SNAP Options History — August 2019 In August 2019, SNAP traded between $15.43 and $17.05. ATM implied volatility averaged 48.3%, placing in the 20.3% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded below realized volatility by 9.8% (HV 20d: 58.1%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.35.
Notable Days 2019-08-27 : Highest Volume — 149,819 contracts2019-08-05 : Largest IV spike — 10.0% change2019-08-05 : Highest IV Rank — 28.0%2019-08-14 : Largest Expected Move — 15.2%Monthly Statistics Metric Avg Min Max Open Close Price $16.24 $15.43 $17.05 $16.73 $15.78 Max Pain $15.82 $14.00 $16.00 $14.00 $16.00 ATM IV 48.3% 44.2% 53.0% 47.7% 44.4% Expected Move 13.8% 12.5% 15.2% 13.2% 12.6% HV 20d 58.1% 34.7% 72.4% 68.5% 37.5% HV 60d 56.4% 51.6% 59.0% 58.8% 51.6% IV Rank 20.3% 11.4% 28.0% 19.6% 11.4% IV Percentile 27.4% 4.8% 46.0% 25.8% 5.6% Term Structure 0.2% -1.0% 0.9% -0.3% 0.1% VWIV 48.6% 44.2% 53.2% 46.1% 45.7% Skew 25d 3.1% 0.6% 5.4% 2.5% 1.9% Skew 10d 6.5% 1.6% 10.7% 6.0% 4.8% Call IV 25d 48.0% 44.7% 51.3% 47.2% 44.8% Put IV 25d 51.1% 46.5% 56.4% 49.7% 46.6% Bid-Ask Spread % 2.68 2.04 3.81 2.92 3.22 Gamma HHI 0.14 0.11 0.51 0.14 0.13 Net GEX 10.5M 6.3M 21.3M 11.9M 8.2M Net DEX -567.6M -817.7M -365.5M -739.0M -412.4M Net VEX -2.4M -2.6M -2.3M -2.5M -2.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.35 0.12 0.70 0.53 0.60 Total Volume 87,077.455 42,411 149,819 115,847 42,411 Total OI 1,344,468.682 1,124,966 1,526,424 1,520,559 1,259,181
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 2019-08-01 $16.73 $14.00 47.7% 13.2% 68.5% 19.6% 46.1% 2.5% -0.3% 11.9M -739.0M -2.5M 0.53 2.92 75,821 40,026 926,936 593,623 2019-08-02 $16.97 $14.00 48.2% 14.2% 67.9% 20.5% 49.4% 2.6% -1.0% 8.2M -787.1M -2.6M 0.34 3.79 84,193 28,207 928,832 597,592 2019-08-05 $16.45 $16.00 53.0% 15.2% 69.1% 28.0% 52.8% 4.3% 0.1% 11.7M -662.2M -2.5M 0.38 2.93 63,576 24,007 870,417 564,843 2019-08-06 $16.34 $16.00 49.8% 14.3% 69.1% 23.0% 50.4% 3.8% 0.0% 11.6M -637.8M -2.5M 0.36 2.16 67,118 24,115 866,548 568,719 2019-08-07 $15.93 $16.00 50.9% 14.7% 69.9% 24.7% 51.4% 4.0% 0.0% 10.3M -550.3M -2.5M 0.70 2.04 38,112 26,638 879,772 576,833 2019-08-08 $16.76 $16.00 49.2% 14.1% 71.9% 22.1% 49.9% 4.0% 0.0% 12.2M -734.3M -2.4M 0.44 2.35 85,261 37,101 883,096 574,156 2019-08-09 $17.05 $16.00 48.2% 13.9% 72.0% 20.4% 48.5% 3.8% 0.3% 15.3M -817.7M -2.5M 0.22 2.83 86,357 19,022 909,859 587,480 2019-08-12 $16.79 $16.00 50.5% 14.5% 72.2% 24.0% 50.6% 4.0% 0.3% 11.3M -744.2M -2.4M 0.36 2.27 47,667 17,125 876,438 560,638 2019-08-13 $16.99 $16.00 48.0% 13.8% 70.9% 20.2% 48.7% 4.0% 0.1% 11.9M -793.3M -2.4M 0.42 2.86 42,771 18,048 887,511 567,695 2019-08-14 $16.40 $16.00 51.6% 15.2% 72.4% 25.9% 52.6% 4.6% 0.9% 9.5M -659.3M -2.4M 0.43 3.49 40,126 17,092 891,790 572,165 2019-08-15 $15.99 $16.00 52.3% 15.0% 72.2% 26.9% 53.2% 5.4% 0.0% 9.8M -575.2M -2.4M 0.42 2.29 44,201 18,726 894,544 573,010 2019-08-16 $15.97 $16.00 48.8% 13.9% 70.5% 21.3% 49.4% 4.9% -0.5% 21.3M -556.5M -2.3M 0.44 2.36 94,119 41,486 898,128 579,160 2019-08-19 $16.14 $16.00 46.2% 13.2% 70.5% 17.4% 46.2% 3.1% 0.5% 7.1M -437.9M -2.3M 0.29 2.48 47,252 13,925 660,402 464,564 2019-08-20 $16.16 $16.00 45.5% 13.1% 69.1% 16.3% 45.5% 2.7% 0.4% 7.9M -445.2M -2.3M 0.21 3.81 63,114 13,196 675,537 468,480 2019-08-21 $16.11 $16.00 44.3% 12.7% 35.2% 14.3% 44.7% 1.1% 0.7% 9.5M -443.1M -2.3M 0.12 2.86 92,766 11,153 692,535 468,116 2019-08-22 $16.07 $16.00 46.9% 13.4% 34.7% 18.4% 47.2% 0.6% 0.2% 10.8M -453.9M -2.4M 0.18 2.30 104,231 19,176 736,633 470,175 2019-08-23 $15.61 $16.00 48.0% 13.7% 34.7% 20.2% 48.0% 2.2% 0.5% 6.3M -388.5M -2.3M 0.38 2.51 52,560 20,135 760,143 476,461 2019-08-26 $16.09 $16.00 47.6% 13.6% 36.6% 19.5% 47.6% 2.4% 0.7% 8.4M -457.9M -2.3M 0.14 2.66 43,183 5,882 712,859 464,232 2019-08-27 $15.43 $16.00 49.6% 14.2% 37.1% 22.6% 49.8% 2.7% 0.1% 6.4M -365.5M -2.3M 0.25 2.23 120,244 29,575 716,301 468,018 2019-08-28 $15.61 $16.00 47.3% 13.3% 37.5% 17.3% 47.2% 2.4% 0.1% 8.6M -392.1M -2.3M 0.23 2.29 70,685 16,345 741,249 473,424 2019-08-29 $15.86 $16.00 44.2% 12.5% 38.0% 12.4% 44.2% 2.1% 0.7% 11.6M -433.7M -2.3M 0.37 2.38 50,264 18,692 761,037 479,179 2019-08-30 $15.78 $16.00 44.4% 12.6% 37.5% 11.4% 45.7% 1.9% 0.1% 8.2M -412.4M -2.3M 0.60 3.22 26,450 15,961 769,939 489,242
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