SNAP Options History — March 2021

In March 2021, SNAP traded between $49.51 and $66.84. ATM implied volatility averaged 69.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 18.1%. IV traded below realized volatility by 10.0% (HV 20d: 79.5%). Max pain ranged from $50.00 to $62.50. Net GEX was positive for 8 of 23 trading days. Term structure was in contango for 10 of 23 days. Put/call ratio averaged 0.69.

Notable Days

2021-03-05: Highest Volume — 440,960 contracts
2021-03-18: Largest IV spike — 13.4% change
2021-03-31: Highest IV Rank — 54.2%
2021-03-08: Largest Expected Move — 20.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.32	$49.51	$66.84	$66.84	$52.41
Max Pain	$54.46	$50.00	$62.50	$62.50	$55.00
ATM IV	69.6%	60.1%	84.4%	62.8%	84.4%
Expected Move	18.1%	15.8%	20.1%	17.7%	18.2%
HV 20d	79.5%	72.0%	89.8%	74.0%	73.4%
HV 60d	69.2%	63.1%	73.8%	63.4%	73.7%
IV Rank	29.5%	15.0%	54.2%	18.3%	54.2%
IV Percentile	68.3%	53.2%	92.1%	58.3%	92.1%
Term Structure	2.5%	-10.7%	22.7%	0.9%	-6.7%
VWIV	65.3%	56.8%	71.4%	63.8%	67.4%
Skew 25d	1.9%	-9.2%	14.0%	-0.6%	4.0%
Skew 10d	5.6%	-10.2%	14.8%	-1.9%	7.6%
Call IV 25d	71.2%	61.8%	101.8%	63.1%	80.1%
Put IV 25d	73.1%	60.9%	92.6%	62.5%	84.1%
Bid-Ask Spread %	8.17	2.76	31.58	6.93	3.36
Gamma HHI	0.09	0.05	0.38	0.07	0.06
Net GEX	1.6M	-74.1M	79.9M	33.7M	21.8M
Net DEX	-1.31B	-2.86B	-232.2M	-2.86B	-985.0M
Net VEX	-15.7M	-16.3M	-15.0M	-15.3M	-15.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.69	0.13	2.51	0.71	0.13
Total Volume	206,201.913	122,074	440,960	169,649	236,091
Total OI	1,801,714.174	1,574,794	1,979,382	1,574,794	1,973,372

Daily Data (23 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
2021-03-01	$66.84	$62.50	62.8%	17.7%	74.0%	18.3%	63.8%	-0.6%	0.9%	33.7M	-2.86B	-15.3M	0.71	6.93	99,253	70,396	825,635	749,159
2021-03-02	$64.64	$62.50	60.3%	17.3%	72.0%	15.3%	62.5%	-1.6%	0.1%	21.0M	-2.46B	-15.3M	0.44	4.10	94,040	41,240	866,602	799,142
2021-03-03	$59.76	$62.50	64.5%	19.5%	77.1%	20.2%	69.3%	0.8%	-1.1%	-5.6M	-1.54B	-15.6M	0.82	4.07	128,289	105,351	887,526	828,214
2021-03-04	$57.62	$50.00	66.9%	18.4%	78.1%	23.0%	65.0%	5.9%	-0.4%	-29.9M	-993.8M	-15.5M	0.47	18.77	109,550	51,769	906,689	886,320
2021-03-05	$57.44	$50.00	67.2%	19.0%	78.0%	23.4%	67.4%	5.9%	-2.0%	-74.1M	-908.3M	-15.4M	1.91	31.58	151,768	289,192	923,563	895,804
2021-03-08	$53.24	$50.00	73.1%	20.1%	74.5%	30.3%	71.4%	6.7%	-2.2%	-7.7M	-514.1M	-15.7M	0.56	5.01	91,712	51,710	812,458	885,518
2021-03-09	$56.35	$50.00	64.5%	18.4%	78.0%	20.3%	65.1%	3.9%	-0.1%	-4.1M	-1.00B	-16.0M	0.35	4.29	92,285	31,902	834,932	897,341
2021-03-10	$55.36	$50.00	65.8%	18.6%	78.1%	21.7%	64.9%	3.0%	-0.8%	-3.2M	-830.2M	-15.8M	1.01	20.11	78,320	79,059	869,240	906,182
2021-03-11	$59.63	$50.00	62.6%	18.0%	83.2%	18.0%	64.2%	-3.8%	0.5%	23.1M	-1.71B	-16.1M	0.55	4.48	168,996	93,138	882,000	915,689
2021-03-12	$61.66	$50.00	60.9%	18.4%	84.2%	16.0%	65.5%	-4.6%	1.0%	79.9M	-2.36B	-16.3M	0.23	27.82	171,712	39,207	924,269	933,045
2021-03-15	$63.91	$55.00	61.5%	17.7%	85.1%	16.7%	63.2%	1.1%	13.6%	33.8M	-2.59B	-16.1M	0.93	3.23	68,953	64,458	868,707	874,056
2021-03-16	$62.67	$55.00	60.6%	17.4%	85.4%	15.6%	62.2%	1.3%	16.3%	23.0M	-2.30B	-16.1M	0.55	4.24	78,781	43,293	880,535	921,310
2021-03-17	$63.57	$55.00	60.1%	17.2%	85.5%	15.0%	61.5%	1.3%	15.7%	41.4M	-2.55B	-15.9M	0.30	4.40	106,875	31,645	897,009	942,060
2021-03-18	$58.86	$55.00	68.1%	18.5%	89.8%	24.4%	65.9%	2.5%	20.3%	-20.4M	-1.37B	-15.9M	0.56	3.45	171,118	96,151	936,344	948,599
2021-03-19	$58.25	$55.00	68.4%	17.3%	88.6%	28.4%	63.5%	2.4%	22.7%	-26.5M	-1.20B	-15.9M	2.51	3.25	89,933	225,932	994,694	958,422
2021-03-22	$58.52	$55.00	70.5%	15.8%	88.1%	34.0%	56.8%	2.1%	-2.4%	-17.5M	-1.37B	-15.8M	0.44	2.76	107,792	47,400	767,101	899,249
2021-03-23	$55.42	$55.00	74.5%	16.7%	75.3%	39.7%	62.2%	3.9%	-0.7%	-17.5M	-830.3M	-15.5M	0.26	3.18	182,226	46,982	795,815	918,280
2021-03-24	$50.35	$55.00	77.7%	18.4%	80.6%	44.5%	65.8%	-2.1%	5.7%	-12.9M	-232.2M	-15.0M	0.56	7.15	152,830	84,877	866,994	925,979
2021-03-25	$51.35	$55.00	80.9%	18.7%	76.7%	49.1%	66.8%	14.0%	-4.3%	-7.5M	-352.1M	-15.3M	1.02	4.00	166,909	169,707	919,454	943,279
2021-03-26	$51.19	$55.00	83.7%	19.2%	74.9%	53.3%	68.0%	-9.2%	-10.7%	-5.9M	-396.2M	-15.5M	0.75	3.48	154,890	116,739	997,364	982,018
2021-03-29	$49.51	$55.00	82.2%	18.6%	74.3%	51.1%	69.9%	3.7%	-3.5%	-3.8M	-329.9M	-15.4M	0.51	15.22	88,051	44,696	939,111	935,964
2021-03-30	$49.82	$55.00	79.1%	18.1%	74.4%	46.6%	69.5%	2.2%	-4.7%	-3.5M	-418.4M	-15.4M	0.30	3.06	97,965	29,461	977,563	946,819
2021-03-31	$52.41	$55.00	84.4%	18.2%	73.4%	54.2%	67.4%	4.0%	-6.7%	21.8M	-985.0M	-15.8M	0.13	3.36	208,329	27,762	1,017,534	955,838