SNAP Options History — April 2020

In April 2020, SNAP traded between $11.06 and $17.64. ATM implied volatility averaged 80.1%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded below realized volatility by 22.6% (HV 20d: 102.7%). Max pain ranged from $11.00 to $14.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.81.

Notable Days

  • 2020-04-22: Highest Volume — 747,722 contracts
  • 2020-04-22: Largest IV drop — 24.4% change
  • 2020-04-01: Highest IV Rank — 72.5%
  • 2020-04-21: Largest Expected Move — 32.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.02$11.06$17.64$11.12$17.54
Max Pain$12.57$11.00$14.50$14.00$14.50
ATM IV80.1%52.8%106.0%106.0%52.8%
Expected Move22.9%15.7%32.8%26.1%15.7%
HV 20d102.7%61.2%119.9%118.9%115.0%
HV 60d89.1%79.7%104.4%79.9%104.1%
IV Rank45.4%16.9%72.5%72.5%16.9%
IV Percentile83.1%55.2%98.0%98.0%55.2%
Term Structure-3.6%-13.4%6.5%-9.1%-0.7%
VWIV81.3%55.8%115.3%90.8%55.8%
Skew 25d13.7%2.2%27.4%23.9%5.7%
Skew 10d26.3%9.0%59.6%59.6%10.1%
Call IV 25d74.6%50.7%109.6%90.8%50.7%
Put IV 25d88.2%56.4%114.7%114.7%56.4%
Bid-Ask Spread %2.802.055.482.852.48
Gamma HHI0.090.060.120.060.12
Net GEX3.2M1.1M8.2M1.1M8.2M
Net DEX-173.0M-442.6M7.5M1.3M-426.6M
Net VEX-1.7M-2.3M-1.3M-1.3M-2.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.810.471.320.780.76
Total Volume141,582.71450,965747,72250,965125,180
Total OI957,324.714668,8711,120,972953,7261,031,586

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-04-01$11.12$14.00106.0%26.1%118.9%72.5%90.8%23.9%-9.1%1.1M1.3M-1.3M0.782.8528,61122,354692,766260,960
2020-04-02$11.15$12.0095.5%26.0%118.7%61.5%89.3%22.9%-13.4%1.2M-301.5K-1.3M1.255.4830,42538,043700,803260,344
2020-04-03$11.06$11.0096.5%25.5%117.8%62.6%88.1%2.2%-6.6%1.5M7.5M-1.3M1.163.7829,25733,952712,137276,835
2020-04-06$11.93$11.0085.6%22.9%113.7%51.1%81.1%27.4%6.5%1.9M-35.0M-1.4M0.922.7829,44327,163686,991261,499
2020-04-07$12.34$11.0081.8%22.9%113.9%47.1%82.2%18.9%-2.3%2.2M-56.2M-1.4M0.643.1332,69320,846692,919270,373
2020-04-08$13.20$12.0082.2%22.7%110.6%47.6%79.9%20.6%-2.8%3.0M-116.9M-1.5M0.783.2563,57749,816698,453275,900
2020-04-09$13.57$12.0081.0%22.0%109.1%46.4%81.9%15.0%-5.0%2.9M-135.4M-1.6M0.782.4449,34438,399700,529298,565
2020-04-13$13.57$12.0080.6%22.6%107.6%45.9%84.0%16.6%-1.9%2.4M-107.8M-1.5M0.852.7433,25728,432682,358272,586
2020-04-14$13.86$12.0078.8%22.4%79.4%44.0%79.1%14.8%-4.0%2.7M-133.9M-1.6M0.503.2842,15120,931696,914281,347
2020-04-15$13.61$12.0087.3%25.0%78.2%52.9%91.5%15.5%-6.5%2.3M-117.5M-1.6M0.572.1836,59020,980706,847283,854
2020-04-16$12.82$12.0094.0%27.1%76.5%59.9%97.4%18.0%-2.9%1.4M-66.6M-1.5M1.093.5853,45158,338714,564286,796
2020-04-17$13.02$12.0091.7%26.8%64.7%57.5%94.2%16.2%-5.1%1.4M-84.5M-1.5M0.512.5462,63232,041731,077303,675
2020-04-20$12.94$12.0096.7%29.7%61.2%62.7%102.5%14.8%-6.1%2.4M-111.0M-1.6M0.602.3666,74540,338444,186224,685
2020-04-21$12.61$12.00102.7%32.8%62.1%69.0%115.3%16.1%-5.5%2.2M-101.9M-1.6M0.912.5488,67380,916472,029246,006
2020-04-22$16.81$12.0077.7%23.4%116.5%42.8%83.1%9.7%-2.8%6.5M-439.0M-2.1M0.772.39422,992324,730513,164287,932
2020-04-23$16.27$14.0068.1%20.0%118.0%32.8%71.4%5.8%-3.4%3.9M-329.3M-2.2M1.322.37119,052157,243625,628466,150
2020-04-24$15.99$14.0060.9%17.7%118.4%25.3%62.7%6.7%-2.1%3.6M-288.5M-2.1M0.862.05111,22995,623643,577477,395
2020-04-27$16.91$14.0055.5%17.0%119.2%19.6%61.3%5.9%-0.1%5.0M-351.2M-2.2M0.812.0896,57877,833568,926366,370
2020-04-28$16.47$14.0053.4%15.8%118.5%17.5%56.3%5.0%-0.3%3.7M-296.6M-2.1M0.742.2964,34447,517595,813390,580
2020-04-29$17.64$14.5053.6%16.4%119.9%17.7%58.5%5.3%-0.7%8.0M-442.6M-2.3M0.472.27116,80454,714603,728396,972
2020-04-30$17.54$14.5052.8%15.7%115.0%16.9%55.8%5.7%-0.7%8.2M-426.6M-2.3M0.762.4871,02054,160617,864413,722