SNAP Options History — September 2020

In September 2020, SNAP traded between $22.36 and $26.05. ATM implied volatility averaged 62.0%, placing in the 26.4% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 26.3% (HV 20d: 35.7%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.31.

Notable Days

2020-09-02: Highest Volume — 490,120 contracts
2020-09-21: Largest IV spike — 14.5% change
2020-09-23: Highest IV Rank — 40.7%
2020-09-03: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$24.19	$22.36	$26.05	$22.36	$26.05
Max Pain	$21.10	$21.00	$22.00	$22.00	$21.00
ATM IV	62.0%	51.2%	75.6%	53.8%	71.2%
Expected Move	15.4%	13.8%	17.5%	14.9%	13.8%
HV 20d	35.7%	24.2%	43.6%	24.2%	42.6%
HV 60d	43.4%	42.5%	45.1%	43.9%	42.7%
IV Rank	26.4%	15.2%	40.7%	17.9%	36.1%
IV Percentile	59.7%	35.7%	78.6%	50.0%	74.2%
Term Structure	4.1%	-4.3%	23.5%	0.4%	-1.2%
VWIV	54.3%	48.6%	61.6%	52.8%	48.6%
Skew 25d	1.6%	-2.3%	7.9%	-0.6%	2.5%
Skew 10d	4.0%	-1.5%	12.3%	-0.6%	12.3%
Call IV 25d	62.2%	51.5%	76.5%	55.7%	71.0%
Put IV 25d	63.8%	52.0%	79.3%	55.1%	73.6%
Bid-Ask Spread %	2.80	1.96	7.50	2.67	2.35
Gamma HHI	0.14	0.09	0.33	0.09	0.14
Net GEX	31.8M	14.8M	57.6M	14.8M	36.2M
Net DEX	-1.03B	-1.35B	-645.1M	-645.1M	-1.35B
Net VEX	-4.1M	-4.5M	-3.8M	-3.8M	-4.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.31	0.10	0.83	0.40	0.41
Total Volume	178,277.714	47,535	490,120	114,134	72,919
Total OI	1,293,122.81	1,180,161	1,396,699	1,182,220	1,366,292

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
2020-09-01	$22.36	$22.00	53.8%	14.9%	24.2%	17.9%	52.8%	-0.6%	0.4%	14.8M	-645.1M	-3.8M	0.40	2.67	81,767	32,367	792,943	389,277
2020-09-02	$23.51	$22.00	61.0%	16.7%	29.7%	25.4%	58.6%	-1.7%	0.3%	22.3M	-897.4M	-4.1M	0.11	2.45	440,593	49,527	815,980	381,831
2020-09-03	$23.03	$21.00	61.3%	17.5%	30.2%	25.7%	61.6%	0.5%	0.1%	31.1M	-873.1M	-4.2M	0.19	2.19	172,980	32,589	922,559	386,355
2020-09-04	$22.57	$21.00	60.0%	17.1%	31.1%	24.3%	60.1%	2.2%	-0.3%	25.6M	-765.3M	-4.1M	0.38	5.38	94,626	36,113	948,831	387,456
2020-09-08	$22.80	$21.00	59.7%	17.2%	30.8%	24.0%	60.3%	3.2%	0.4%	26.1M	-784.7M	-4.0M	0.43	2.24	59,094	25,171	891,176	352,841
2020-09-09	$23.62	$21.00	53.9%	15.8%	32.5%	18.0%	55.7%	1.8%	1.8%	36.1M	-963.5M	-4.1M	0.17	7.50	159,298	26,752	898,640	363,680
2020-09-10	$23.30	$21.00	52.8%	15.3%	33.2%	16.9%	53.5%	2.5%	0.7%	34.6M	-874.2M	-3.9M	0.19	2.16	132,737	24,912	924,849	373,892
2020-09-11	$24.11	$21.00	52.1%	14.7%	34.9%	16.1%	51.5%	0.6%	-1.1%	57.6M	-1.10B	-3.9M	0.14	2.60	245,485	33,296	928,147	372,146
2020-09-14	$24.10	$21.00	53.4%	15.3%	34.5%	17.5%	55.1%	1.6%	10.3%	34.5M	-1.04B	-4.0M	0.31	2.21	154,532	48,568	903,351	362,206
2020-09-15	$24.49	$21.00	51.2%	14.7%	34.7%	15.2%	51.9%	1.2%	21.3%	43.0M	-1.18B	-4.0M	0.33	2.34	89,814	29,271	936,362	376,813
2020-09-16	$24.73	$21.00	51.9%	14.9%	34.7%	15.9%	53.0%	0.9%	19.1%	43.6M	-1.23B	-4.0M	0.10	3.51	271,835	28,028	931,085	386,177
2020-09-17	$24.26	$21.00	55.1%	14.6%	35.9%	19.2%	51.5%	1.1%	21.1%	39.6M	-1.07B	-4.0M	0.42	2.49	55,496	23,186	953,867	394,454
2020-09-18	$23.71	$21.00	58.7%	14.6%	36.9%	23.0%	52.9%	0.6%	23.5%	30.0M	-910.6M	-3.9M	0.83	2.15	119,979	99,392	951,444	395,776
2020-09-21	$23.98	$21.00	67.2%	15.5%	36.6%	31.9%	55.0%	7.9%	-4.3%	22.2M	-865.6M	-4.1M	0.43	2.47	49,735	21,429	797,079	383,082
2020-09-22	$25.44	$21.00	71.5%	15.7%	37.6%	36.4%	55.0%	4.0%	-2.3%	24.0M	-1.18B	-4.1M	0.16	2.25	221,409	36,125	808,220	391,605
2020-09-23	$25.40	$21.00	75.6%	15.7%	37.8%	40.7%	55.0%	3.8%	-3.6%	33.6M	-1.22B	-4.3M	0.15	2.29	321,425	48,456	869,763	405,748
2020-09-24	$24.28	$21.00	75.1%	15.4%	42.4%	40.1%	54.1%	2.1%	0.0%	25.7M	-947.9M	-4.5M	0.36	2.97	92,423	33,192	935,281	431,789
2020-09-25	$24.66	$21.00	71.1%	14.5%	42.2%	35.9%	51.4%	-2.3%	-0.3%	26.1M	-1.06B	-4.4M	0.42	2.26	33,485	14,050	961,157	435,542
2020-09-28	$25.65	$21.00	70.7%	14.7%	43.6%	35.5%	51.7%	0.3%	1.1%	26.3M	-1.24B	-4.3M	0.18	1.96	120,759	21,839	877,672	416,529
2020-09-29	$25.90	$21.00	74.5%	14.3%	43.3%	39.6%	50.4%	0.6%	-0.1%	34.3M	-1.33B	-4.4M	0.38	2.30	64,523	24,655	927,075	426,607
2020-09-30	$26.05	$21.00	71.2%	13.8%	42.6%	36.1%	48.6%	2.5%	-1.2%	36.2M	-1.35B	-4.4M	0.41	2.35	51,784	21,135	929,906	436,386