SNAP Options History — October 2020

In October 2020, SNAP traded between $26.70 and $43.39. ATM implied volatility averaged 67.8%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded above realized volatility by 9.9% (HV 20d: 57.9%). Max pain ranged from $21.00 to $32.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2020-10-21: Highest Volume — 1,225,562 contracts
2020-10-21: Largest IV drop — 20.3% change
2020-10-20: Highest IV Rank — 42.3%
2020-10-20: Largest Expected Move — 21.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.21	$26.70	$43.39	$26.70	$39.21
Max Pain	$26.80	$21.00	$32.00	$21.00	$32.00
ATM IV	67.8%	56.7%	77.1%	70.8%	59.4%
Expected Move	18.3%	13.8%	21.9%	13.8%	18.0%
HV 20d	57.9%	29.3%	103.3%	40.2%	103.3%
HV 60d	47.2%	33.3%	65.8%	41.4%	65.8%
IV Rank	32.5%	20.9%	42.3%	35.7%	23.8%
IV Percentile	69.9%	52.8%	82.9%	73.8%	56.7%
Term Structure	-2.6%	-6.8%	0.3%	0.0%	-1.2%
VWIV	64.9%	48.9%	76.1%	48.9%	64.6%
Skew 25d	0.2%	-2.5%	8.4%	1.2%	3.4%
Skew 10d	1.6%	-3.3%	16.6%	16.6%	7.6%
Call IV 25d	68.6%	57.9%	76.1%	71.8%	59.3%
Put IV 25d	68.8%	58.1%	77.8%	73.0%	62.6%
Bid-Ask Spread %	2.56	1.97	6.74	2.01	2.43
Gamma HHI	0.13	0.06	0.37	0.16	0.21
Net GEX	22.3M	-8.9M	45.3M	38.1M	-8.9M
Net DEX	-1.79B	-3.07B	-963.3M	-1.54B	-1.45B
Net VEX	-5.0M	-6.6M	-4.4M	-4.4M	-6.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.24	2.80	0.24	2.80
Total Volume	306,208.5	42,344	1,225,562	163,851	462,807
Total OI	1,472,209.955	1,064,030	1,745,690	1,373,571	1,745,690

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
2020-10-01	$26.70	$21.00	70.8%	13.8%	40.2%	35.7%	48.9%	1.2%	0.0%	38.1M	-1.54B	-4.4M	0.24	2.01	132,239	31,612	930,799	442,772
2020-10-02	$26.74	$21.00	73.7%	14.2%	38.9%	38.7%	50.4%	2.1%	-2.3%	45.3M	-1.57B	-4.5M	0.44	1.97	69,515	30,768	956,193	455,199
2020-10-05	$27.47	$25.00	72.0%	19.1%	38.1%	36.9%	66.8%	-2.4%	-2.6%	28.5M	-1.64B	-4.4M	0.39	2.05	108,278	41,851	913,106	443,694
2020-10-06	$26.79	$25.00	72.9%	19.5%	40.0%	37.9%	68.7%	-1.2%	-2.2%	30.0M	-1.47B	-4.4M	0.42	2.23	133,509	55,471	928,826	472,064
2020-10-07	$26.71	$26.00	73.9%	19.1%	38.9%	38.9%	67.8%	0.4%	-3.3%	33.7M	-1.50B	-4.5M	0.58	2.08	26,819	15,525	962,986	500,974
2020-10-08	$27.02	$26.00	72.0%	19.0%	38.2%	37.0%	66.6%	-2.5%	-3.8%	32.2M	-1.60B	-4.4M	0.33	2.45	85,444	28,436	969,301	508,235
2020-10-09	$26.99	$26.00	71.0%	18.7%	36.9%	35.9%	65.7%	-0.2%	-4.0%	29.6M	-1.62B	-4.4M	0.55	3.13	42,397	23,366	989,294	519,024
2020-10-12	$26.99	$26.00	69.7%	18.6%	36.9%	34.5%	66.1%	8.4%	-3.7%	25.3M	-1.47B	-4.4M	0.36	2.28	44,351	15,854	926,182	509,062
2020-10-13	$27.06	$26.00	70.2%	19.0%	36.7%	35.0%	67.1%	-0.4%	-3.2%	24.2M	-1.48B	-4.4M	1.18	2.13	40,605	47,818	928,616	516,535
2020-10-14	$27.35	$26.00	71.4%	19.3%	36.8%	36.3%	68.0%	-0.8%	-4.3%	23.6M	-1.55B	-4.5M	1.13	2.62	44,402	50,173	940,466	532,038
2020-10-15	$27.99	$26.00	74.1%	19.7%	36.1%	39.0%	69.5%	-0.5%	-6.8%	20.8M	-1.66B	-4.6M	0.43	2.27	93,093	39,847	942,186	563,482
2020-10-16	$27.91	$26.00	72.7%	19.9%	34.6%	37.6%	69.9%	-0.4%	-4.4%	30.0M	-1.66B	-4.7M	0.24	2.03	118,023	28,874	966,528	570,030
2020-10-19	$28.46	$26.00	76.0%	21.3%	34.8%	41.1%	74.8%	-1.3%	-3.7%	11.1M	-963.3M	-4.8M	0.28	2.18	191,837	53,471	641,926	422,104
2020-10-20	$28.52	$26.00	77.1%	21.9%	29.3%	42.3%	76.1%	1.0%	-4.8%	15.0M	-1.04B	-5.1M	0.54	2.53	166,274	88,997	739,319	456,888
2020-10-21	$36.56	$27.00	61.5%	17.6%	90.8%	25.9%	64.1%	-0.8%	-2.2%	17.9M	-2.36B	-4.6M	0.60	6.74	767,122	458,440	791,369	511,210
2020-10-22	$38.81	$27.00	56.7%	16.4%	88.7%	20.9%	58.0%	-0.1%	-1.9%	18.5M	-2.49B	-5.2M	0.89	2.55	315,708	279,678	850,327	639,752
2020-10-23	$42.77	$27.00	59.3%	17.2%	92.4%	23.6%	61.3%	-1.7%	-1.3%	15.0M	-3.07B	-4.9M	0.62	2.57	700,076	435,055	863,532	736,548
2020-10-26	$41.39	$30.00	59.5%	17.7%	94.7%	23.8%	63.5%	0.7%	0.3%	15.2M	-2.22B	-5.9M	1.63	2.45	203,419	331,412	841,766	715,245
2020-10-27	$41.26	$31.00	57.2%	17.2%	95.0%	21.4%	61.4%	0.8%	-0.4%	4.0M	-2.09B	-6.1M	0.99	2.28	136,577	135,155	861,849	791,078
2020-10-28	$43.39	$31.50	61.5%	19.1%	95.3%	25.9%	67.2%	-0.2%	-0.4%	19.3M	-2.60B	-6.2M	0.70	2.79	237,193	165,795	873,504	801,779
2020-10-29	$42.49	$32.00	58.1%	17.4%	96.7%	22.3%	61.6%	-0.2%	-0.2%	21.8M	-2.42B	-6.3M	0.68	2.51	154,091	105,210	902,455	814,686
2020-10-30	$39.21	$32.00	59.4%	18.0%	103.3%	23.8%	64.6%	3.4%	-1.2%	-8.9M	-1.45B	-6.6M	2.80	2.43	121,775	341,032	928,977	816,713