SNAP Options History — April 2021

In April 2021, SNAP traded between $54.25 and $63.92. ATM implied volatility averaged 69.5%, placing in the 32.5% IV rank vs the trailing year. The 30-day expected move averaged 19.0%. IV traded above realized volatility by 9.2% (HV 20d: 60.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 1 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2021-04-23: Highest Volume — 897,077 contracts
2021-04-23: Largest IV drop — 29.5% change
2021-04-20: Highest IV Rank — 51.5%
2021-04-20: Largest Expected Move — 23.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.30	$54.25	$63.92	$54.43	$61.81
Max Pain	$57.40	$55.00	$60.00	$55.00	$59.50
ATM IV	69.5%	51.6%	82.5%	73.0%	51.8%
Expected Move	19.0%	14.8%	23.5%	16.6%	15.0%
HV 20d	60.3%	44.2%	74.1%	74.1%	44.2%
HV 60d	71.6%	66.4%	75.0%	74.0%	66.4%
IV Rank	32.5%	6.3%	51.5%	37.6%	6.6%
IV Percentile	63.9%	10.7%	94.4%	75.0%	12.7%
Term Structure	-3.1%	-6.8%	0.9%	-1.8%	-1.1%
VWIV	67.3%	52.6%	82.8%	60.1%	52.8%
Skew 25d	-0.8%	-5.6%	1.5%	1.0%	-2.5%
Skew 10d	2.1%	-2.1%	14.1%	6.2%	14.1%
Call IV 25d	71.4%	52.3%	84.4%	78.8%	53.8%
Put IV 25d	70.6%	51.3%	82.9%	79.8%	51.3%
Bid-Ask Spread %	3.54	2.31	6.30	2.96	4.54
Gamma HHI	0.07	0.04	0.20	0.11	0.10
Net GEX	34.8M	-5.0M	65.7M	33.1M	47.2M
Net DEX	-2.75B	-4.09B	-1.39B	-1.58B	-2.81B
Net VEX	-15.9M	-16.5M	-15.4M	-16.1M	-16.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.19	0.97	0.19	0.34
Total Volume	277,212.19	52,784	897,077	230,043	311,001
Total OI	1,939,493.952	1,651,683	2,121,191	2,026,471	1,964,234

Daily Data (21 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
2021-04-01	$54.43	$55.00	73.0%	16.6%	74.1%	37.6%	60.1%	1.0%	-1.8%	33.1M	-1.58B	-16.1M	0.19	2.96	192,538	37,505	1,063,681	962,790
2021-04-05	$54.25	$55.00	72.2%	19.8%	74.1%	36.3%	69.5%	-0.5%	-2.3%	23.9M	-1.39B	-15.5M	0.87	4.31	28,268	24,516	995,112	942,642
2021-04-06	$56.95	$55.00	77.5%	20.2%	71.0%	44.2%	71.0%	-0.8%	-4.0%	28.8M	-2.13B	-15.9M	0.22	3.82	236,703	52,380	1,001,384	963,471
2021-04-07	$60.25	$55.00	77.7%	20.3%	70.9%	44.5%	71.7%	-0.4%	-3.6%	34.3M	-3.15B	-16.1M	0.38	5.85	276,901	104,151	1,062,271	982,593
2021-04-08	$62.84	$55.00	76.8%	20.0%	71.7%	43.1%	71.0%	-0.1%	-4.0%	40.1M	-3.96B	-16.1M	0.41	2.31	166,764	68,433	1,093,934	1,000,656
2021-04-09	$63.31	$55.00	76.6%	20.0%	67.1%	42.8%	70.5%	-0.4%	-4.6%	50.0M	-4.09B	-15.9M	0.40	2.59	251,000	99,821	1,101,677	1,019,514
2021-04-12	$62.59	$55.00	74.3%	20.0%	66.3%	39.5%	70.6%	1.5%	-3.1%	31.7M	-3.44B	-15.7M	0.44	2.67	73,435	32,520	1,033,656	941,616
2021-04-13	$62.72	$55.00	73.0%	19.7%	65.0%	37.6%	70.3%	-5.6%	-3.4%	33.6M	-3.49B	-15.7M	0.45	2.52	102,973	45,950	1,044,298	952,143
2021-04-14	$61.89	$55.00	72.1%	19.7%	64.8%	36.2%	69.3%	-1.4%	-3.5%	27.3M	-3.26B	-15.7M	0.20	3.32	208,822	41,409	1,059,425	970,161
2021-04-15	$63.92	$55.00	77.1%	20.2%	65.6%	43.5%	71.3%	-1.6%	-4.7%	43.1M	-3.89B	-15.6M	0.39	3.09	243,047	95,273	1,074,675	985,658
2021-04-16	$61.01	$60.00	78.6%	21.4%	61.7%	45.8%	75.8%	0.9%	-6.8%	-5.0M	-3.14B	-16.0M	0.85	4.89	194,574	166,360	1,093,616	969,587
2021-04-19	$59.72	$60.00	80.8%	22.8%	62.1%	49.0%	81.2%	-0.7%	-4.5%	22.8M	-2.31B	-16.2M	0.97	2.47	91,280	88,147	874,840	776,843
2021-04-20	$58.82	$60.00	82.5%	23.5%	62.3%	51.5%	82.8%	-1.5%	-4.4%	18.0M	-2.11B	-16.3M	0.85	3.23	87,652	74,371	900,522	841,480
2021-04-21	$58.22	$60.00	78.7%	22.6%	59.1%	45.9%	79.8%	-2.1%	-4.1%	17.4M	-2.00B	-16.3M	0.36	4.29	115,984	41,915	922,508	884,928
2021-04-22	$57.50	$60.00	73.3%	21.2%	46.8%	38.0%	75.3%	-0.9%	-4.2%	17.6M	-1.83B	-16.0M	0.60	6.30	197,743	118,951	945,304	907,192
2021-04-23	$60.72	$59.00	51.6%	14.8%	49.6%	6.3%	52.6%	-1.4%	0.9%	65.7M	-2.61B	-15.4M	0.45	3.75	616,644	280,433	1,032,487	966,927
2021-04-26	$60.04	$59.00	51.7%	15.0%	50.0%	6.4%	52.9%	0.1%	-1.1%	35.7M	-2.20B	-15.4M	0.37	2.43	136,132	49,897	900,149	880,345
2021-04-27	$61.41	$59.00	53.7%	15.6%	47.7%	9.3%	54.9%	-0.4%	-0.6%	51.4M	-2.63B	-15.6M	0.40	2.46	241,928	96,716	933,425	894,847
2021-04-28	$61.83	$59.50	53.7%	15.6%	47.7%	9.3%	54.5%	-0.3%	-1.2%	52.6M	-2.72B	-16.2M	0.38	4.03	151,711	58,063	953,233	922,897
2021-04-29	$62.12	$59.50	53.2%	15.6%	45.3%	8.6%	55.1%	0.3%	-2.2%	62.3M	-2.89B	-16.1M	0.37	2.47	232,423	87,122	976,662	935,990
2021-04-30	$61.81	$59.50	51.8%	15.0%	44.2%	6.6%	52.8%	-2.5%	-1.1%	47.2M	-2.81B	-16.5M	0.34	4.54	232,145	78,856	996,959	967,275