SNAP Options History — May 2019

In May 2019, SNAP traded between $10.07 and $11.94. ATM implied volatility averaged 48.7%, placing in the 21.2% IV rank vs the trailing year. The 30-day expected move averaged 14.1%. IV traded below realized volatility by 3.3% (HV 20d: 52.0%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2019-05-30: Highest Volume — 141,013 contracts
2019-05-07: Largest IV spike — 14.7% change
2019-05-31: Highest IV Rank — 28.3%
2019-05-13: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.24	$10.07	$11.94	$11.23	$11.86
Max Pain	$11.00	$11.00	$11.00	$11.00	$11.00
ATM IV	48.7%	44.5%	53.2%	44.5%	53.2%
Expected Move	14.1%	12.9%	15.5%	13.3%	15.5%
HV 20d	52.0%	42.5%	60.3%	43.8%	55.5%
HV 60d	49.7%	45.4%	62.5%	62.5%	50.4%
IV Rank	21.2%	14.6%	28.3%	14.6%	28.3%
IV Percentile	32.5%	15.5%	46.0%	16.3%	46.0%
Term Structure	0.3%	-1.1%	1.8%	0.6%	0.0%
VWIV	49.8%	45.5%	56.1%	46.3%	54.4%
Skew 25d	2.9%	0.8%	4.5%	0.8%	3.8%
Skew 10d	5.8%	0.7%	9.0%	0.7%	6.8%
Call IV 25d	48.5%	44.6%	53.2%	45.4%	52.9%
Put IV 25d	51.3%	46.1%	56.7%	46.1%	56.7%
Bid-Ask Spread %	2.56	2.13	3.27	3.06	2.57
Gamma HHI	0.11	0.08	0.14	0.11	0.13
Net GEX	2.5M	-640.8K	4.9M	2.6M	3.9M
Net DEX	-183.1M	-282.9M	-18.0M	-185.9M	-277.1M
Net VEX	-2.5M	-2.7M	-2.3M	-2.6M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.26	1.27	0.33	0.37
Total Volume	59,789.318	33,144	141,013	50,641	66,104
Total OI	1,354,514.773	1,252,070	1,464,661	1,445,484	1,310,709

Daily Data (22 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
2019-05-01	$11.23	$11.00	44.5%	13.3%	43.8%	14.6%	46.3%	0.8%	0.6%	2.6M	-185.9M	-2.6M	0.33	3.06	37,997	12,644	790,459	655,025
2019-05-02	$11.19	$11.00	45.5%	13.6%	43.8%	16.1%	46.9%	2.0%	0.2%	2.6M	-180.0M	-2.6M	0.63	3.27	27,529	17,395	804,149	656,515
2019-05-03	$11.78	$11.00	44.5%	12.9%	47.3%	14.6%	46.2%	2.9%	0.5%	3.9M	-278.0M	-2.7M	0.40	2.51	55,544	22,344	805,752	658,909
2019-05-06	$11.80	$11.00	45.9%	13.8%	42.5%	16.9%	48.8%	2.6%	1.3%	3.9M	-259.9M	-2.6M	0.75	2.70	20,435	15,385	744,789	642,105
2019-05-07	$11.14	$11.00	52.7%	14.9%	46.0%	27.5%	51.7%	4.0%	-0.5%	2.1M	-164.9M	-2.6M	0.89	2.29	23,009	20,497	747,288	641,828
2019-05-08	$10.86	$11.00	50.7%	14.6%	46.2%	24.3%	52.4%	2.6%	-0.1%	1.2M	-119.8M	-2.5M	1.00	2.60	24,871	24,972	749,168	642,562
2019-05-09	$11.02	$11.00	51.3%	14.6%	46.1%	25.4%	53.4%	4.5%	-0.3%	1.7M	-141.7M	-2.5M	1.00	2.36	22,435	22,545	756,561	647,689
2019-05-10	$10.48	$11.00	48.4%	14.4%	48.8%	20.7%	49.6%	2.0%	0.2%	-640.8K	-64.3M	-2.4M	0.52	2.97	42,671	22,104	760,337	651,545
2019-05-13	$10.07	$11.00	53.1%	15.5%	50.0%	28.1%	56.1%	1.0%	1.8%	-268.5K	-18.0M	-2.3M	0.71	2.61	21,093	15,033	737,305	636,287
2019-05-14	$10.50	$11.00	48.4%	14.4%	53.1%	20.8%	49.9%	3.0%	1.8%	391.6K	-66.8M	-2.3M	1.27	2.13	22,362	28,480	746,314	637,789
2019-05-15	$10.68	$11.00	45.6%	13.3%	53.5%	16.4%	46.4%	3.2%	0.4%	564.2K	-87.2M	-2.3M	0.78	2.96	25,743	20,001	750,317	639,018
2019-05-16	$11.41	$11.00	44.6%	12.9%	58.9%	14.9%	45.5%	2.1%	0.1%	3.4M	-213.9M	-2.5M	0.43	2.24	75,414	32,581	759,302	639,835
2019-05-17	$11.57	$11.00	45.6%	13.2%	59.1%	16.4%	46.9%	2.6%	0.5%	3.2M	-244.9M	-2.5M	0.43	2.61	56,106	23,923	777,636	656,839
2019-05-20	$11.18	$11.00	49.2%	14.1%	60.3%	22.0%	49.8%	3.2%	0.1%	2.2M	-175.8M	-2.5M	0.85	2.47	20,091	17,076	678,073	588,047
2019-05-21	$11.52	$11.00	46.6%	13.3%	59.6%	17.9%	47.0%	2.5%	1.3%	3.6M	-223.1M	-2.5M	0.56	2.25	29,714	16,743	684,776	586,349
2019-05-22	$11.32	$11.00	46.1%	13.2%	55.0%	17.1%	46.5%	2.5%	1.0%	3.0M	-193.2M	-2.4M	0.38	2.13	24,057	9,087	682,796	588,697
2019-05-23	$11.07	$11.00	50.7%	14.5%	53.5%	24.3%	50.2%	4.1%	-0.4%	2.6M	-162.6M	-2.5M	0.87	2.35	25,437	22,225	689,837	588,560
2019-05-24	$11.59	$11.00	49.2%	14.0%	55.6%	22.0%	49.0%	3.7%	0.5%	4.1M	-240.0M	-2.5M	0.40	2.49	57,877	23,110	697,315	592,496
2019-05-28	$11.49	$11.00	50.1%	14.2%	55.0%	23.4%	50.7%	2.4%	-0.9%	3.1M	-211.2M	-2.4M	0.54	2.54	43,419	23,657	665,722	586,348
2019-05-29	$11.66	$11.00	53.0%	15.4%	55.0%	27.9%	54.0%	3.6%	-1.1%	3.6M	-236.5M	-2.4M	0.36	2.57	46,094	16,548	672,756	580,543
2019-05-30	$11.94	$11.00	52.6%	15.1%	55.5%	27.3%	53.5%	3.6%	-0.8%	4.9M	-282.9M	-2.5M	0.26	2.59	111,757	29,256	687,867	583,111
2019-05-31	$11.86	$11.00	53.2%	15.5%	55.5%	28.3%	54.4%	3.8%	0.0%	3.9M	-277.1M	-2.4M	0.37	2.57	48,097	18,007	718,343	592,366