SNAP Options History — June 2020

In June 2020, SNAP traded between $19.30 and $24.36. ATM implied volatility averaged 57.0%, placing in the 21.3% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded above realized volatility by 11.1% (HV 20d: 45.9%). Max pain ranged from $16.00 to $17.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.42.

Notable Days

2020-06-04: Highest Volume — 349,156 contracts
2020-06-22: Largest IV spike — 13.0% change
2020-06-29: Highest IV Rank — 36.1%
2020-06-11: Largest Expected Move — 16.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.51	$19.30	$24.36	$19.59	$23.46
Max Pain	$16.89	$16.00	$17.50	$17.50	$17.00
ATM IV	57.0%	48.7%	71.2%	52.0%	64.8%
Expected Move	14.8%	13.4%	16.3%	15.4%	13.5%
HV 20d	45.9%	38.8%	49.1%	47.0%	42.8%
HV 60d	84.6%	76.3%	100.5%	100.5%	76.3%
IV Rank	21.3%	12.5%	36.1%	16.0%	29.4%
IV Percentile	57.1%	37.7%	79.0%	49.6%	69.0%
Term Structure	2.4%	-4.0%	17.1%	-1.0%	-0.2%
VWIV	53.1%	48.1%	60.3%	54.4%	48.5%
Skew 25d	2.8%	-8.2%	12.4%	4.7%	0.3%
Skew 10d	10.8%	2.4%	28.0%	9.9%	6.6%
Call IV 25d	57.0%	47.6%	74.5%	49.9%	67.0%
Put IV 25d	59.8%	51.8%	78.1%	54.5%	67.3%
Bid-Ask Spread %	2.45	1.89	3.21	2.56	2.89
Gamma HHI	0.16	0.12	0.24	0.16	0.20
Net GEX	23.3M	11.9M	33.7M	16.0M	30.6M
Net DEX	-961.1M	-1.46B	-544.4M	-632.8M	-1.19B
Net VEX	-3.3M	-3.8M	-2.4M	-2.4M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.14	0.96	0.35	0.40
Total Volume	182,740.727	89,713	349,156	220,546	89,713
Total OI	1,165,141.455	923,950	1,311,837	923,950	1,267,523

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
2020-06-01	$19.59	$17.50	52.0%	15.4%	47.0%	16.0%	54.4%	4.7%	-1.0%	16.0M	-632.8M	-2.4M	0.35	2.56	162,994	57,552	612,431	311,519
2020-06-02	$19.68	$17.50	51.0%	15.4%	46.4%	15.0%	54.0%	4.4%	-0.8%	15.5M	-636.9M	-2.5M	0.30	2.43	120,213	35,760	621,259	323,400
2020-06-03	$19.46	$17.50	51.8%	15.7%	46.8%	15.8%	54.8%	4.1%	0.1%	16.7M	-601.4M	-2.5M	0.96	2.72	121,113	116,262	644,732	333,644
2020-06-04	$19.30	$16.00	52.1%	14.7%	47.0%	16.1%	51.6%	4.1%	-1.3%	11.9M	-544.4M	-2.4M	0.27	2.32	274,093	75,063	645,206	361,322
2020-06-05	$20.11	$16.00	48.7%	14.0%	46.7%	12.5%	49.6%	4.2%	-1.0%	23.0M	-827.5M	-2.9M	0.53	2.16	125,243	66,126	753,685	361,219
2020-06-08	$20.63	$17.00	54.1%	15.1%	47.2%	18.2%	53.2%	0.6%	-1.2%	17.9M	-823.6M	-3.0M	0.26	1.89	119,118	31,356	726,266	331,041
2020-06-09	$20.95	$17.00	53.1%	15.2%	47.3%	17.2%	53.9%	0.9%	0.1%	19.9M	-901.5M	-3.0M	0.28	1.97	128,074	36,081	756,797	340,983
2020-06-10	$21.26	$17.00	52.8%	15.2%	44.4%	16.9%	53.9%	0.7%	0.1%	20.5M	-966.7M	-3.1M	0.14	2.40	252,479	35,404	793,740	350,627
2020-06-11	$19.88	$17.00	56.8%	16.3%	47.5%	21.0%	57.6%	3.4%	1.3%	21.6M	-755.4M	-3.4M	0.39	3.09	155,747	61,013	899,213	360,889
2020-06-12	$20.07	$17.00	56.4%	16.0%	47.4%	20.6%	60.3%	5.8%	-1.3%	18.1M	-810.6M	-3.4M	0.76	3.14	80,864	61,524	916,833	370,892
2020-06-15	$20.64	$17.00	52.7%	15.0%	47.9%	16.7%	54.0%	5.0%	8.8%	18.0M	-777.4M	-3.4M	0.50	2.06	60,601	30,408	808,878	362,617
2020-06-16	$20.88	$16.00	50.1%	14.3%	47.6%	14.0%	51.4%	4.8%	11.0%	21.1M	-840.2M	-3.4M	0.31	3.21	72,683	22,870	828,998	334,389
2020-06-17	$21.78	$16.00	52.3%	15.0%	49.1%	16.3%	53.8%	3.1%	12.9%	23.2M	-1.01B	-3.5M	0.16	2.66	273,559	44,676	836,379	339,538
2020-06-18	$21.90	$17.00	53.8%	14.6%	48.6%	17.9%	52.5%	2.3%	14.0%	29.0M	-1.09B	-3.6M	0.32	2.05	83,295	26,606	918,584	361,465
2020-06-19	$22.43	$17.00	57.1%	14.5%	46.2%	21.4%	52.2%	2.2%	17.1%	31.8M	-1.20B	-3.6M	0.42	2.31	163,883	69,078	922,543	366,984
2020-06-22	$23.13	$17.00	64.6%	14.0%	46.5%	29.2%	50.8%	12.4%	-4.0%	27.9M	-1.19B	-3.6M	0.36	2.75	139,544	50,072	857,762	326,341
2020-06-23	$23.58	$17.00	60.5%	13.4%	45.6%	24.9%	48.1%	4.7%	2.3%	30.2M	-1.29B	-3.7M	0.37	2.24	81,029	30,054	885,220	348,848
2020-06-24	$23.70	$17.00	67.4%	14.6%	43.4%	32.1%	53.0%	-0.5%	-0.9%	29.7M	-1.30B	-3.7M	0.63	2.33	62,237	39,477	887,265	360,880
2020-06-25	$24.36	$17.00	65.6%	14.3%	38.8%	30.2%	52.4%	-3.7%	-2.3%	28.9M	-1.46B	-3.7M	0.22	2.21	208,575	46,046	890,744	371,031
2020-06-26	$23.26	$17.00	65.8%	14.9%	43.3%	30.5%	52.9%	-8.2%	2.3%	33.7M	-1.19B	-3.8M	0.65	2.26	119,910	77,950	923,086	388,751
2020-06-29	$23.11	$17.00	71.2%	15.2%	42.8%	36.1%	54.5%	7.1%	-3.2%	26.4M	-1.10B	-3.8M	0.74	2.29	64,323	47,628	876,408	353,180
2020-06-30	$23.46	$17.00	64.8%	13.5%	42.8%	29.4%	48.5%	0.3%	-0.2%	30.6M	-1.19B	-3.8M	0.40	2.89	64,124	25,589	891,792	375,731