SNAP Options History — October 2019

In October 2019, SNAP traded between $13.28 and $15.55. ATM implied volatility averaged 68.9%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 23.4% (HV 20d: 45.5%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.36.

Notable Days

2019-10-23: Highest Volume — 387,967 contracts
2019-10-23: Largest IV drop — 41.4% change
2019-10-22: Highest IV Rank — 77.8%
2019-10-22: Largest Expected Move — 26.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.24	$13.28	$15.55	$15.55	$14.97
Max Pain	$14.78	$14.00	$15.00	$15.00	$14.50
ATM IV	68.9%	44.4%	85.9%	76.7%	44.9%
Expected Move	19.0%	13.3%	26.8%	15.7%	13.3%
HV 20d	45.5%	33.8%	54.8%	51.0%	48.0%
HV 60d	49.5%	40.9%	54.5%	53.1%	46.1%
IV Rank	47.9%	6.0%	77.8%	61.0%	7.1%
IV Percentile	64.9%	4.0%	98.4%	83.7%	6.7%
Term Structure	-3.4%	-11.8%	0.9%	-3.4%	0.9%
VWIV	67.2%	46.9%	94.2%	59.3%	46.9%
Skew 25d	2.1%	-1.7%	6.2%	-1.7%	2.8%
Skew 10d	7.3%	-1.9%	51.6%	-1.9%	4.1%
Call IV 25d	69.2%	44.8%	85.4%	76.5%	44.8%
Put IV 25d	71.3%	46.9%	88.4%	74.8%	47.6%
Bid-Ask Spread %	3.86	1.98	15.83	7.46	4.07
Gamma HHI	0.11	0.08	0.19	0.10	0.19
Net GEX	6.3M	2.1M	12.7M	8.5M	12.7M
Net DEX	-276.7M	-428.3M	-139.0M	-393.8M	-428.3M
Net VEX	-2.0M	-2.2M	-1.8M	-2.2M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.17	0.55	0.29	0.55
Total Volume	129,355.652	59,268	387,967	86,191	123,781
Total OI	1,439,190	1,207,517	1,573,617	1,368,392	1,348,230

Daily Data (23 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
2019-10-01	$15.55	$15.00	76.7%	15.7%	51.0%	61.0%	59.3%	-1.7%	-3.4%	8.5M	-393.8M	-2.2M	0.29	7.46	67,045	19,146	864,021	504,371
2019-10-02	$14.81	$15.00	81.4%	17.8%	53.8%	69.3%	64.9%	3.3%	-2.2%	5.5M	-289.7M	-2.2M	0.34	6.10	86,104	29,555	877,287	507,482
2019-10-03	$14.32	$15.00	82.6%	22.1%	54.8%	71.4%	76.3%	6.2%	-11.8%	4.2M	-226.6M	-2.1M	0.46	2.61	156,088	72,484	912,602	508,124
2019-10-04	$14.56	$15.00	83.7%	21.3%	52.3%	73.2%	74.4%	4.4%	-5.9%	5.2M	-294.3M	-2.2M	0.35	2.53	104,370	36,016	983,574	541,310
2019-10-07	$14.44	$15.00	79.0%	21.1%	44.4%	65.1%	74.1%	4.0%	-3.8%	5.7M	-284.7M	-2.1M	0.51	2.38	41,757	21,297	944,715	527,321
2019-10-08	$14.19	$15.00	80.7%	21.5%	44.2%	68.1%	74.3%	3.3%	-4.6%	4.6M	-246.0M	-2.1M	0.41	2.73	45,611	18,612	957,986	535,755
2019-10-09	$14.15	$15.00	82.2%	22.2%	43.0%	70.7%	77.6%	5.0%	-3.7%	4.6M	-241.7M	-2.1M	0.17	15.83	58,985	9,879	965,852	539,313
2019-10-10	$14.07	$15.00	77.8%	21.0%	41.6%	63.1%	74.1%	3.4%	-5.1%	5.5M	-240.8M	-2.1M	0.22	3.00	48,564	10,815	990,107	541,810
2019-10-11	$14.22	$15.00	72.6%	20.3%	41.3%	54.2%	70.5%	0.2%	-5.2%	6.9M	-259.6M	-2.0M	0.35	9.38	52,772	18,541	1,008,665	544,864
2019-10-14	$13.78	$15.00	73.5%	20.6%	42.2%	55.9%	73.0%	2.1%	-2.8%	4.5M	-198.7M	-1.9M	0.28	2.28	55,003	15,398	929,559	521,572
2019-10-15	$14.10	$15.00	71.3%	20.2%	33.8%	52.1%	71.3%	1.1%	-2.8%	6.5M	-250.0M	-1.9M	0.32	2.61	44,841	14,427	950,018	527,178
2019-10-16	$13.68	$15.00	77.8%	22.3%	33.8%	63.5%	78.7%	2.1%	-4.2%	5.1M	-209.2M	-1.9M	0.26	2.59	87,434	22,864	966,648	530,924
2019-10-17	$13.80	$15.00	74.1%	21.4%	34.5%	57.1%	76.6%	1.5%	-3.7%	6.5M	-220.4M	-1.9M	0.28	2.90	75,251	20,699	1,003,931	536,881
2019-10-18	$13.53	$15.00	80.7%	23.6%	33.8%	68.6%	84.4%	0.2%	-5.1%	2.1M	-196.3M	-2.0M	0.41	2.28	105,579	43,336	1,035,026	538,591
2019-10-21	$14.57	$15.00	78.4%	23.9%	45.3%	64.6%	84.1%	1.8%	-4.7%	5.8M	-352.2M	-2.0M	0.45	2.27	110,057	48,975	748,543	458,974
2019-10-22	$14.03	$15.00	85.9%	26.8%	46.5%	77.8%	94.2%	1.6%	-5.8%	4.9M	-299.2M	-2.1M	0.49	2.38	253,154	123,616	774,698	486,522
2019-10-23	$13.28	$15.00	50.3%	14.3%	48.9%	15.1%	50.8%	1.3%	-1.3%	2.4M	-139.0M	-1.8M	0.45	2.20	267,316	120,651	903,870	555,215
2019-10-24	$13.49	$14.00	48.7%	14.0%	49.9%	12.4%	49.9%	0.2%	-1.9%	5.1M	-190.9M	-1.8M	0.54	1.98	101,769	55,411	956,439	557,451
2019-10-25	$13.90	$14.00	45.7%	13.3%	48.5%	7.0%	47.0%	1.4%	-0.9%	9.1M	-262.9M	-1.9M	0.41	2.43	85,673	34,948	974,971	568,195
2019-10-28	$14.60	$14.00	45.5%	13.4%	52.4%	8.4%	47.6%	1.4%	0.3%	9.0M	-365.6M	-2.0M	0.30	2.74	83,108	25,134	825,446	498,231
2019-10-29	$14.64	$14.00	45.9%	13.7%	52.2%	9.4%	48.7%	1.4%	-0.3%	9.0M	-368.5M	-1.9M	0.31	3.16	61,764	19,258	822,271	497,685
2019-10-30	$14.86	$14.50	44.4%	13.5%	49.6%	6.0%	47.0%	1.9%	0.3%	10.7M	-405.0M	-1.9M	0.21	2.84	64,378	13,714	826,529	502,613
2019-10-31	$14.97	$14.50	44.9%	13.3%	48.0%	7.1%	46.9%	2.8%	0.9%	12.7M	-428.3M	-2.0M	0.55	4.07	79,675	44,106	843,774	504,456