SNAP Options History — July 2020

In July 2020, SNAP traded between $22.02 and $26.39. ATM implied volatility averaged 67.1%, placing in the 31.8% IV rank vs the trailing year. The 30-day expected move averaged 17.8%. IV traded above realized volatility by 17.0% (HV 20d: 50.1%). Max pain ranged from $17.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 4 of 22 days. Put/call ratio averaged 0.39.

Notable Days

2020-07-21: Highest Volume — 471,748 contracts
2020-07-22: Largest IV drop — 31.7% change
2020-07-09: Highest IV Rank — 47.4%
2020-07-20: Largest Expected Move — 22.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.88	$22.02	$26.39	$23.78	$22.45
Max Pain	$20.77	$17.00	$22.00	$17.00	$22.00
ATM IV	67.1%	48.1%	82.1%	67.3%	55.7%
Expected Move	17.8%	12.3%	22.0%	12.9%	16.2%
HV 20d	50.1%	41.8%	58.0%	42.2%	55.5%
HV 60d	62.4%	48.5%	75.9%	75.1%	48.6%
IV Rank	31.8%	11.9%	47.4%	32.0%	19.9%
IV Percentile	66.9%	32.5%	87.7%	73.4%	55.6%
Term Structure	-2.3%	-8.9%	0.7%	-0.4%	0.7%
VWIV	62.8%	44.0%	77.3%	46.0%	56.4%
Skew 25d	0.7%	-35.6%	28.8%	28.8%	0.4%
Skew 10d	4.2%	-5.4%	21.0%	21.0%	4.3%
Call IV 25d	67.8%	47.5%	87.6%	63.3%	57.6%
Put IV 25d	68.5%	44.9%	92.1%	92.1%	58.0%
Bid-Ask Spread %	2.65	2.18	4.45	2.75	2.80
Gamma HHI	0.12	0.09	0.22	0.22	0.16
Net GEX	20.6M	5.4M	35.3M	35.3M	5.4M
Net DEX	-1.09B	-1.73B	-511.0M	-1.27B	-622.8M
Net VEX	-4.1M	-4.6M	-3.7M	-3.8M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.16	1.07	0.35	0.44
Total Volume	193,241.636	57,194	471,748	133,336	354,096
Total OI	1,398,008.591	1,204,947	1,599,327	1,285,581	1,429,111

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
2020-07-01	$23.78	$17.00	67.3%	12.9%	42.2%	32.0%	46.0%	28.8%	-0.4%	35.3M	-1.27B	-3.8M	0.35	2.75	99,096	34,240	903,711	381,870
2020-07-02	$23.23	$17.00	64.7%	12.3%	43.4%	29.2%	44.0%	-0.9%	-1.9%	25.4M	-1.10B	-3.8M	0.35	2.95	87,508	30,421	910,338	397,916
2020-07-06	$23.48	$20.00	68.4%	17.7%	41.8%	33.1%	62.9%	2.9%	-3.7%	27.3M	-1.13B	-3.7M	0.46	2.52	60,701	27,899	868,200	376,295
2020-07-07	$24.96	$20.00	74.0%	18.7%	45.5%	39.0%	66.4%	5.8%	-8.9%	25.9M	-1.47B	-3.7M	0.38	4.45	150,544	56,589	876,851	385,074
2020-07-08	$26.39	$20.00	80.0%	20.0%	48.4%	45.3%	71.1%	-2.3%	-6.5%	19.9M	-1.73B	-3.7M	0.29	2.48	229,106	66,466	894,671	404,085
2020-07-09	$25.99	$20.00	82.1%	20.9%	49.3%	47.4%	74.0%	-5.8%	-4.9%	22.1M	-1.68B	-4.0M	0.25	2.33	160,998	40,693	945,261	434,512
2020-07-10	$25.47	$20.00	81.3%	21.3%	41.8%	46.6%	75.4%	-1.5%	-4.7%	21.7M	-1.60B	-4.0M	0.28	2.33	170,341	47,378	969,155	441,927
2020-07-13	$24.62	$21.00	78.4%	21.5%	44.9%	43.6%	75.9%	-35.6%	-0.6%	23.2M	-1.31B	-4.0M	0.24	2.70	204,174	48,293	927,522	413,547
2020-07-14	$23.62	$21.00	80.1%	22.0%	47.9%	45.4%	77.3%	1.6%	-0.9%	21.6M	-1.13B	-4.1M	0.16	3.61	192,015	31,348	980,347	434,642
2020-07-15	$24.59	$21.00	80.8%	22.0%	49.4%	46.1%	76.9%	1.8%	-3.2%	27.3M	-1.38B	-4.3M	0.26	2.65	128,718	34,094	1,047,115	441,536
2020-07-16	$23.95	$21.00	80.2%	21.8%	49.1%	45.4%	75.8%	0.6%	-5.3%	31.0M	-1.27B	-4.3M	0.25	2.21	77,155	19,244	1,096,730	453,928
2020-07-17	$24.60	$21.00	78.0%	21.1%	49.7%	43.2%	74.1%	0.2%	-6.0%	20.7M	-1.46B	-4.4M	0.37	2.39	77,364	28,551	1,119,064	459,063
2020-07-20	$25.26	$21.00	78.2%	22.0%	49.8%	43.4%	77.0%	2.5%	-3.2%	20.3M	-1.19B	-4.3M	0.21	2.22	203,670	43,015	887,616	317,331
2020-07-21	$24.82	$21.00	76.3%	21.6%	49.6%	41.4%	75.4%	0.7%	-2.2%	21.9M	-1.16B	-4.6M	0.39	2.27	338,524	133,224	961,207	341,183
2020-07-22	$23.22	$22.00	52.2%	15.0%	55.1%	16.2%	53.2%	1.7%	0.4%	17.8M	-754.4M	-4.2M	0.50	2.65	293,044	145,462	1,072,013	423,601
2020-07-23	$22.02	$22.00	53.0%	15.2%	58.0%	17.1%	53.7%	1.8%	-0.1%	10.7M	-521.5M	-4.1M	0.65	2.84	125,072	80,863	1,121,476	439,758
2020-07-24	$22.04	$22.00	50.7%	14.6%	56.9%	14.7%	51.3%	1.8%	-0.1%	5.6M	-511.0M	-4.2M	0.48	2.94	85,497	41,217	1,143,095	456,232
2020-07-27	$22.79	$22.00	49.5%	14.2%	56.3%	13.4%	50.3%	3.3%	0.1%	18.6M	-694.0M	-4.2M	0.54	2.30	71,834	38,812	1,010,020	376,083
2020-07-28	$22.62	$22.00	48.8%	14.0%	56.3%	12.7%	48.5%	3.3%	-0.0%	17.0M	-664.7M	-4.1M	0.34	2.61	42,609	14,585	1,018,506	378,240
2020-07-29	$22.86	$22.00	48.1%	13.4%	56.1%	11.9%	47.4%	1.9%	-0.2%	19.1M	-712.8M	-4.1M	0.34	2.18	42,956	14,695	1,021,418	383,259
2020-07-30	$22.52	$22.00	48.9%	14.0%	56.0%	12.7%	49.0%	3.2%	0.1%	14.8M	-620.0M	-4.0M	1.07	2.23	38,294	40,911	1,024,687	387,993
2020-07-31	$22.45	$22.00	55.7%	16.2%	55.5%	19.9%	56.4%	0.4%	0.7%	5.4M	-622.8M	-4.1M	0.44	2.80	245,880	108,216	1,024,312	404,799