	882,083	857,817
2019-04-18	$11.61	$11.00	80.6%	23.4%	32.3%	71.2%	83.0%	-0.9%	-5.0%	1.4M	-411.4M	-2.7M	0.53	3.13	83,058	44,237	882,597	860,440
2019-04-22	$11.53	$11.00	82.1%	24.7%	31.4%	73.5%	89.4%	1.0%	-5.4%	1.6M	-219.7M	-2.7M	0.74	4.53	52,637	39,016	649,550	605,957
2019-04-23	$11.99	$11.00	84.6%	26.0%	33.8%	77.4%	92.2%	0.4%	-6.8%	2.1M	-277.0M	-2.8M	0.68	12.13	189,148	129,542	678,237	626,105
2019-04-24	$11.23	$11.00	51.3%	14.7%	42.2%	25.3%	52.8%	0.2%	-1.4%	536.1K	-148.2M	-2.6M	0.63	2.57	221,392	140,097	791,917	710,307
2019-04-25	$10.77	$11.00	48.4%	13.8%	44.9%	20.7%	49.3%	-0.1%	-0.7%	-132.2K	-86.6M	-2.6M	0.51	2.98	101,819	51,685	853,772	706,876
2019-04-26	$10.94	$11.00	46.0%	13.1%	44.9%	17.0%	47.1%	0.1%	-0.5%	2.2M	-125.2M	-2.6M	0.74	2.89	50,617	37,517	886,935	702,810
2019-04-29	$11.23	$11.00	47.0%	13.4%	45.4%	18.6%	47.7%	0.5%	0.2%	3.1M	-194.7M	-2.6M	0.76	2.77	34,930	26,387	786,821	645,471
2019-04-30	$11.11	$11.00	46.0%	13.5%	44.0%	17.1%	48.5%	-0.1%	0.4%	2.4M	-169.7M	-2.6M	0.65	2.65	31,115	20,293	793,779	655,481