SNAP Options History — November 2020

In November 2020, SNAP traded between $38.32 and $45.80. ATM implied volatility averaged 54.2%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 15.7%. IV traded below realized volatility by 41.8% (HV 20d: 96.0%). Max pain ranged from $32.00 to $38.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2020-11-06: Highest Volume — 534,548 contracts
2020-11-06: Largest IV spike — 8.0% change
2020-11-02: Highest IV Rank — 22.7%
2020-11-02: Largest Expected Move — 18.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$42.04	$38.32	$45.80	$40.56	$44.52
Max Pain	$36.45	$32.00	$38.00	$32.00	$38.00
ATM IV	54.2%	51.3%	58.4%	58.4%	54.1%
Expected Move	15.7%	14.6%	18.0%	18.0%	15.7%
HV 20d	96.0%	66.4%	118.3%	103.4%	66.4%
HV 60d	71.3%	65.8%	74.0%	66.0%	73.7%
IV Rank	18.2%	15.2%	22.7%	22.7%	18.2%
IV Percentile	41.4%	30.6%	54.0%	54.0%	40.5%
Term Structure	-0.4%	-1.3%	0.8%	0.1%	-0.1%
VWIV	55.9%	51.7%	63.8%	63.8%	56.2%
Skew 25d	-1.8%	-4.7%	1.8%	1.6%	-2.5%
Skew 10d	-3.2%	-10.1%	3.4%	3.4%	-4.0%
Call IV 25d	56.3%	52.2%	59.6%	59.6%	55.5%
Put IV 25d	54.5%	51.8%	61.3%	61.3%	53.0%
Bid-Ask Spread %	2.75	2.06	4.15	3.02	2.83
Gamma HHI	0.13	0.05	0.49	0.05	0.09
Net GEX	16.1M	-21.2M	80.1M	-3.0M	18.0M
Net DEX	-2.03B	-3.13B	-1.23B	-1.76B	-2.15B
Net VEX	-6.8M	-7.7M	-5.9M	-6.5M	-7.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.16	1.51	0.63	1.02
Total Volume	234,626.85	84,341	534,548	138,268	155,061
Total OI	1,620,836.8	1,417,426	1,811,467	1,482,925	1,475,420

Daily Data (20 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
2020-11-02	$40.56	$32.00	58.4%	18.0%	103.4%	22.7%	63.8%	1.6%	0.1%	-3.0M	-1.76B	-6.5M	0.63	3.02	84,946	53,322	777,211	705,714
2020-11-03	$41.28	$32.00	56.0%	16.8%	102.0%	20.2%	60.3%	1.8%	-0.1%	-1.4M	-1.91B	-6.3M	0.57	2.57	66,382	37,545	777,211	705,714
2020-11-04	$41.99	$33.00	53.1%	16.5%	101.6%	17.2%	58.5%	-0.0%	-1.0%	11.7M	-2.14B	-6.2M	0.44	2.49	114,998	50,189	840,683	728,547
2020-11-05	$41.53	$37.00	51.3%	14.6%	102.3%	15.2%	51.7%	-0.4%	0.8%	12.5M	-2.05B	-6.3M	0.46	4.15	77,963	36,002	877,900	739,125
2020-11-06	$45.17	$37.00	55.4%	15.6%	104.2%	19.5%	55.6%	-2.9%	-0.5%	32.4M	-3.13B	-5.9M	0.33	3.80	402,623	131,925	896,406	745,636
2020-11-09	$41.83	$37.00	52.7%	14.8%	110.1%	16.7%	54.7%	-2.2%	-1.3%	28.7M	-2.16B	-6.5M	1.51	3.14	150,960	227,983	895,754	641,238
2020-11-10	$38.32	$37.00	54.7%	15.4%	116.7%	18.8%	55.1%	0.2%	0.2%	-1.6M	-1.23B	-6.6M	0.73	2.48	175,460	127,409	940,750	757,122
2020-11-11	$38.61	$37.00	52.9%	15.2%	116.7%	16.9%	54.1%	-2.4%	0.2%	74.4K	-1.31B	-6.6M	0.26	2.49	145,184	37,085	947,023	761,186
2020-11-12	$40.25	$37.00	54.9%	15.6%	117.0%	19.0%	55.9%	-1.7%	-0.8%	2.1M	-1.66B	-6.8M	0.37	3.66	189,091	70,040	958,930	769,813
2020-11-13	$40.26	$37.00	52.4%	15.0%	117.0%	16.5%	52.8%	-0.4%	-0.5%	-21.2M	-1.59B	-6.7M	1.43	2.53	78,237	111,935	983,500	794,639
2020-11-16	$39.00	$37.00	53.6%	15.4%	118.3%	17.6%	54.9%	-0.4%	-0.7%	-5.0M	-1.35B	-6.6M	0.68	2.54	94,136	64,014	872,139	754,542
2020-11-17	$39.43	$37.00	52.3%	15.0%	118.2%	16.3%	53.6%	-1.3%	-0.5%	-11.2M	-1.41B	-6.5M	0.30	2.06	65,082	19,259	891,497	775,852
2020-11-18	$40.57	$37.00	55.5%	15.9%	80.8%	19.6%	56.6%	-1.4%	-0.6%	-9.6M	-1.71B	-6.5M	0.52	2.33	147,973	76,701	902,530	779,875
2020-11-19	$42.39	$37.00	53.6%	15.4%	79.6%	17.6%	54.8%	-4.3%	-0.5%	12.7M	-2.27B	-6.9M	0.27	2.49	197,555	53,021	938,004	814,655
2020-11-20	$44.07	$37.00	55.9%	16.0%	73.0%	20.0%	56.7%	-4.7%	0.1%	67.8M	-2.83B	-7.2M	0.16	3.09	357,216	57,317	979,478	831,989
2020-11-23	$45.61	$37.00	54.9%	15.7%	72.7%	19.0%	55.6%	-3.5%	-0.5%	42.7M	-2.60B	-7.4M	0.39	2.50	272,625	105,740	851,839	565,587
2020-11-24	$44.08	$37.00	54.7%	15.8%	73.9%	18.8%	56.2%	-3.6%	-1.0%	22.4M	-2.17B	-7.5M	0.63	2.24	151,977	95,853	898,825	629,259
2020-11-25	$45.62	$38.00	54.4%	15.6%	72.8%	18.5%	56.2%	-4.1%	-1.2%	44.9M	-2.56B	-7.7M	0.24	2.36	161,175	38,919	920,408	670,815
2020-11-27	$45.80	$38.00	52.6%	15.2%	72.3%	16.6%	53.6%	-3.9%	-1.0%	80.1M	-2.60B	-7.6M	0.40	2.23	149,789	59,845	942,960	676,960
2020-11-30	$44.52	$38.00	54.1%	15.7%	66.4%	18.2%	56.2%	-2.5%	-0.1%	18.0M	-2.15B	-7.6M	1.02	2.83	76,779	78,282	856,595	618,825