SNAP Options History — June 2019

In June 2019, SNAP traded between $11.64 and $14.89. ATM implied volatility averaged 52.5%, placing in the 27.1% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 5.1% (HV 20d: 57.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2019-06-06: Highest Volume — 259,560 contracts
2019-06-24: Largest IV spike — 14.9% change
2019-06-26: Highest IV Rank — 44.1%
2019-06-03: Largest Expected Move — 16.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.99	$11.64	$14.89	$11.64	$14.28
Max Pain	$10.55	$10.00	$11.00	$11.00	$11.00
ATM IV	52.5%	46.5%	63.3%	54.2%	62.9%
Expected Move	14.2%	13.4%	16.1%	16.1%	14.0%
HV 20d	57.5%	51.9%	63.7%	52.9%	58.8%
HV 60d	51.5%	48.7%	54.3%	49.9%	52.6%
IV Rank	27.1%	17.9%	44.1%	29.9%	43.5%
IV Percentile	38.1%	20.6%	61.1%	47.6%	60.7%
Term Structure	1.9%	-1.2%	10.0%	-0.1%	0.2%
VWIV	50.7%	47.3%	55.6%	55.6%	49.4%
Skew 25d	2.9%	-1.0%	5.5%	5.5%	4.2%
Skew 10d	6.0%	-5.0%	10.1%	8.7%	10.1%
Call IV 25d	52.0%	46.2%	66.7%	52.3%	60.5%
Put IV 25d	54.9%	48.9%	65.6%	57.8%	64.7%
Bid-Ask Spread %	2.33	1.80	3.21	3.05	2.45
Gamma HHI	0.22	0.10	0.57	0.13	0.27
Net GEX	10.5M	3.7M	23.1M	3.7M	12.0M
Net DEX	-574.7M	-761.0M	-227.9M	-227.9M	-585.3M
Net VEX	-2.7M	-2.8M	-2.4M	-2.4M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.13	0.53	0.44	0.50
Total Volume	132,065.45	55,340	259,560	74,330	113,179
Total OI	1,451,520.8	1,268,096	1,600,059	1,268,096	1,600,059

Daily Data (20 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
2019-06-03	$11.64	$11.00	54.2%	16.1%	52.9%	29.9%	55.6%	5.5%	-0.1%	3.7M	-227.9M	-2.4M	0.44	3.05	51,758	22,572	687,128	580,968
2019-06-04	$12.85	$11.00	51.3%	15.3%	63.7%	25.3%	55.2%	3.1%	0.4%	5.5M	-402.8M	-2.5M	0.52	2.51	129,812	67,380	696,623	583,066
2019-06-05	$12.95	$11.00	50.0%	14.4%	59.3%	23.3%	51.3%	3.0%	0.1%	5.0M	-416.6M	-2.5M	0.53	2.62	79,869	42,182	719,647	621,025
2019-06-06	$13.86	$10.00	52.2%	14.9%	61.6%	26.7%	54.6%	3.3%	-0.3%	5.4M	-552.5M	-2.6M	0.42	3.21	182,207	77,353	735,510	627,126
2019-06-07	$13.90	$10.00	49.5%	14.2%	61.7%	22.5%	50.6%	1.6%	-0.1%	6.4M	-557.4M	-2.6M	0.41	2.12	91,362	37,664	762,470	630,640
2019-06-10	$13.77	$10.00	48.7%	14.0%	57.9%	21.2%	49.2%	3.2%	0.5%	5.3M	-506.9M	-2.5M	0.39	2.64	86,130	33,454	736,311	606,975
2019-06-11	$13.56	$10.00	48.3%	13.7%	55.5%	20.6%	48.5%	2.7%	-0.3%	6.3M	-485.9M	-2.6M	0.51	2.08	36,712	18,628	773,670	615,891
2019-06-12	$13.73	$10.00	49.5%	14.0%	54.5%	22.5%	50.1%	3.3%	-0.6%	7.1M	-527.1M	-2.6M	0.23	2.25	109,486	24,745	788,323	618,147
2019-06-13	$14.14	$10.00	48.4%	13.9%	54.8%	20.7%	52.7%	2.1%	0.1%	10.4M	-622.7M	-2.6M	0.41	2.08	101,138	41,556	839,822	628,099
2019-06-14	$13.97	$10.00	46.5%	13.4%	51.9%	17.9%	52.2%	2.8%	0.0%	23.1M	-579.7M	-2.7M	0.51	2.06	87,954	44,733	864,456	636,394
2019-06-17	$13.60	$10.00	47.7%	13.6%	53.5%	19.6%	50.0%	3.4%	6.3%	7.8M	-496.3M	-2.6M	0.45	1.93	64,077	29,000	822,933	620,511
2019-06-18	$14.89	$10.00	49.8%	14.3%	58.5%	23.0%	51.1%	3.1%	5.0%	10.9M	-744.6M	-2.7M	0.34	2.40	183,700	62,944	852,528	627,079
2019-06-19	$14.59	$11.00	47.3%	13.6%	59.5%	19.0%	48.0%	2.9%	9.0%	11.6M	-681.6M	-2.7M	0.43	2.28	77,278	33,050	870,585	653,512
2019-06-20	$14.86	$11.00	48.4%	13.4%	58.5%	20.7%	47.5%	2.4%	8.5%	15.7M	-761.0M	-2.7M	0.28	1.80	89,482	24,821	900,409	655,808
2019-06-21	$14.57	$11.00	50.2%	13.4%	58.3%	23.5%	47.3%	2.4%	10.0%	14.0M	-714.2M	-2.8M	0.33	2.08	54,576	17,767	924,290	660,851
2019-06-24	$14.73	$11.00	57.7%	14.5%	57.0%	35.3%	50.6%	3.7%	1.6%	10.5M	-648.3M	-2.7M	0.24	2.24	125,295	29,763	836,187	615,855
2019-06-25	$14.49	$11.00	62.4%	15.0%	57.5%	42.7%	52.1%	-1.0%	-1.2%	13.8M	-627.0M	-2.8M	0.44	2.45	110,119	48,117	898,241	619,795
2019-06-26	$14.78	$11.00	63.3%	14.2%	57.5%	44.1%	50.7%	2.0%	-1.0%	17.5M	-696.7M	-2.8M	0.44	2.51	74,800	33,103	922,068	624,635
2019-06-27	$14.62	$11.00	61.2%	13.7%	57.9%	40.8%	47.8%	4.3%	0.7%	18.7M	-660.0M	-2.8M	0.13	1.89	91,337	12,206	937,439	635,340
2019-06-28	$14.28	$11.00	62.9%	14.0%	58.8%	43.5%	49.4%	4.2%	0.2%	12.0M	-585.3M	-2.8M	0.50	2.45	75,506	37,673	961,347	638,712