SNAP Options History — February 2020

In February 2020, SNAP traded between $13.89 and $18.94. ATM implied volatility averaged 47.5%, placing in the 21.4% IV rank vs the trailing year. The 30-day expected move averaged 14.2%. IV traded below realized volatility by 9.8% (HV 20d: 57.3%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 2 of 19 days. Put/call ratio averaged 0.49.

Notable Days

  • 2020-02-05: Highest Volume — 437,884 contracts
  • 2020-02-05: Largest IV drop — 28.9% change
  • 2020-02-28: Highest IV Rank — 66.9%
  • 2020-02-04: Largest Expected Move — 23.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.83$13.89$18.94$18.28$13.89
Max Pain$16.95$16.00$17.00$17.00$16.00
ATM IV47.5%36.7%69.6%65.2%69.6%
Expected Move14.2%10.5%23.3%22.1%21.5%
HV 20d57.3%29.7%62.9%29.7%62.9%
HV 60d41.5%30.7%45.0%30.8%45.0%
IV Rank21.4%0.0%66.9%57.2%66.9%
IV Percentile31.7%0.0%84.9%78.6%84.9%
Term Structure-1.0%-4.2%0.6%-2.7%-3.1%
VWIV49.9%37.2%81.7%77.7%73.2%
Skew 25d1.7%-0.7%7.5%0.6%7.5%
Skew 10d3.2%-2.1%16.1%-1.3%16.1%
Call IV 25d47.4%37.2%68.1%64.8%68.1%
Put IV 25d49.1%37.7%75.6%65.4%75.6%
Bid-Ask Spread %2.131.683.322.162.72
Gamma HHI0.160.110.200.180.11
Net GEX11.4M3.1M16.7M14.6M3.1M
Net DEX-251.3M-577.9M4.2M-462.5M4.2M
Net VEX-2.3M-2.6M-1.8M-2.4M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.490.221.280.450.52
Total Volume130,534.47439,032437,88494,424130,989
Total OI1,082,379.316923,0611,226,999923,0611,048,118

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$18.28$17.0065.2%22.1%29.7%57.2%77.7%0.6%-2.7%14.6M-462.5M-2.4M0.452.1665,26329,161710,352212,709
2020-02-04$18.94$17.0066.4%23.3%31.5%59.8%81.7%-0.1%-4.2%16.7M-577.9M-2.6M0.282.14260,60874,235743,026226,242
2020-02-05$16.40$17.0047.3%13.0%61.6%20.1%47.3%-0.7%-1.7%6.8M-108.1M-1.9M0.462.21299,485138,399862,538271,584
2020-02-06$16.96$17.0043.0%12.2%62.6%11.4%43.4%0.2%-0.3%12.0M-219.6M-2.2M0.432.10105,70545,121926,164296,908
2020-02-07$17.10$17.0041.5%11.7%61.5%8.1%40.9%1.1%-0.1%14.4M-235.4M-2.1M0.753.3281,59961,257919,366307,633
2020-02-10$17.48$17.0040.5%11.6%62.0%6.2%40.2%0.7%-0.1%14.1M-321.3M-2.2M0.221.8495,93520,870810,324257,066
2020-02-11$17.63$17.0040.2%11.5%60.8%5.6%41.0%1.0%0.0%15.2M-351.0M-2.3M0.241.76115,64027,869817,272259,364
2020-02-12$17.38$17.0039.3%11.3%61.0%3.6%39.8%1.1%-0.1%14.1M-318.9M-2.5M0.321.7291,05428,918881,768271,613
2020-02-13$17.55$17.0038.3%11.0%61.0%1.5%38.5%0.6%-0.0%16.5M-364.0M-2.6M0.521.8338,57920,157897,581277,992
2020-02-14$17.62$17.0036.7%10.5%61.0%0.0%37.2%0.5%-0.1%15.8M-385.7M-2.6M0.722.0261,26744,239902,241282,515
2020-02-18$17.14$17.0039.6%11.4%59.0%5.9%39.9%1.0%-0.3%12.0M-266.5M-2.4M0.331.8079,31826,244823,737254,540
2020-02-19$17.18$17.0039.2%11.2%59.0%5.1%39.7%0.7%-0.3%13.5M-268.3M-2.4M0.342.1351,62117,519840,319261,474
2020-02-20$16.99$17.0041.7%12.0%58.9%10.2%42.0%2.0%-0.2%12.6M-254.5M-2.4M0.271.7751,56713,810846,757260,931
2020-02-21$16.68$17.0043.5%12.4%59.0%13.8%43.8%2.6%0.6%9.9M-198.7M-2.3M1.281.6836,40446,684856,958261,501
2020-02-24$16.21$17.0049.1%14.4%59.5%25.3%50.1%2.9%-1.1%7.4M-156.5M-2.2M0.622.1277,30247,830741,534224,471
2020-02-25$15.91$17.0051.2%15.2%59.3%29.5%53.5%3.0%-1.4%7.4M-133.4M-2.2M0.312.6751,18715,774767,842238,296
2020-02-26$15.64$17.0052.3%15.8%58.6%31.6%55.3%2.8%-1.1%6.9M-118.2M-2.1M0.372.0728,59010,442758,469221,199
2020-02-27$14.78$17.0058.7%18.1%60.4%44.8%62.7%4.4%-2.1%4.6M-39.2M-1.9M0.882.4347,62641,887781,513243,290
2020-02-28$13.89$16.0069.6%21.5%62.9%66.9%73.2%7.5%-3.1%3.1M4.2M-1.8M0.522.7286,26744,722796,942251,176