SNAP Options History — July 2019

In July 2019, SNAP traded between $13.99 and $17.97. ATM implied volatility averaged 61.1%, placing in the 40.6% IV rank vs the trailing year. The 30-day expected move averaged 16.6%. IV traded above realized volatility by 11.0% (HV 20d: 50.1%). Max pain ranged from $11.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.44.

Notable Days

2019-07-24: Highest Volume — 713,508 contracts
2019-07-24: Largest IV drop — 36.3% change
2019-07-22: Highest IV Rank — 61.7%
2019-07-22: Largest Expected Move — 22.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.57	$13.99	$17.97	$14.44	$16.95
Max Pain	$13.14	$11.00	$14.00	$11.00	$14.00
ATM IV	61.1%	44.0%	74.5%	59.3%	45.4%
Expected Move	16.6%	12.4%	22.6%	12.4%	12.9%
HV 20d	50.1%	31.7%	70.0%	57.9%	69.1%
HV 60d	54.0%	50.0%	60.2%	52.6%	60.2%
IV Rank	40.6%	13.9%	61.7%	37.8%	16.0%
IV Percentile	50.9%	9.5%	75.4%	51.2%	16.3%
Term Structure	-2.4%	-5.5%	2.2%	2.2%	-0.3%
VWIV	58.1%	43.1%	79.4%	43.1%	45.6%
Skew 25d	2.7%	1.2%	6.1%	2.4%	1.4%
Skew 10d	4.7%	-47.3%	47.8%	-47.3%	3.1%
Call IV 25d	60.4%	43.9%	72.3%	58.5%	45.3%
Put IV 25d	63.1%	45.4%	74.5%	61.0%	46.7%
Bid-Ask Spread %	2.48	1.98	3.41	2.42	2.41
Gamma HHI	0.21	0.11	0.62	0.28	0.15
Net GEX	14.9M	7.9M	44.0M	15.3M	12.9M
Net DEX	-756.6M	-1.23B	-421.5M	-625.1M	-788.5M
Net VEX	-2.6M	-2.8M	-2.4M	-2.7M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.20	0.97	0.29	0.74
Total Volume	165,373.045	53,435	713,508	53,435	72,422
Total OI	1,579,075.091	1,323,704	1,704,731	1,556,879	1,509,946

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
2019-07-01	$14.44	$11.00	59.3%	12.4%	57.9%	37.8%	43.1%	2.4%	2.2%	15.3M	-625.1M	-2.7M	0.29	2.42	41,525	11,910	921,547	635,332
2019-07-02	$14.11	$11.00	59.8%	12.6%	48.8%	38.7%	44.3%	3.9%	0.4%	13.7M	-541.7M	-2.7M	0.47	2.49	47,823	22,609	926,706	641,341
2019-07-03	$14.70	$11.00	67.8%	12.8%	50.4%	51.1%	44.8%	2.6%	-5.5%	17.6M	-692.5M	-2.8M	0.20	2.06	75,160	15,225	944,814	647,529
2019-07-05	$15.18	$13.00	67.8%	17.8%	46.0%	51.1%	62.2%	6.1%	-4.5%	13.2M	-805.7M	-2.7M	0.31	2.67	135,664	42,038	939,955	651,576
2019-07-08	$15.11	$13.00	68.2%	18.2%	46.2%	51.8%	63.2%	4.3%	-3.7%	14.3M	-731.3M	-2.7M	0.46	2.30	45,364	20,919	917,567	652,723
2019-07-09	$15.24	$13.00	70.5%	18.8%	45.9%	55.3%	65.3%	4.4%	-3.9%	15.8M	-762.0M	-2.7M	0.36	2.60	99,438	35,518	935,351	660,763
2019-07-10	$15.28	$13.00	67.1%	18.2%	45.3%	50.0%	62.9%	3.0%	-3.3%	18.2M	-774.5M	-2.7M	0.33	1.98	58,100	19,101	949,218	672,593
2019-07-11	$15.53	$13.00	65.7%	17.7%	45.4%	47.9%	62.2%	3.0%	-4.6%	20.7M	-834.6M	-2.7M	0.29	2.32	123,925	35,692	949,059	675,781
2019-07-12	$15.62	$13.00	65.7%	17.8%	44.5%	47.9%	62.3%	2.6%	-5.3%	15.4M	-847.0M	-2.6M	0.29	2.73	140,979	40,752	949,594	680,311
2019-07-15	$15.49	$13.00	66.0%	18.5%	44.3%	48.3%	64.4%	3.1%	-2.9%	12.8M	-759.8M	-2.6M	0.27	2.69	75,001	20,500	923,859	673,165
2019-07-16	$14.98	$13.00	65.3%	18.5%	45.0%	47.2%	64.7%	2.5%	-2.5%	11.4M	-654.8M	-2.6M	0.37	2.35	74,966	27,682	949,424	680,742
2019-07-17	$14.94	$13.00	64.9%	18.6%	31.7%	46.5%	65.6%	2.3%	-1.5%	12.3M	-649.7M	-2.7M	0.33	2.94	44,455	14,793	970,951	689,450
2019-07-18	$14.52	$13.00	67.7%	19.6%	32.5%	51.0%	68.6%	3.0%	-3.1%	8.3M	-551.3M	-2.6M	0.32	2.75	80,511	25,621	982,647	692,114
2019-07-19	$13.99	$14.00	68.8%	20.1%	34.2%	52.7%	70.1%	2.6%	-3.4%	9.0M	-447.5M	-2.6M	0.57	2.53	76,216	43,088	1,000,473	695,359
2019-07-22	$14.18	$14.00	74.5%	22.6%	34.1%	61.7%	79.4%	2.2%	-4.1%	7.9M	-421.5M	-2.7M	0.24	2.50	153,558	36,991	826,428	497,276
2019-07-23	$14.82	$14.00	72.8%	22.5%	37.5%	59.0%	78.7%	3.1%	-4.3%	10.0M	-542.9M	-2.7M	0.54	2.27	232,791	124,876	875,960	516,610
2019-07-24	$17.45	$14.00	46.4%	13.3%	68.4%	17.7%	47.2%	1.3%	-0.8%	17.6M	-1.17B	-2.5M	0.50	2.94	474,247	239,261	983,912	597,782
2019-07-25	$17.68	$14.00	46.6%	13.5%	68.3%	17.9%	47.1%	1.2%	-0.7%	13.8M	-1.13B	-2.4M	0.54	2.13	230,442	125,403	965,729	664,204
2019-07-26	$17.97	$14.00	45.1%	13.0%	68.0%	15.6%	45.7%	1.4%	-0.6%	44.0M	-1.23B	-2.5M	0.48	2.10	175,459	84,331	1,018,084	686,647
2019-07-29	$17.55	$14.00	44.3%	12.9%	68.0%	14.3%	45.3%	1.8%	-0.6%	12.9M	-915.4M	-2.5M	0.91	3.41	47,541	43,060	892,540	589,286
2019-07-30	$16.91	$14.00	44.0%	12.7%	70.0%	13.9%	44.8%	1.5%	-0.7%	11.7M	-769.8M	-2.5M	0.97	2.05	52,423	50,827	907,890	597,414
2019-07-31	$16.95	$14.00	45.4%	12.9%	69.1%	16.0%	45.6%	1.4%	-0.3%	12.9M	-788.5M	-2.5M	0.74	2.41	41,595	30,827	918,978	590,968