SNAP Options History — February 2021

In February 2021, SNAP traded between $56.55 and $71.72. ATM implied volatility averaged 67.6%, placing in the 29.8% IV rank vs the trailing year. The 30-day expected move averaged 19.8%. IV traded below realized volatility by 4.4% (HV 20d: 72.1%). Max pain ranged from $50.00 to $62.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.53.

Notable Days

2021-02-05: Highest Volume — 756,938 contracts
2021-02-05: Largest IV drop — 33.4% change
2021-02-01: Highest IV Rank — 59.1%
2021-02-01: Largest Expected Move — 30.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.06	$56.55	$71.72	$56.55	$65.63
Max Pain	$56.16	$50.00	$62.00	$50.00	$62.00
ATM IV	67.6%	57.3%	93.2%	93.2%	68.8%
Expected Move	19.8%	16.3%	30.1%	30.1%	20.1%
HV 20d	72.1%	64.2%	79.2%	72.0%	74.5%
HV 60d	58.5%	55.1%	63.5%	61.6%	63.4%
IV Rank	29.8%	16.9%	59.1%	59.1%	25.2%
IV Percentile	63.7%	47.2%	92.1%	92.1%	64.3%
Term Structure	-1.8%	-6.0%	1.1%	-3.5%	-1.4%
VWIV	69.8%	57.5%	105.5%	105.5%	72.7%
Skew 25d	-1.3%	-3.7%	8.0%	-2.4%	-0.6%
Skew 10d	-1.3%	-8.3%	6.2%	-1.3%	-1.1%
Call IV 25d	69.2%	59.1%	95.3%	94.9%	71.7%
Put IV 25d	67.9%	57.2%	92.5%	92.5%	71.1%
Bid-Ask Spread %	7.24	2.91	17.41	3.09	7.80
Gamma HHI	0.11	0.06	0.26	0.09	0.14
Net GEX	41.1M	8.0M	78.2M	15.5M	40.6M
Net DEX	-2.85B	-4.12B	-1.96B	-1.96B	-2.84B
Net VEX	-14.6M	-15.3M	-14.1M	-14.3M	-15.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.20	1.59	0.35	0.53
Total Volume	260,442.263	89,053	756,938	155,949	396,203
Total OI	1,631,769.737	1,347,216	1,866,765	1,347,216	1,866,765

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
2021-02-01	$56.55	$50.00	93.2%	30.1%	72.0%	59.1%	105.5%	-2.4%	-3.5%	15.5M	-1.96B	-14.3M	0.35	3.09	115,916	40,033	704,170	643,046
2021-02-02	$58.63	$50.00	88.3%	28.7%	72.5%	54.0%	101.1%	-1.8%	-3.7%	22.5M	-2.31B	-14.2M	0.30	2.91	128,966	38,404	768,711	662,574
2021-02-03	$59.26	$50.00	87.4%	29.3%	72.4%	53.0%	102.4%	0.2%	-4.9%	27.0M	-2.44B	-14.4M	0.50	3.07	141,810	70,479	822,773	681,429
2021-02-04	$58.60	$55.00	92.4%	23.9%	72.4%	58.3%	83.7%	-3.7%	-5.1%	27.4M	-2.41B	-14.7M	1.01	4.19	199,320	201,212	883,513	716,706
2021-02-05	$64.12	$55.00	61.6%	17.2%	76.7%	26.0%	61.0%	-3.1%	-0.9%	63.8M	-3.45B	-14.1M	0.38	3.18	550,345	206,593	949,853	838,841
2021-02-08	$63.16	$55.00	59.7%	16.9%	77.2%	24.1%	59.8%	-2.6%	-1.1%	55.8M	-2.97B	-14.2M	0.89	7.27	106,567	94,645	846,999	710,064
2021-02-09	$63.04	$55.00	60.0%	17.1%	76.8%	24.3%	60.6%	-3.1%	-0.1%	53.1M	-2.94B	-14.4M	0.40	4.15	145,347	57,505	882,525	761,693
2021-02-10	$62.45	$55.00	60.4%	17.0%	76.2%	24.8%	61.0%	-2.5%	-0.9%	49.3M	-2.83B	-14.7M	0.74	5.59	70,438	52,139	896,231	773,973
2021-02-11	$62.59	$55.00	60.4%	17.0%	74.0%	24.8%	60.0%	-2.1%	-1.2%	50.5M	-2.85B	-14.7M	0.30	8.23	139,158	41,957	901,038	798,394
2021-02-12	$62.17	$55.00	58.3%	16.6%	65.0%	22.5%	58.5%	-2.2%	-1.0%	39.6M	-2.75B	-14.8M	0.22	8.30	101,695	22,778	901,730	808,542
2021-02-16	$62.73	$60.00	59.2%	17.0%	65.0%	23.5%	60.0%	-0.3%	-0.9%	42.7M	-2.74B	-14.7M	1.59	8.03	77,219	122,557	812,838	710,766
2021-02-17	$62.84	$55.00	58.8%	16.9%	65.0%	21.1%	60.1%	-0.7%	0.4%	33.4M	-2.72B	-14.6M	0.94	13.48	45,818	43,235	832,863	806,938
2021-02-18	$63.19	$60.00	58.8%	16.8%	64.6%	21.0%	59.3%	-1.0%	1.1%	36.4M	-2.76B	-14.7M	0.20	11.69	95,202	18,691	835,658	832,676
2021-02-19	$65.48	$55.00	57.3%	16.3%	64.2%	17.2%	57.5%	-1.9%	0.9%	51.9M	-3.35B	-14.4M	0.22	5.99	224,402	49,419	845,869	835,343
2021-02-22	$63.28	$60.00	62.0%	18.1%	65.5%	20.9%	63.3%	-2.1%	-1.2%	25.3M	-2.51B	-14.7M	0.35	8.78	178,296	61,893	772,103	726,996
2021-02-23	$71.72	$60.00	66.1%	19.3%	77.4%	22.1%	66.8%	-3.5%	-3.5%	60.3M	-4.12B	-14.1M	0.34	17.41	354,736	120,611	825,483	784,736
2021-02-24	$69.33	$60.00	61.7%	17.9%	79.1%	16.9%	62.3%	0.3%	-0.2%	78.2M	-3.89B	-14.7M	0.34	4.97	290,310	98,275	895,189	834,369
2021-02-25	$63.42	$60.00	70.6%	19.9%	79.2%	27.4%	70.3%	8.0%	-6.0%	8.0M	-2.27B	-15.3M	0.40	9.46	175,355	70,874	947,208	885,020
2021-02-26	$65.63	$62.00	68.8%	20.1%	74.5%	25.2%	72.7%	-0.6%	-1.4%	40.6M	-2.84B	-15.1M	0.53	7.80	258,600	137,603	966,790	899,975