SNAP Options History — May 2020

In May 2020, SNAP traded between $16.66 and $18.95. ATM implied volatility averaged 53.5%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded below realized volatility by 39.1% (HV 20d: 92.6%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2020-05-28: Highest Volume — 328,310 contracts
  • 2020-05-13: Largest IV spike — 14.9% change
  • 2020-05-04: Highest IV Rank — 23.4%
  • 2020-05-01: Largest Expected Move — 17.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.58$16.66$18.95$16.71$18.95
Max Pain$16.75$15.00$17.00$15.00$17.00
ATM IV53.5%49.5%59.1%57.7%51.6%
Expected Move15.4%14.0%17.3%17.3%15.2%
HV 20d92.6%48.2%117.6%117.6%50.0%
HV 60d100.6%99.7%101.3%100.3%100.3%
IV Rank17.5%13.4%23.4%21.9%15.6%
IV Percentile52.1%39.7%60.3%59.1%48.0%
Term Structure-0.4%-1.4%0.5%-0.6%-0.6%
VWIV54.3%50.0%62.5%62.5%53.6%
Skew 25d5.9%4.7%7.1%6.0%4.8%
Skew 10d12.0%9.9%15.1%12.1%11.3%
Call IV 25d51.3%47.2%56.6%55.2%50.3%
Put IV 25d57.3%53.0%63.1%61.2%55.1%
Bid-Ask Spread %2.321.933.082.542.02
Gamma HHI0.130.090.190.110.18
Net GEX8.3M3.5M17.4M3.5M17.1M
Net DEX-355.0M-629.7M-217.6M-296.8M-629.7M
Net VEX-2.2M-2.4M-2.1M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.171.480.990.43
Total Volume118,238.735,856328,310133,036235,779
Total OI925,688.2792,1291,054,0891,054,089975,291

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-05-01$16.71$15.0057.7%17.3%117.6%21.9%62.5%6.0%-0.6%3.5M-296.8M-2.2M0.992.5466,77166,265626,063428,026
2020-05-04$17.16$16.0059.1%16.4%117.1%23.4%58.5%7.1%-0.5%4.8M-323.9M-2.2M0.422.2167,59728,638567,072355,056
2020-05-05$17.40$16.0055.7%15.8%115.4%19.9%54.8%6.2%-1.0%7.4M-364.3M-2.3M0.172.36160,89826,782598,742357,877
2020-05-06$17.36$16.0054.5%15.9%115.5%18.6%55.2%6.2%-0.1%9.0M-373.1M-2.3M0.492.3697,06847,869630,070365,449
2020-05-07$18.14$17.0054.3%15.6%114.5%18.3%56.0%5.8%-0.0%12.4M-481.6M-2.4M0.422.63111,47246,682635,975377,781
2020-05-08$18.19$17.0051.7%14.9%114.5%15.6%52.8%5.2%0.2%10.7M-487.7M-2.4M0.522.0762,27032,077644,484393,161
2020-05-11$18.20$17.0052.1%15.0%114.5%16.1%54.3%4.7%0.3%10.6M-442.3M-2.3M0.701.9334,21123,989603,663355,892
2020-05-12$17.54$17.0050.2%14.0%115.9%14.2%50.5%6.1%-1.4%7.4M-341.3M-2.2M0.892.3130,69427,415608,463360,546
2020-05-13$16.66$17.0057.8%16.1%117.6%22.0%57.9%5.8%-1.3%3.8M-253.2M-2.1M1.482.0034,37750,739612,248358,259
2020-05-14$16.88$17.0057.7%16.3%114.7%22.0%58.6%6.5%-1.4%4.3M-273.8M-2.2M0.942.3355,67752,559617,668359,362
2020-05-15$17.13$17.0055.1%15.7%114.7%19.2%55.6%6.2%-0.5%4.5M-311.9M-2.2M0.481.9768,35332,780635,586379,719
2020-05-18$17.52$17.0053.4%15.2%114.5%17.4%53.4%5.7%0.5%6.4M-300.8M-2.2M0.633.0863,35540,170490,255301,874
2020-05-19$17.64$17.0051.7%14.8%113.5%15.6%51.6%5.8%-0.2%7.1M-307.2M-2.2M0.802.8619,87815,978504,140315,561
2020-05-20$18.18$17.0054.1%15.5%52.4%18.2%54.0%6.4%-0.5%8.9M-371.0M-2.3M0.522.1458,27530,104508,835314,120
2020-05-21$17.60$17.0052.2%15.0%52.4%16.2%51.5%6.3%-0.5%7.2M-301.0M-2.2M0.282.0664,68618,315526,966326,466
2020-05-22$17.62$17.0050.9%14.6%51.8%14.9%50.9%6.4%-0.1%9.2M-316.7M-2.2M0.382.4940,38615,455551,830324,899
2020-05-26$17.44$17.0049.5%14.3%48.3%13.4%50.0%5.3%-0.2%8.7M-274.6M-2.1M0.232.3957,09013,301524,906281,035
2020-05-27$17.02$17.0049.5%14.3%48.2%13.4%50.0%6.2%-0.5%5.8M-217.6M-2.1M0.312.15105,62332,886543,522286,692
2020-05-28$18.26$17.0051.1%15.1%48.5%15.1%54.0%5.9%-0.5%17.4M-430.7M-2.3M0.242.55265,58762,723574,895291,315
2020-05-29$18.95$17.0051.6%15.2%50.0%15.6%53.6%4.8%-0.6%17.1M-629.7M-2.4M0.432.02165,23270,547653,167322,124