SNAP Options History — March 2020

In March 2020, SNAP traded between $8.28 and $14.28. ATM implied volatility averaged 93.1%, placing in the 74.3% IV rank vs the trailing year. The 30-day expected move averaged 25.6%. IV traded above realized volatility by 8.6% (HV 20d: 84.5%). Max pain ranged from $14.00 to $16.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.63.

Notable Days

2020-03-19: Highest Volume — 311,232 contracts
2020-03-16: Largest IV spike — 23.4% change
2020-03-09: Highest IV Rank — 100.0%
2020-03-18: Largest Expected Move — 37.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.37	$8.28	$14.28	$14.28	$11.99
Max Pain	$15.09	$14.00	$16.00	$16.00	$14.00
ATM IV	93.1%	56.7%	132.3%	56.7%	89.4%
Expected Move	25.6%	16.9%	37.9%	16.9%	22.4%
HV 20d	84.5%	40.8%	117.3%	64.6%	116.3%
HV 60d	63.8%	45.2%	78.6%	45.2%	78.6%
IV Rank	74.3%	40.6%	100.0%	40.6%	55.1%
IV Percentile	93.2%	65.5%	100.0%	65.5%	94.0%
Term Structure	-1.2%	-14.1%	29.9%	-1.0%	29.9%
VWIV	88.5%	59.3%	131.8%	59.3%	81.3%
Skew 25d	17.5%	5.4%	30.2%	5.4%	21.8%
Skew 10d	34.5%	10.9%	67.1%	11.3%	67.1%
Call IV 25d	85.6%	54.4%	114.8%	54.4%	83.2%
Put IV 25d	103.1%	59.9%	144.5%	59.9%	105.0%
Bid-Ask Spread %	3.22	1.96	4.77	2.31	4.57
Gamma HHI	0.08	0.06	0.25	0.08	0.07
Net GEX	1.5M	-718.7K	4.9M	2.7M	2.1M
Net DEX	18.4M	-77.2M	87.6M	-4.8M	-49.0M
Net VEX	-1.4M	-1.8M	-966.3K	-1.8M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.17	1.16	0.39	0.61
Total Volume	92,503.591	42,184	311,232	58,066	67,798
Total OI	1,027,182.773	912,895	1,099,730	1,011,595	950,229

Daily Data (22 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
2020-03-02	$14.28	$16.00	56.7%	16.9%	64.6%	40.6%	59.3%	5.4%	-1.0%	2.7M	-4.8M	-1.8M	0.39	2.31	41,632	16,434	760,645	250,950
2020-03-03	$13.66	$16.00	63.1%	19.3%	65.4%	53.6%	65.3%	6.2%	-1.2%	2.5M	17.5M	-1.6M	0.44	2.79	55,419	24,318	776,589	251,276
2020-03-04	$13.48	$16.00	58.7%	17.6%	62.7%	44.8%	61.0%	5.5%	-2.3%	2.7M	30.1M	-1.6M	0.34	2.14	70,020	23,576	794,077	257,106
2020-03-05	$13.64	$16.00	67.9%	18.4%	41.8%	63.4%	64.2%	7.1%	-1.6%	4.9M	-11.1M	-1.7M	0.35	1.96	80,506	28,039	815,319	256,338
2020-03-06	$12.99	$16.00	75.6%	20.7%	40.8%	79.0%	71.7%	8.4%	-1.0%	1.6M	31.7M	-1.7M	0.56	3.13	58,960	32,862	825,646	265,222
2020-03-09	$11.53	$16.00	90.6%	24.0%	54.6%	100.0%	83.5%	16.6%	-6.3%	1.3M	53.8M	-1.4M	0.35	3.79	49,590	17,453	778,685	244,591
2020-03-10	$11.85	$16.00	83.4%	22.8%	55.2%	86.6%	78.1%	10.3%	-4.4%	1.4M	40.4M	-1.4M	0.74	2.56	37,793	28,121	794,331	245,392
2020-03-11	$10.82	$16.00	92.2%	25.6%	59.6%	100.0%	89.6%	13.8%	-1.9%	846.5K	67.3M	-1.3M	0.60	2.73	42,229	25,323	805,414	249,794
2020-03-12	$10.39	$16.00	108.6%	29.8%	59.8%	100.0%	99.0%	19.2%	-4.7%	709.2K	72.5M	-1.3M	1.12	1.96	39,377	43,915	817,226	256,627
2020-03-13	$11.05	$15.00	94.7%	26.9%	66.3%	80.7%	91.1%	28.0%	-4.5%	-718.7K	59.4M	-1.3M	0.81	4.23	34,575	28,030	822,386	267,236
2020-03-16	$9.19	$15.00	116.9%	33.2%	86.7%	100.0%	111.3%	28.4%	-6.2%	193.4K	87.6M	-1.0M	0.69	2.49	51,137	35,371	775,984	254,887
2020-03-17	$8.89	$15.00	114.3%	32.6%	86.7%	96.8%	111.0%	22.7%	1.2%	359.1K	78.6M	-973.7K	0.41	2.62	66,754	27,331	800,993	248,765
2020-03-18	$8.28	$15.00	132.3%	37.9%	86.6%	100.0%	131.8%	29.8%	-11.6%	251.3K	73.2M	-966.3K	0.87	3.20	40,289	35,240	829,848	257,334
2020-03-19	$9.44	$15.00	121.6%	34.9%	104.9%	88.8%	112.7%	24.0%	-3.2%	869.4K	35.6M	-1.2M	0.17	3.40	266,806	44,426	841,658	258,072
2020-03-20	$10.18	$15.00	102.2%	28.3%	111.3%	68.5%	99.7%	19.8%	10.1%	825.5K	15.2M	-1.3M	0.78	4.12	57,158	44,763	803,297	275,549
2020-03-23	$10.51	$14.00	104.3%	28.4%	113.1%	70.6%	101.6%	30.2%	-14.1%	904.8K	753.9K	-1.3M	0.54	3.59	57,299	31,149	661,121	251,774
2020-03-24	$10.98	$14.00	97.2%	25.8%	115.5%	63.3%	88.8%	15.6%	-8.3%	1.4M	-9.8M	-1.3M	1.12	4.64	48,128	53,806	686,277	254,608
2020-03-25	$11.32	$14.00	92.9%	25.4%	116.8%	58.7%	90.2%	18.6%	5.5%	1.3M	-26.3M	-1.4M	0.86	4.01	49,724	42,684	696,566	276,762
2020-03-26	$11.77	$14.00	92.5%	24.1%	117.3%	58.4%	86.0%	27.8%	-2.0%	2.3M	-50.7M	-1.5M	1.16	3.23	46,281	53,889	705,924	289,506
2020-03-27	$12.14	$14.00	100.8%	25.3%	116.6%	67.0%	88.4%	7.6%	-2.1%	3.4M	-77.2M	-1.5M	0.55	4.77	61,188	33,502	718,486	289,582
2020-03-30	$11.68	$14.00	93.3%	23.9%	116.4%	59.2%	81.2%	17.6%	2.7%	1.6M	-30.7M	-1.4M	0.37	2.66	30,703	11,481	684,593	251,356
2020-03-31	$11.99	$14.00	89.4%	22.4%	116.3%	55.1%	81.3%	21.8%	29.9%	2.1M	-49.0M	-1.4M	0.61	4.57	42,126	25,672	695,669	254,560