SNAP Options History — January 2020

In January 2020, SNAP traded between $16.71 and $19.19. ATM implied volatility averaged 60.8%, placing in the 48.0% IV rank vs the trailing year. The 30-day expected move averaged 16.9%. IV traded above realized volatility by 35.2% (HV 20d: 25.6%). Max pain ranged from $12.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.31.

Notable Days

  • 2020-01-09: Highest Volume — 290,934 contracts
  • 2020-01-06: Largest IV spike — 13.9% change
  • 2020-01-27: Highest IV Rank — 57.9%
  • 2020-01-31: Largest Expected Move — 20.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.11$16.71$19.19$16.73$18.34
Max Pain$15.62$12.00$16.00$12.00$16.00
ATM IV60.8%47.5%65.5%47.5%64.2%
Expected Move16.9%11.0%20.3%11.0%20.3%
HV 20d25.6%21.8%29.6%27.3%29.6%
HV 60d34.5%30.1%38.0%37.9%31.5%
IV Rank48.0%20.4%57.9%20.4%55.1%
IV Percentile69.0%36.9%77.8%36.9%77.4%
Term Structure-2.0%-4.7%16.5%16.5%-3.2%
VWIV59.5%39.5%71.3%39.5%71.3%
Skew 25d-0.3%-1.6%1.1%0.4%0.1%
Skew 10d0.5%-4.8%28.3%1.0%-0.0%
Call IV 25d62.0%45.0%66.2%45.0%65.4%
Put IV 25d61.6%45.4%66.2%45.4%65.5%
Bid-Ask Spread %2.191.523.891.662.43
Gamma HHI0.180.140.270.140.19
Net GEX22.8M14.9M34.2M20.4M14.9M
Net DEX-768.5M-1.23B-477.7M-747.6M-477.7M
Net VEX-2.4M-2.6M-2.0M-2.1M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.310.130.720.320.72
Total Volume124,111.14348,325290,934115,401108,078
Total OI1,337,153.714908,5951,695,8001,556,4131,003,150

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-01-02$16.73$12.0047.5%11.0%27.3%20.4%39.5%0.4%16.5%20.4M-747.6M-2.1M0.321.6687,26528,1361,062,251494,162
2020-01-03$16.78$12.0050.2%11.1%27.4%25.9%40.3%0.5%15.1%21.6M-751.1M-2.1M0.351.73104,56036,5981,070,737500,369
2020-01-06$16.71$16.0057.2%16.0%26.3%40.2%56.5%0.6%-3.5%21.3M-703.9M-2.1M0.422.3533,94214,3831,068,642485,835
2020-01-07$17.01$16.0060.5%16.2%26.5%46.9%56.7%1.1%-3.3%24.0M-778.8M-2.1M0.412.5837,73815,6231,075,718489,706
2020-01-08$16.74$16.0063.2%16.1%23.6%52.4%56.5%0.1%-3.7%22.8M-707.3M-2.0M0.292.4190,19726,5771,079,277490,261
2020-01-09$17.30$16.0062.9%16.2%23.6%51.8%56.7%0.5%-4.1%23.4M-855.5M-2.2M0.283.89226,97563,9591,098,706495,105
2020-01-10$17.36$16.0062.9%16.2%23.7%51.9%56.7%-1.0%-4.5%23.3M-841.2M-2.2M0.172.11145,39024,7031,130,107507,487
2020-01-13$17.97$16.0062.6%16.4%25.2%51.9%57.4%-1.1%-4.7%26.8M-945.9M-2.3M0.132.67137,19417,9361,129,420497,361
2020-01-14$17.98$16.0062.1%16.4%22.2%50.8%57.4%-1.2%-4.1%26.4M-953.4M-2.4M0.281.8172,80220,3381,162,486504,256
2020-01-15$18.12$16.0061.0%16.3%22.1%48.5%57.2%-1.4%-4.2%26.5M-972.3M-2.4M0.322.1485,72027,8321,163,912511,765
2020-01-16$18.28$16.0059.5%16.0%21.8%45.5%56.2%-1.1%-4.4%27.6M-994.2M-2.4M0.212.05112,18223,5441,170,607515,538
2020-01-17$19.12$16.0061.1%16.6%24.8%48.6%58.3%-0.5%-4.5%34.2M-1.23B-2.5M0.191.52216,59842,2041,174,045521,755
2020-01-21$19.03$16.0063.7%18.0%25.3%54.1%63.4%-0.9%-4.0%21.4M-684.3M-2.5M0.231.82100,02423,403718,932189,663
2020-01-22$19.18$16.0062.3%17.9%25.3%51.2%63.4%-1.6%-4.0%24.5M-728.9M-2.6M0.252.33113,90429,020756,257197,500
2020-01-23$19.19$16.0061.7%17.9%24.9%49.9%62.9%-1.3%-3.8%22.4M-713.4M-2.6M0.221.9075,24716,202775,179212,526
2020-01-24$19.05$16.0064.3%18.8%25.7%55.4%66.3%0.0%-4.5%21.0M-683.0M-2.6M0.421.90114,74847,631778,982218,170
2020-01-27$18.61$16.0065.5%19.8%28.0%57.9%70.3%0.6%-3.3%17.9M-549.5M-2.5M0.272.0958,49716,018737,160199,630
2020-01-28$18.94$16.0061.5%18.8%28.2%49.5%66.1%-0.4%-3.2%20.1M-608.6M-2.5M0.322.1340,36812,901750,434206,221
2020-01-29$19.13$16.0061.5%19.2%27.6%49.6%67.3%-0.3%-3.0%20.5M-645.8M-2.5M0.342.1638,88013,243751,171212,091
2020-01-30$18.77$16.0062.0%19.5%28.4%50.5%68.6%-0.2%-3.2%17.0M-564.9M-2.5M0.272.3483,18122,593755,109218,545
2020-01-31$18.34$16.0064.2%20.3%29.6%55.1%71.3%0.1%-3.2%14.9M-477.7M-2.5M0.722.4362,71145,367774,550228,600