SNAP Options History — November 2019

In November 2019, SNAP traded between $13.86 and $15.59. ATM implied volatility averaged 42.8%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded below realized volatility by 0.8% (HV 20d: 43.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 13 of 20 days. Put/call ratio averaged 0.40.

Notable Days

2019-11-22: Highest Volume — 227,010 contracts
2019-11-25: Largest IV drop — 7.0% change
2019-11-21: Highest IV Rank — 12.9%
2019-11-21: Largest Expected Move — 13.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.84	$13.86	$15.59	$15.15	$15.24
Max Pain	$14.18	$14.00	$15.00	$14.50	$15.00
ATM IV	42.8%	40.0%	46.8%	43.1%	40.3%
Expected Move	12.6%	11.9%	13.5%	12.9%	12.1%
HV 20d	43.7%	34.3%	50.2%	47.8%	34.5%
HV 60d	45.4%	44.7%	46.6%	44.9%	46.0%
IV Rank	3.6%	0.0%	12.9%	3.0%	0.8%
IV Percentile	4.1%	0.0%	24.2%	0.4%	0.4%
Term Structure	0.2%	-1.8%	1.5%	0.8%	0.2%
VWIV	44.5%	41.9%	47.4%	45.9%	42.5%
Skew 25d	1.6%	0.7%	2.9%	2.0%	1.5%
Skew 10d	3.7%	1.5%	6.4%	4.6%	2.8%
Call IV 25d	43.2%	40.6%	47.8%	43.2%	40.6%
Put IV 25d	44.9%	42.0%	48.9%	45.2%	42.0%
Bid-Ask Spread %	2.38	1.93	3.90	2.54	2.41
Gamma HHI	0.14	0.10	0.20	0.19	0.12
Net GEX	9.0M	3.1M	16.9M	11.1M	11.6M
Net DEX	-369.8M	-531.5M	-207.8M	-466.6M	-453.4M
Net VEX	-1.9M	-2.1M	-1.7M	-2.0M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.14	1.07	0.36	0.27
Total Volume	81,023.95	22,067	227,010	89,023	22,067
Total OI	1,323,000.35	1,208,462	1,420,435	1,380,547	1,420,435

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
2019-11-01	$15.15	$14.50	43.1%	12.9%	47.8%	3.0%	45.9%	2.0%	0.8%	11.1M	-466.6M	-2.0M	0.36	2.54	65,403	23,620	856,923	523,624
2019-11-04	$15.30	$14.00	43.0%	12.9%	47.8%	2.9%	45.4%	2.6%	0.9%	10.5M	-447.1M	-1.9M	0.37	2.16	60,406	22,377	791,895	493,505
2019-11-05	$14.86	$14.00	43.8%	13.1%	48.6%	4.6%	46.4%	1.7%	0.6%	8.4M	-369.9M	-1.9M	0.75	1.93	38,560	29,028	795,502	503,631
2019-11-06	$14.44	$14.00	42.9%	12.8%	49.8%	2.6%	44.7%	2.9%	1.1%	5.4M	-288.2M	-1.8M	1.07	2.16	43,704	46,860	813,415	519,726
2019-11-07	$14.19	$14.00	44.0%	13.3%	50.2%	5.2%	46.9%	2.1%	1.2%	4.4M	-251.3M	-1.8M	0.42	2.64	45,398	18,880	829,846	515,859
2019-11-08	$14.35	$14.00	42.3%	12.7%	50.2%	1.2%	44.6%	1.9%	1.4%	6.5M	-269.2M	-1.8M	0.82	2.03	31,431	25,651	838,986	518,918
2019-11-11	$14.34	$14.00	41.8%	12.4%	48.8%	0.1%	43.5%	2.0%	0.9%	5.5M	-270.8M	-1.7M	0.39	1.98	31,863	12,318	804,332	497,482
2019-11-12	$14.36	$14.00	41.5%	12.3%	48.2%	0.0%	43.6%	2.4%	1.1%	6.2M	-269.3M	-1.8M	0.36	2.56	32,977	11,778	818,949	499,219
2019-11-13	$14.47	$14.00	41.3%	12.2%	46.8%	0.0%	42.6%	1.9%	1.5%	6.9M	-287.5M	-1.8M	0.18	2.19	48,029	8,779	827,608	498,640
2019-11-14	$14.32	$14.00	41.0%	12.1%	46.9%	0.0%	42.4%	1.9%	1.5%	5.6M	-275.1M	-1.8M	0.27	2.36	33,425	9,117	836,920	498,486
2019-11-15	$13.86	$14.00	42.5%	12.5%	47.9%	3.3%	44.3%	1.7%	0.8%	3.1M	-207.8M	-1.7M	0.43	3.90	76,935	33,292	847,380	499,219
2019-11-18	$14.64	$14.00	44.1%	12.7%	44.4%	6.9%	44.6%	0.8%	-1.6%	6.2M	-331.9M	-1.7M	0.30	2.21	111,623	33,552	750,343	458,119
2019-11-19	$15.20	$14.00	44.6%	12.8%	43.9%	8.1%	45.3%	1.1%	-1.8%	8.6M	-424.6M	-1.9M	0.48	2.07	70,642	33,907	760,446	468,671
2019-11-20	$15.31	$14.00	45.3%	13.0%	38.0%	9.5%	45.6%	1.3%	-1.4%	9.5M	-433.5M	-1.9M	0.32	2.88	61,049	19,803	762,564	476,140
2019-11-21	$15.09	$14.00	46.8%	13.5%	38.6%	12.9%	47.4%	1.1%	-1.5%	9.3M	-407.3M	-1.8M	0.20	2.23	80,793	16,333	770,203	479,002
2019-11-22	$15.30	$14.50	45.1%	13.1%	37.6%	9.2%	45.8%	1.0%	-1.5%	11.1M	-446.0M	-1.9M	0.14	2.07	199,089	27,921	816,216	483,906
2019-11-25	$15.59	$14.50	41.9%	12.2%	34.3%	2.2%	43.3%	0.7%	-0.1%	16.1M	-531.5M	-2.1M	0.20	2.27	72,977	14,341	911,258	475,869
2019-11-26	$15.44	$14.50	40.9%	12.0%	34.6%	0.0%	42.2%	0.8%	-0.1%	16.2M	-490.2M	-2.1M	0.29	2.23	29,712	8,763	914,299	479,822
2019-11-27	$15.36	$14.50	40.0%	11.9%	34.4%	0.0%	41.9%	1.6%	0.0%	16.9M	-475.8M	-2.0M	0.31	2.75	51,996	16,080	921,739	480,910
2019-11-29	$15.24	$15.00	40.3%	12.1%	34.5%	0.8%	42.5%	1.5%	0.2%	11.6M	-453.4M	-2.0M	0.27	2.41	17,438	4,629	934,723	485,712