SNAP Options History — January 2021

In January 2021, SNAP traded between $48.76 and $56.38. ATM implied volatility averaged 82.8%, placing in the 48.2% IV rank vs the trailing year. The 30-day expected move averaged 23.5%. IV traded above realized volatility by 30.8% (HV 20d: 52.0%). Max pain ranged from $50.00 to $50.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.51.

Notable Days

2021-01-15: Highest Volume — 309,614 contracts
2021-01-27: Largest IV spike — 31.6% change
2021-01-27: Highest IV Rank — 82.6%
2021-01-27: Largest Expected Move — 34.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.11	$48.76	$56.38	$49.36	$52.58
Max Pain	$50.00	$50.00	$50.00	$50.00	$50.00
ATM IV	82.8%	68.2%	115.7%	76.3%	96.9%
Expected Move	23.5%	19.9%	34.9%	20.3%	29.9%
HV 20d	52.0%	39.7%	68.0%	44.4%	67.6%
HV 60d	68.4%	57.3%	79.4%	75.2%	60.1%
IV Rank	48.2%	32.9%	82.6%	41.4%	62.9%
IV Percentile	86.3%	72.6%	98.8%	82.9%	94.8%
Term Structure	-3.6%	-7.1%	-0.2%	-2.8%	-5.0%
VWIV	83.6%	70.8%	124.5%	72.6%	107.5%
Skew 25d	-0.6%	-7.0%	4.8%	-2.6%	0.1%
Skew 10d	-1.3%	-8.6%	3.3%	-0.3%	0.4%
Call IV 25d	85.4%	73.4%	114.4%	77.1%	98.2%
Put IV 25d	84.8%	74.5%	118.6%	74.5%	98.4%
Bid-Ask Spread %	5.52	1.92	14.25	2.80	3.43
Gamma HHI	0.11	0.06	0.31	0.09	0.08
Net GEX	34.3M	-3.8M	85.0M	8.3M	13.0M
Net DEX	-2.24B	-3.93B	-846.5M	-2.23B	-1.61B
Net VEX	-12.6M	-14.3M	-11.1M	-11.1M	-14.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.23	1.17	0.33	0.81
Total Volume	201,286.211	99,402	309,614	153,029	134,409
Total OI	1,769,411.211	1,413,416	2,173,740	1,818,122	1,609,147

Daily Data (19 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
2021-01-04	$49.36	$50.00	76.3%	20.3%	44.4%	41.4%	72.6%	-2.6%	-2.8%	8.3M	-2.23B	-11.1M	0.33	2.80	115,118	37,911	950,830	867,292
2021-01-05	$50.28	$50.00	68.2%	20.1%	44.8%	32.9%	71.6%	-1.8%	-1.8%	18.6M	-2.52B	-11.1M	0.59	8.49	62,643	36,759	997,231	885,986
2021-01-06	$49.80	$50.00	75.7%	19.9%	44.2%	40.7%	70.8%	4.8%	-2.2%	11.4M	-2.37B	-11.2M	0.44	4.19	78,417	34,158	1,010,217	909,434
2021-01-07	$52.42	$50.00	75.2%	19.9%	47.7%	40.3%	70.8%	-3.5%	-1.9%	43.5M	-3.11B	-11.4M	0.23	12.16	211,472	49,684	1,020,711	923,500
2021-01-08	$52.68	$50.00	73.0%	20.1%	47.3%	38.0%	72.0%	3.5%	-0.2%	65.0M	-3.18B	-11.7M	0.58	3.69	104,032	59,983	1,064,532	945,838
2021-01-11	$54.34	$50.00	78.9%	21.1%	39.7%	44.1%	75.2%	2.1%	-4.2%	42.0M	-3.39B	-11.6M	0.36	14.25	201,783	71,915	990,469	911,708
2021-01-12	$56.38	$50.00	78.2%	21.0%	41.6%	43.4%	74.3%	-3.6%	-5.3%	63.6M	-3.93B	-11.9M	0.35	1.92	129,579	45,343	1,050,629	950,093
2021-01-13	$53.93	$50.00	78.5%	21.2%	42.3%	43.7%	74.8%	1.2%	-5.2%	53.6M	-3.22B	-12.1M	0.26	11.52	174,086	45,588	1,061,497	969,597
2021-01-14	$49.34	$50.00	81.1%	22.0%	53.3%	46.5%	78.5%	1.1%	-5.3%	12.1M	-1.96B	-12.4M	0.39	9.45	217,866	84,241	1,099,145	988,133
2021-01-15	$50.01	$50.00	79.0%	21.5%	53.4%	44.2%	76.5%	-3.0%	-6.2%	70.9M	-2.21B	-12.7M	0.60	3.49	193,164	116,450	1,165,303	1,008,437
2021-01-19	$50.39	$50.00	77.8%	22.1%	52.9%	43.0%	78.0%	-1.6%	-0.7%	11.3M	-1.22B	-12.7M	0.63	2.66	95,237	60,437	774,687	638,729
2021-01-20	$52.01	$50.00	79.4%	22.8%	54.3%	44.6%	80.3%	0.1%	-2.6%	23.7M	-1.57B	-12.8M	0.52	2.86	145,579	75,222	794,651	674,358
2021-01-21	$54.25	$50.00	80.5%	23.2%	56.3%	45.8%	81.5%	-0.7%	-1.8%	53.8M	-2.09B	-13.2M	0.31	2.08	206,154	64,747	830,861	718,528
2021-01-22	$53.45	$50.00	84.8%	24.5%	56.6%	50.3%	87.1%	-2.0%	-2.5%	85.0M	-1.84B	-13.3M	0.33	2.82	200,133	66,994	850,554	741,033
2021-01-25	$53.50	$50.00	89.2%	26.2%	56.6%	54.9%	93.4%	0.4%	-4.1%	26.2M	-1.75B	-13.9M	0.70	2.37	79,557	55,423	784,532	698,841
2021-01-26	$53.26	$50.00	87.9%	26.7%	54.7%	53.5%	95.3%	-7.0%	-4.4%	22.0M	-1.68B	-14.0M	1.17	4.27	54,327	63,711	800,717	732,833
2021-01-27	$48.76	$50.00	115.7%	34.9%	62.4%	82.6%	124.5%	4.2%	-7.1%	-3.8M	-846.5M	-14.2M	0.40	6.80	140,334	56,626	807,377	766,679
2021-01-28	$53.30	$50.00	97.1%	29.4%	68.0%	63.2%	103.6%	-3.7%	-4.4%	30.9M	-1.78B	-14.3M	0.74	5.68	146,526	108,830	839,091	785,613
2021-01-29	$52.58	$50.00	96.9%	29.9%	67.6%	62.9%	107.5%	0.1%	-5.0%	13.0M	-1.61B	-14.2M	0.81	3.43	74,113	60,296	843,879	765,268