SNAP Options History — December 2020

In December 2020, SNAP traded between $44.76 and $53.64. ATM implied volatility averaged 54.1%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 15.4%. IV traded above realized volatility by 3.3% (HV 20d: 50.8%). Max pain ranged from $21.00 to $38.00. Net GEX was positive for 18 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.59.

Notable Days

2020-12-11: Highest Volume — 415,454 contracts
2020-12-31: Largest IV spike — 6.2% change
2020-12-31: Highest IV Rank — 21.0%
2020-12-02: Largest Expected Move — 17.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$50.37	$44.76	$53.64	$44.76	$49.88
Max Pain	$23.73	$21.00	$38.00	$38.00	$27.00
ATM IV	54.1%	50.8%	56.8%	53.1%	56.8%
Expected Move	15.4%	14.1%	17.2%	16.0%	14.7%
HV 20d	50.8%	40.9%	67.9%	65.6%	44.3%
HV 60d	74.3%	73.4%	75.5%	73.4%	75.1%
IV Rank	18.2%	14.7%	21.0%	17.1%	21.0%
IV Percentile	36.9%	15.1%	50.0%	34.5%	50.0%
Term Structure	3.6%	-0.7%	16.2%	0.9%	16.2%
VWIV	55.4%	51.4%	60.8%	56.6%	52.2%
Skew 25d	-2.3%	-6.7%	6.6%	-2.0%	-3.4%
Skew 10d	-2.6%	-9.0%	6.4%	-2.8%	6.4%
Call IV 25d	57.1%	54.1%	62.6%	55.2%	57.1%
Put IV 25d	54.8%	51.0%	63.9%	53.1%	53.7%
Bid-Ask Spread %	2.53	1.88	4.11	2.47	1.88
Gamma HHI	0.16	0.08	0.47	0.08	0.47
Net GEX	26.5M	-61.5M	77.5M	11.2M	-61.5M
Net DEX	-2.84B	-3.83B	-1.97B	-2.13B	-2.32B
Net VEX	-9.1M	-10.9M	-7.8M	-7.8M	-10.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.13	1.24	0.65	1.09
Total Volume	200,401.136	83,266	415,454	125,881	241,189
Total OI	1,698,427.5	1,508,544	1,933,964	1,529,527	1,933,964

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
2020-12-01	$44.76	$38.00	53.1%	16.0%	65.6%	17.1%	56.6%	-2.0%	0.9%	11.2M	-2.13B	-7.8M	0.65	2.47	76,396	49,485	863,533	665,994
2020-12-02	$47.34	$38.00	56.4%	17.2%	67.9%	20.6%	60.8%	-2.3%	1.2%	32.9M	-2.68B	-7.9M	0.34	2.82	159,777	54,951	877,770	685,790
2020-12-03	$47.91	$21.00	54.9%	16.1%	67.9%	19.0%	57.1%	-2.5%	1.4%	48.7M	-2.84B	-8.0M	0.25	3.33	228,259	56,113	898,867	710,902
2020-12-04	$48.09	$21.00	53.9%	15.7%	67.5%	18.0%	55.4%	-2.0%	0.5%	77.5M	-2.87B	-8.0M	0.39	2.25	120,313	46,629	915,437	722,375
2020-12-07	$49.30	$21.00	55.9%	16.2%	61.6%	20.0%	57.5%	-1.3%	0.4%	34.3M	-2.91B	-7.9M	0.83	2.39	107,402	88,767	862,419	646,125
2020-12-08	$49.75	$21.00	54.3%	15.9%	53.7%	18.4%	56.4%	-2.4%	1.2%	42.5M	-3.00B	-8.0M	0.42	4.11	64,274	27,195	892,143	708,786
2020-12-09	$49.10	$21.00	54.7%	16.0%	40.9%	18.8%	56.8%	-1.0%	0.7%	38.5M	-2.85B	-8.0M	0.50	2.36	109,622	54,322	894,123	720,459
2020-12-10	$53.11	$21.00	56.0%	16.5%	47.1%	20.2%	57.2%	-6.7%	1.9%	60.5M	-3.69B	-7.9M	0.37	2.61	209,303	76,897	923,595	749,390
2020-12-11	$53.64	$21.00	55.8%	16.2%	46.2%	20.0%	57.6%	-3.9%	0.6%	68.4M	-3.83B	-8.0M	0.44	2.04	287,859	127,595	961,230	775,576
2020-12-14	$51.57	$21.00	53.8%	15.5%	49.8%	17.9%	55.4%	-2.3%	0.3%	39.7M	-3.12B	-8.6M	0.60	3.29	94,110	56,521	937,550	745,042
2020-12-15	$51.30	$21.00	52.6%	15.1%	47.5%	16.7%	53.7%	-3.7%	0.5%	36.8M	-3.04B	-8.8M	0.42	2.71	63,882	26,926	953,642	774,109
2020-12-16	$51.89	$21.00	53.5%	15.3%	47.5%	17.5%	55.4%	-2.7%	-0.1%	42.2M	-3.16B	-8.9M	0.59	2.82	82,408	48,237	957,330	791,276
2020-12-17	$52.86	$21.00	54.2%	15.6%	47.2%	18.3%	55.3%	-3.0%	-0.7%	62.4M	-3.34B	-9.2M	0.13	2.25	293,762	38,327	965,477	820,017
2020-12-18	$52.65	$21.00	52.8%	15.0%	46.1%	16.9%	54.1%	-4.1%	1.2%	39.4M	-3.31B	-9.7M	1.24	2.89	95,804	118,503	1,009,953	833,265
2020-12-21	$52.38	$22.00	53.5%	15.2%	45.2%	17.6%	55.0%	-2.5%	0.9%	21.4M	-2.82B	-9.8M	1.11	2.32	39,396	43,870	863,614	763,278
2020-12-22	$52.18	$22.00	53.0%	15.1%	44.3%	17.0%	53.6%	-2.5%	2.1%	18.4M	-2.79B	-9.8M	0.51	2.81	94,497	48,588	874,194	779,833
2020-12-23	$51.91	$23.00	50.8%	14.3%	41.9%	14.7%	51.9%	-3.1%	1.0%	13.5M	-2.77B	-10.0M	0.55	1.97	86,773	48,148	910,434	808,892
2020-12-24	$49.99	$23.00	51.4%	14.1%	43.7%	15.3%	51.4%	-2.4%	3.9%	-39.0M	-2.34B	-10.3M	1.17	2.17	67,845	79,435	940,758	819,499
2020-12-28	$48.31	$23.00	53.4%	14.2%	45.8%	17.4%	56.0%	-1.3%	15.0%	-7.2M	-1.97B	-10.5M	0.73	1.95	117,570	85,685	877,172	819,680
2020-12-29	$50.72	$27.00	55.8%	15.4%	47.1%	19.9%	56.4%	6.6%	14.5%	8.8M	-2.54B	-10.7M	0.27	1.90	320,109	85,286	934,146	880,007
2020-12-30	$49.57	$27.00	53.5%	14.7%	48.2%	17.5%	53.0%	-2.7%	14.9%	-6.6M	-2.23B	-10.9M	0.46	2.26	127,811	58,984	997,488	900,271
2020-12-31	$49.88	$27.00	56.8%	14.7%	44.3%	21.0%	52.2%	-3.4%	16.2%	-61.5M	-2.32B	-10.8M	1.09	1.88	115,216	125,973	1,024,784	909,180