SNAP Options History — May 2021

In May 2021, SNAP traded between $51.13 and $62.23. ATM implied volatility averaged 52.9%, placing in the 8.5% IV rank vs the trailing year. The 30-day expected move averaged 15.2%. IV traded above realized volatility by 1.6% (HV 20d: 51.4%). Max pain ranged from $40.00 to $60.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 6 of 20 days. Put/call ratio averaged 0.85.

Notable Days

2021-05-21: Highest Volume — 373,819 contracts
2021-05-12: Largest IV spike — 11.6% change
2021-05-12: Highest IV Rank — 21.6%
2021-05-04: Largest Expected Move — 17.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.75	$51.13	$62.23	$58.83	$62.23
Max Pain	$42.92	$40.00	$60.00	$59.50	$40.00
ATM IV	52.9%	44.1%	62.1%	53.0%	44.1%
Expected Move	15.2%	12.3%	17.5%	16.1%	12.3%
HV 20d	51.4%	44.3%	56.7%	48.4%	56.7%
HV 60d	64.7%	58.9%	68.3%	67.1%	58.9%
IV Rank	8.5%	0.0%	21.6%	8.3%	0.0%
IV Percentile	24.7%	0.0%	59.9%	21.8%	0.0%
Term Structure	-0.4%	-2.2%	1.5%	-1.1%	0.3%
VWIV	54.8%	44.7%	64.3%	56.8%	44.7%
Skew 25d	2.5%	-1.4%	6.2%	0.7%	0.3%
Skew 10d	7.3%	1.7%	13.4%	4.2%	1.7%
Call IV 25d	53.0%	44.6%	61.1%	53.2%	44.6%
Put IV 25d	55.4%	44.9%	66.4%	53.9%	44.9%
Bid-Ask Spread %	3.84	2.66	5.07	3.04	3.21
Gamma HHI	0.09	0.05	0.34	0.06	0.34
Net GEX	22.5M	-12.6M	88.5M	29.0M	86.2M
Net DEX	-1.30B	-2.97B	-354.6M	-1.85B	-2.97B
Net VEX	-15.5M	-16.2M	-15.0M	-16.2M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.85	0.23	2.25	0.50	0.51
Total Volume	188,570.85	97,828	373,819	230,560	361,614
Total OI	1,878,774.5	1,765,836	1,987,881	1,792,854	1,942,838

Daily Data (20 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
2021-05-03	$58.83	$59.50	53.0%	16.1%	48.4%	8.3%	56.8%	0.7%	-1.1%	29.0M	-1.85B	-16.2M	0.50	3.04	153,209	77,351	898,243	894,611
2021-05-04	$55.09	$60.00	57.0%	17.5%	51.3%	14.2%	61.3%	-1.4%	-0.8%	13.9M	-1.03B	-15.9M	0.48	4.86	230,035	111,045	942,105	915,526
2021-05-05	$54.10	$59.00	55.6%	17.0%	46.8%	12.2%	60.0%	3.3%	-0.9%	4.0M	-753.2M	-15.3M	0.37	3.72	90,402	33,246	953,180	946,366
2021-05-06	$52.30	$40.00	56.1%	16.1%	44.3%	12.9%	55.3%	3.5%	-0.7%	-8.6M	-354.6M	-15.0M	1.84	4.94	84,937	156,455	952,867	951,201
2021-05-07	$54.81	$40.00	52.4%	14.7%	48.3%	7.4%	55.0%	3.0%	0.3%	18.7M	-800.7M	-15.1M	1.04	4.99	97,402	101,166	972,275	979,907
2021-05-10	$52.45	$40.00	56.1%	16.3%	50.0%	12.8%	56.5%	5.4%	1.5%	-10.4M	-502.5M	-15.2M	0.76	4.72	86,121	65,431	834,987	930,849
2021-05-11	$53.49	$40.00	55.7%	15.6%	50.9%	12.2%	57.8%	4.4%	-1.3%	-7.8M	-702.8M	-15.6M	0.69	3.35	69,149	47,568	850,999	949,046
2021-05-12	$51.69	$40.00	62.1%	17.5%	51.7%	21.6%	61.6%	6.2%	-1.1%	-10.6M	-428.8M	-15.3M	2.13	4.19	51,698	110,184	866,325	955,665
2021-05-13	$51.13	$40.00	58.8%	16.9%	49.4%	16.8%	58.4%	5.3%	-0.5%	-12.6M	-368.5M	-15.3M	0.64	3.58	110,111	70,022	886,227	955,690
2021-05-14	$52.92	$40.00	53.0%	15.1%	50.0%	8.3%	54.8%	3.3%	-0.5%	-28.8K	-745.0M	-15.3M	0.68	3.50	91,587	62,335	941,342	964,928
2021-05-17	$53.47	$40.00	54.6%	15.6%	50.1%	10.7%	64.3%	2.4%	-1.3%	8.1M	-908.1M	-15.4M	2.25	4.09	37,781	85,180	899,930	926,203
2021-05-18	$53.84	$40.00	53.1%	15.2%	50.1%	8.5%	54.7%	2.4%	-0.2%	10.3M	-982.9M	-15.5M	0.23	4.29	136,375	31,943	912,099	989,517
2021-05-19	$53.75	$40.00	54.5%	15.6%	50.1%	10.6%	57.3%	2.7%	-0.6%	9.4M	-918.6M	-15.4M	0.46	3.62	78,175	35,988	944,473	999,272
2021-05-20	$57.03	$40.00	52.4%	15.0%	54.7%	7.4%	53.4%	1.2%	-0.2%	54.3M	-1.80B	-15.5M	0.26	5.07	178,434	46,488	953,471	1,000,634
2021-05-21	$56.72	$40.00	50.1%	14.6%	50.7%	4.1%	51.6%	2.7%	-2.2%	88.5M	-1.65B	-15.6M	1.03	4.08	183,823	189,996	973,226	1,014,655
2021-05-24	$60.35	$40.00	48.4%	13.7%	55.7%	1.5%	49.7%	0.8%	-0.3%	31.2M	-2.28B	-15.7M	0.41	2.90	135,936	56,417	812,619	980,551
2021-05-25	$59.16	$40.00	47.8%	13.5%	55.5%	0.7%	48.8%	1.7%	0.7%	29.3M	-1.99B	-16.0M	1.16	2.85	45,396	52,432	865,065	996,254
2021-05-26	$60.73	$40.00	47.4%	13.3%	56.3%	0.1%	47.4%	0.4%	0.4%	51.3M	-2.45B	-15.8M	0.74	3.04	66,485	49,331	874,971	1,019,185
2021-05-27	$61.00	$40.00	46.4%	13.0%	56.3%	0.0%	46.4%	1.3%	0.2%	66.1M	-2.56B	-15.8M	0.72	2.66	58,378	41,791	886,989	1,041,199
2021-05-28	$62.23	$40.00	44.1%	12.3%	56.7%	0.0%	44.7%	0.3%	0.3%	86.2M	-2.97B	-15.7M	0.51	3.21	239,564	122,050	898,590	1,044,248