SNAP Options History — August 2020

In August 2020, SNAP traded between $20.82 and $22.68. ATM implied volatility averaged 52.3%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 14.9%. IV traded above realized volatility by 12.0% (HV 20d: 40.3%). Max pain ranged from $22.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.35.

Notable Days

2020-08-07: Highest Volume — 276,576 contracts
2020-08-07: Largest IV spike — 12.5% change
2020-08-07: Highest IV Rank — 24.4%
2020-08-07: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.71	$20.82	$22.68	$21.21	$22.68
Max Pain	$22.00	$22.00	$22.00	$22.00	$22.00
ATM IV	52.3%	47.3%	60.0%	55.7%	53.1%
Expected Move	14.9%	13.4%	16.4%	16.1%	15.0%
HV 20d	40.3%	25.0%	58.6%	58.6%	25.0%
HV 60d	46.9%	44.1%	49.7%	49.5%	44.1%
IV Rank	16.3%	11.1%	24.4%	19.9%	17.2%
IV Percentile	43.4%	27.0%	60.3%	55.2%	47.6%
Term Structure	-0.3%	-2.1%	0.9%	-2.1%	0.2%
VWIV	53.2%	47.8%	59.2%	58.0%	53.1%
Skew 25d	0.1%	-3.6%	3.1%	0.2%	0.5%
Skew 10d	0.7%	-9.6%	7.4%	-3.5%	1.0%
Call IV 25d	53.7%	47.6%	64.4%	56.2%	54.0%
Put IV 25d	53.8%	49.7%	60.8%	56.4%	54.5%
Bid-Ask Spread %	2.77	2.42	4.33	2.76	2.57
Gamma HHI	0.13	0.10	0.17	0.13	0.10
Net GEX	17.2M	10.7M	21.4M	12.1M	17.6M
Net DEX	-576.4M	-699.3M	-392.5M	-463.9M	-698.9M
Net VEX	-3.8M	-4.1M	-3.5M	-3.8M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.12	0.95	0.28	0.75
Total Volume	119,194.714	41,875	276,576	267,470	132,480
Total OI	1,306,305.429	1,078,724	1,437,130	1,301,465	1,136,111

Daily Data (21 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
2020-08-03	$21.21	$22.00	55.7%	16.1%	58.6%	19.9%	58.0%	0.2%	-2.1%	12.1M	-463.9M	-3.8M	0.28	2.76	208,945	58,525	938,746	362,719
2020-08-04	$21.77	$22.00	55.3%	16.1%	54.5%	19.5%	58.4%	-1.0%	-0.8%	19.2M	-630.6M	-4.1M	0.25	2.53	148,295	37,742	1,015,914	373,861
2020-08-05	$21.70	$22.00	52.4%	14.6%	49.3%	16.4%	52.7%	-2.5%	-0.8%	17.8M	-588.4M	-4.0M	0.24	2.62	58,504	14,271	1,023,460	386,681
2020-08-06	$21.36	$22.00	53.3%	15.2%	49.3%	17.4%	53.5%	-0.2%	-0.8%	14.6M	-514.7M	-4.0M	0.30	2.80	105,345	31,872	1,021,407	388,472
2020-08-07	$21.65	$22.00	60.0%	16.4%	49.8%	24.4%	59.2%	-3.6%	-1.3%	18.0M	-594.4M	-4.1M	0.12	4.33	247,781	28,795	1,043,691	393,439
2020-08-10	$22.01	$22.00	58.6%	16.4%	49.6%	22.9%	58.8%	-2.3%	-1.7%	21.4M	-699.3M	-4.1M	0.12	2.66	135,623	16,713	1,019,092	366,807
2020-08-11	$21.76	$22.00	56.8%	16.0%	47.8%	21.0%	57.3%	-1.6%	-0.6%	20.7M	-642.0M	-4.0M	0.19	2.94	117,790	21,966	1,038,137	370,759
2020-08-12	$21.85	$22.00	54.9%	15.7%	45.0%	19.0%	56.0%	-1.1%	-0.2%	20.8M	-641.0M	-4.0M	0.22	2.54	51,209	11,353	1,047,165	381,968
2020-08-13	$21.82	$22.00	52.8%	15.0%	44.4%	16.8%	53.5%	-1.9%	-0.6%	20.5M	-623.0M	-3.9M	0.25	2.42	46,445	11,821	1,040,837	379,831
2020-08-14	$21.63	$22.00	52.5%	15.0%	42.8%	16.5%	55.7%	0.7%	-0.7%	17.2M	-561.0M	-3.9M	0.53	3.10	48,539	25,658	1,043,691	382,666
2020-08-17	$21.81	$22.00	49.9%	14.3%	41.4%	13.8%	51.5%	2.0%	0.9%	17.8M	-589.8M	-3.8M	0.28	2.54	47,010	13,059	940,131	377,014
2020-08-18	$21.86	$22.00	49.5%	14.2%	41.4%	13.3%	50.4%	1.3%	0.7%	18.2M	-593.7M	-3.7M	0.39	2.77	36,243	13,985	942,268	380,564
2020-08-19	$22.05	$22.00	48.5%	13.9%	34.9%	12.3%	49.7%	0.9%	0.0%	19.9M	-627.6M	-3.7M	0.15	2.67	147,981	22,623	945,846	383,243
2020-08-20	$21.86	$22.00	47.6%	13.6%	29.6%	11.4%	48.7%	1.9%	0.5%	18.4M	-575.0M	-3.7M	0.31	2.53	32,022	9,853	969,023	389,704
2020-08-21	$21.62	$22.00	48.1%	13.7%	29.8%	11.9%	48.7%	2.5%	0.5%	14.1M	-541.0M	-3.7M	0.70	2.69	42,134	29,706	969,715	388,080
2020-08-24	$20.82	$22.00	49.3%	14.2%	29.6%	13.2%	49.9%	3.1%	0.1%	10.7M	-392.5M	-3.5M	0.36	2.71	59,683	21,443	750,806	327,918
2020-08-25	$21.13	$22.00	47.3%	13.4%	30.4%	11.1%	47.8%	2.1%	0.9%	12.9M	-437.8M	-3.6M	0.62	2.48	61,899	38,255	760,366	336,741
2020-08-26	$21.34	$22.00	48.5%	13.5%	30.3%	12.3%	48.2%	2.3%	-0.1%	13.3M	-473.0M	-3.6M	0.20	2.68	48,162	9,423	770,633	352,003
2020-08-27	$21.81	$22.00	51.3%	15.0%	31.3%	15.2%	53.1%	-0.8%	-0.2%	15.3M	-566.8M	-3.7M	0.21	2.99	149,294	30,991	772,186	355,343
2020-08-28	$22.21	$22.00	53.2%	14.9%	32.0%	17.3%	53.1%	0.9%	-0.2%	20.4M	-651.0M	-3.8M	0.95	2.75	66,611	63,040	797,873	367,503
2020-08-31	$22.68	$22.00	53.1%	15.0%	25.0%	17.2%	53.1%	0.5%	0.2%	17.6M	-698.9M	-3.8M	0.75	2.57	75,698	56,782	775,127	360,984