SNAP Options History — December 2019

In December 2019, SNAP traded between $14.07 and $16.34. ATM implied volatility averaged 39.9%, placing in the 3.9% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded above realized volatility by 6.7% (HV 20d: 33.2%). Max pain ranged from $10.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.31.

Notable Days

2019-12-26: Highest Volume — 171,707 contracts
2019-12-26: Largest IV spike — 6.9% change
2019-12-30: Highest IV Rank — 12.0%
2019-12-03: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.13	$14.07	$16.34	$14.68	$16.34
Max Pain	$11.38	$10.00	$15.00	$15.00	$11.00
ATM IV	39.9%	37.5%	43.4%	42.3%	42.8%
Expected Move	11.5%	10.7%	12.9%	12.5%	10.9%
HV 20d	33.2%	26.9%	39.8%	36.7%	26.9%
HV 60d	40.9%	37.5%	45.7%	45.7%	37.7%
IV Rank	3.9%	0.0%	12.0%	5.1%	10.7%
IV Percentile	3.0%	0.0%	13.5%	4.0%	11.9%
Term Structure	3.2%	0.4%	17.5%	1.0%	17.5%
VWIV	41.0%	37.9%	45.2%	43.9%	38.6%
Skew 25d	0.7%	-1.0%	2.3%	1.8%	1.1%
Skew 10d	1.1%	-21.8%	5.8%	4.8%	1.5%
Call IV 25d	40.7%	37.6%	45.1%	42.1%	44.4%
Put IV 25d	41.4%	38.9%	46.0%	44.0%	45.5%
Bid-Ask Spread %	1.80	1.40	2.38	2.38	1.92
Gamma HHI	0.16	0.11	0.51	0.11	0.14
Net GEX	14.6M	5.8M	40.1M	7.9M	18.5M
Net DEX	-452.2M	-668.8M	-247.8M	-335.3M	-668.8M
Net VEX	-1.9M	-2.1M	-1.7M	-1.8M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.11	0.59	0.18	0.51
Total Volume	86,341.857	15,457	171,707	123,330	82,480
Total OI	1,523,154	1,364,085	1,635,375	1,364,085	1,540,674

Daily Data (21 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
2019-12-02	$14.68	$15.00	42.3%	12.5%	36.7%	5.1%	43.9%	1.8%	1.0%	7.9M	-335.3M	-1.8M	0.18	2.38	104,349	18,981	892,383	471,702
2019-12-03	$14.93	$15.00	42.5%	12.9%	37.1%	5.5%	45.2%	2.1%	1.0%	11.4M	-385.0M	-2.0M	0.13	2.13	141,529	18,743	928,773	480,730
2019-12-04	$15.02	$15.00	40.8%	12.0%	35.7%	1.7%	42.3%	2.3%	1.1%	13.3M	-424.2M	-2.1M	0.29	2.14	51,912	15,104	1,020,661	488,427
2019-12-05	$14.77	$11.00	39.6%	12.0%	34.6%	0.0%	43.8%	1.2%	1.7%	9.6M	-367.2M	-2.0M	0.25	1.52	34,986	8,789	1,029,358	492,379
2019-12-06	$14.76	$11.00	37.6%	11.4%	33.9%	0.0%	41.3%	1.7%	1.3%	10.6M	-357.6M	-1.9M	0.59	1.56	44,935	26,724	1,046,933	493,680
2019-12-09	$14.28	$11.00	40.1%	12.1%	35.9%	5.0%	42.7%	1.3%	1.7%	6.6M	-279.5M	-1.8M	0.25	1.58	43,977	11,032	1,008,913	480,854
2019-12-10	$14.07	$11.00	41.0%	12.2%	36.3%	6.9%	42.7%	0.9%	1.5%	5.8M	-247.8M	-1.7M	0.30	1.88	37,627	11,137	1,025,903	485,672
2019-12-11	$14.18	$11.00	40.0%	11.9%	36.4%	4.9%	41.8%	1.5%	2.1%	6.9M	-266.0M	-1.7M	0.24	1.82	34,025	8,116	1,041,883	489,784
2019-12-12	$14.41	$11.00	39.7%	11.7%	36.8%	4.3%	41.5%	1.5%	1.5%	8.1M	-304.8M	-1.7M	0.16	1.43	74,094	11,573	1,048,335	490,639
2019-12-13	$15.06	$11.00	38.5%	11.3%	39.8%	1.8%	41.1%	0.8%	1.3%	11.3M	-471.0M	-1.9M	0.42	1.91	112,378	46,866	1,078,697	492,241
2019-12-16	$15.11	$10.00	38.4%	11.1%	37.5%	1.6%	39.9%	-0.3%	0.4%	16.6M	-470.7M	-1.9M	0.38	1.99	47,927	18,433	1,064,785	481,017
2019-12-17	$15.10	$10.00	38.1%	11.0%	32.5%	0.9%	40.1%	-0.3%	0.8%	16.9M	-461.3M	-1.8M	0.21	1.56	58,014	12,372	1,080,353	487,559
2019-12-18	$15.11	$10.00	37.8%	10.8%	29.5%	0.5%	40.0%	-0.3%	1.2%	17.5M	-462.3M	-1.8M	0.40	1.40	67,187	26,567	1,086,806	489,575
2019-12-19	$15.41	$10.00	38.8%	11.1%	30.3%	2.5%	40.2%	-0.2%	0.9%	22.5M	-545.6M	-1.9M	0.11	1.65	132,620	14,308	1,115,186	486,007
2019-12-20	$15.57	$11.00	37.5%	10.7%	30.0%	0.0%	38.2%	0.7%	0.9%	40.1M	-623.9M	-1.9M	0.25	1.75	77,047	19,469	1,142,816	492,559
2019-12-23	$15.48	$11.00	37.8%	10.7%	29.7%	0.6%	38.9%	0.5%	4.2%	14.4M	-494.6M	-1.9M	0.47	1.80	35,723	16,937	1,013,112	455,045
2019-12-24	$15.64	$11.00	38.6%	10.8%	29.2%	2.2%	37.9%	0.1%	3.6%	15.7M	-523.3M	-1.9M	0.46	1.83	10,621	4,836	1,022,115	465,546
2019-12-26	$15.93	$11.00	41.3%	11.3%	29.6%	7.7%	40.4%	-1.0%	4.1%	17.1M	-598.1M	-2.0M	0.12	1.86	153,564	18,143	1,023,793	467,472
2019-12-27	$16.03	$11.00	41.3%	11.2%	29.5%	7.7%	40.5%	-0.7%	4.5%	20.3M	-644.0M	-2.1M	0.37	2.00	69,018	25,687	1,072,694	484,168
2019-12-30	$15.90	$11.00	43.4%	11.1%	29.5%	12.0%	39.7%	0.9%	15.1%	14.6M	-564.6M	-2.0M	0.46	1.78	44,634	20,715	1,049,485	477,520
2019-12-31	$16.34	$11.00	42.8%	10.9%	26.9%	10.7%	38.6%	1.1%	17.5%	18.5M	-668.8M	-2.1M	0.51	1.92	54,588	27,892	1,058,212	482,462