SNAP Options History — September 2019

In September 2019, SNAP traded between $14.99 and $17.09. ATM implied volatility averaged 54.1%, placing in the 21.9% IV rank vs the trailing year. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 9.2% (HV 20d: 44.9%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.34.

Notable Days

  • 2019-09-24: Highest Volume — 296,134 contracts
  • 2019-09-23: Largest IV spike — 21.5% change
  • 2019-09-27: Highest IV Rank — 58.4%
  • 2019-09-27: Largest Expected Move — 16.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.26$14.99$17.09$15.89$15.86
Max Pain$15.10$15.00$16.00$16.00$15.00
ATM IV54.1%43.7%75.2%47.9%75.1%
Expected Move13.8%12.5%16.2%14.1%14.5%
HV 20d44.9%33.8%50.7%36.2%50.6%
HV 60d52.7%51.4%54.7%51.6%52.9%
IV Rank21.9%3.5%58.4%15.6%58.3%
IV Percentile36.9%2.0%81.0%23.0%80.6%
Term Structure4.0%-4.0%18.9%-0.1%-4.0%
VWIV49.4%44.3%58.6%49.7%54.2%
Skew 25d1.9%0.1%8.5%1.7%3.0%
Skew 10d3.4%-4.1%17.4%3.6%5.1%
Call IV 25d54.5%44.3%77.6%48.1%73.9%
Put IV 25d56.4%46.0%77.7%49.7%76.9%
Bid-Ask Spread %2.991.8210.672.5710.67
Gamma HHI0.180.110.760.120.11
Net GEX16.9M7.2M67.4M8.4M10.0M
Net DEX-556.1M-841.5M-325.3M-432.8M-436.6M
Net VEX-2.3M-2.3M-2.2M-2.3M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.340.140.610.430.48
Total Volume134,145.242,574296,13497,32687,126
Total OI1,352,1161,212,7941,476,8461,212,7941,331,171

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$15.89$16.0047.9%14.1%36.2%15.6%49.7%1.7%-0.1%8.4M-432.8M-2.3M0.432.5767,88429,442734,542478,252
2019-09-04$15.86$16.0046.0%13.1%36.1%7.5%47.0%2.4%0.1%8.4M-428.1M-2.2M0.392.9130,65511,919745,292488,189
2019-09-05$15.89$15.0044.8%13.4%35.0%5.4%47.1%1.4%0.4%8.6M-430.8M-2.2M0.152.58117,26517,810749,461492,922
2019-09-06$16.61$15.0045.3%13.5%33.8%6.2%49.4%1.5%0.1%15.8M-615.3M-2.3M0.141.95210,16228,644809,727498,060
2019-09-09$15.32$15.0049.7%14.6%43.6%14.0%51.7%1.3%1.4%7.8M-362.4M-2.3M0.273.13188,27950,483827,650497,175
2019-09-10$14.99$15.0050.4%14.6%43.8%15.2%51.9%1.6%0.6%7.2M-325.3M-2.2M0.292.79125,31835,957888,442505,239
2019-09-11$15.35$15.0047.8%14.0%44.6%10.6%49.1%1.5%1.0%12.1M-413.4M-2.3M0.233.1368,41815,439938,869513,532
2019-09-12$15.74$15.0045.6%13.2%44.4%6.9%47.0%1.1%0.8%15.2M-497.7M-2.3M0.301.8391,58027,140950,874518,594
2019-09-13$15.99$15.0043.7%12.5%43.9%3.5%44.3%1.7%-0.5%16.0M-547.1M-2.3M0.451.9762,62728,483952,289524,557
2019-09-16$15.74$15.0045.1%12.9%44.3%5.9%47.0%1.7%17.3%14.2M-472.0M-2.2M0.292.4650,72714,849880,707507,514
2019-09-17$16.85$15.0047.0%13.5%50.5%9.3%48.4%0.9%16.1%22.6M-749.2M-2.3M0.251.82203,07850,524893,759508,369
2019-09-18$17.02$15.0047.8%13.7%50.6%10.7%48.4%0.4%16.2%24.9M-787.4M-2.3M0.393.0887,59533,748906,131529,736
2019-09-19$16.88$15.0049.1%13.0%50.7%12.9%46.0%0.9%17.6%30.1M-747.7M-2.3M0.362.7493,54833,713917,369534,754
2019-09-20$17.05$15.0051.0%12.8%50.7%16.1%45.8%1.2%18.9%67.4M-841.5M-2.2M0.212.65100,07021,283926,810539,904
2019-09-23$17.09$15.0061.9%12.9%49.3%35.3%46.5%8.5%-1.2%14.2M-654.2M-2.2M0.582.0346,68027,210755,565482,471
2019-09-24$17.02$15.0068.5%14.6%48.4%46.7%52.1%1.7%-0.8%13.5M-646.4M-2.3M0.282.45231,48464,650772,278487,438
2019-09-25$17.09$15.0070.7%14.2%45.4%50.5%50.7%3.8%-1.0%14.9M-660.4M-2.3M0.612.8471,88443,660808,512490,854
2019-09-26$16.96$15.0070.3%14.0%45.6%49.8%52.2%1.6%-0.7%14.9M-629.3M-2.3M0.342.8140,61914,006822,297497,031
2019-09-27$15.98$15.0075.2%16.2%50.6%58.4%58.6%0.1%-1.8%11.2M-445.2M-2.3M0.463.43108,78050,165835,959500,025
2019-09-30$15.86$15.0075.1%14.5%50.6%58.3%54.2%3.0%-4.0%10.0M-436.6M-2.2M0.4810.6759,03528,091839,206491,965