SNAP Options History — June 2021

In June 2021, SNAP traded between $60.28 and $68.22. ATM implied volatility averaged 52.1%, placing in the 11.4% IV rank vs the trailing year. The 30-day expected move averaged 13.2%. IV traded above realized volatility by 11.5% (HV 20d: 40.6%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2021-06-24: Highest Volume — 463,329 contracts
2021-06-21: Largest IV spike — 10.3% change
2021-06-29: Highest IV Rank — 32.9%
2021-06-28: Largest Expected Move — 13.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.67	$60.28	$68.22	$63.52	$68.22
Max Pain	$56.36	$50.00	$60.00	$50.00	$60.00
ATM IV	52.1%	43.7%	67.4%	46.9%	66.1%
Expected Move	13.2%	12.7%	13.9%	13.4%	13.3%
HV 20d	40.6%	32.5%	54.0%	54.0%	36.1%
HV 60d	50.8%	45.1%	59.1%	59.1%	45.1%
IV Rank	11.4%	0.0%	32.9%	3.9%	31.2%
IV Percentile	22.4%	0.0%	66.3%	0.8%	63.9%
Term Structure	1.8%	-3.2%	11.7%	-0.8%	-2.9%
VWIV	47.1%	45.3%	50.1%	48.0%	47.9%
Skew 25d	-0.0%	-2.8%	2.4%	0.8%	-2.6%
Skew 10d	0.9%	-4.8%	5.3%	2.6%	-4.1%
Call IV 25d	53.2%	44.4%	69.7%	47.9%	69.7%
Put IV 25d	53.2%	44.3%	67.1%	48.7%	67.1%
Bid-Ask Spread %	3.69	2.50	5.63	2.70	3.16
Gamma HHI	0.08	0.05	0.11	0.07	0.08
Net GEX	45.5M	4.2M	81.2M	47.8M	59.0M
Net DEX	-2.35B	-3.21B	-1.59B	-2.95B	-2.43B
Net VEX	-16.2M	-17.3M	-15.6M	-16.0M	-17.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.25	1.16	0.93	1.16
Total Volume	222,190.636	84,808	463,329	131,542	250,251
Total OI	1,838,747.818	1,479,748	2,099,267	1,863,381	1,682,941

Daily Data (22 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
2021-06-01	$63.52	$50.00	46.9%	13.4%	54.0%	3.9%	48.0%	0.8%	-0.8%	47.8M	-2.95B	-16.0M	0.93	2.70	68,069	63,473	848,776	1,014,605
2021-06-02	$62.77	$50.00	46.4%	13.4%	47.8%	3.2%	47.7%	1.0%	-1.0%	49.3M	-2.75B	-16.0M	0.60	2.93	66,302	39,552	864,718	1,047,994
2021-06-03	$60.44	$55.00	47.9%	13.5%	49.6%	5.3%	47.6%	1.5%	-1.4%	29.1M	-2.08B	-15.8M	0.64	3.62	86,452	54,998	875,959	1,054,196
2021-06-04	$61.10	$55.00	44.8%	13.0%	47.4%	1.0%	45.6%	2.4%	-1.7%	40.0M	-2.31B	-15.7M	0.59	5.63	191,236	112,734	892,453	1,068,379
2021-06-07	$61.26	$55.00	44.7%	12.9%	45.1%	0.8%	45.5%	1.2%	0.5%	29.1M	-2.26B	-15.7M	0.73	3.20	48,928	35,880	847,904	1,050,865
2021-06-08	$60.28	$55.00	44.8%	12.9%	42.0%	0.9%	46.5%	1.1%	0.1%	17.5M	-1.96B	-15.6M	0.65	3.64	69,137	44,644	855,485	1,061,789
2021-06-09	$61.64	$55.00	44.4%	13.1%	42.1%	0.3%	47.0%	-0.1%	1.2%	45.2M	-2.38B	-16.0M	0.40	3.90	179,430	72,557	871,175	1,070,245
2021-06-10	$62.56	$55.00	43.8%	12.8%	39.3%	0.0%	46.4%	0.0%	0.9%	69.8M	-2.65B	-15.8M	0.66	4.41	141,580	93,964	882,304	1,082,851
2021-06-11	$64.27	$55.00	43.7%	12.7%	38.9%	0.0%	45.3%	-0.1%	0.9%	66.1M	-3.21B	-15.8M	0.56	4.50	268,178	149,903	911,073	1,101,363
2021-06-14	$63.25	$55.00	45.6%	13.1%	39.1%	2.5%	46.9%	0.3%	10.1%	41.2M	-2.67B	-15.9M	0.35	4.20	132,484	46,113	868,313	1,081,072
2021-06-15	$62.34	$55.00	45.9%	13.2%	40.0%	3.1%	46.7%	0.5%	10.2%	36.2M	-2.32B	-15.8M	0.69	4.31	105,942	73,015	888,119	1,096,649
2021-06-16	$60.50	$55.00	46.0%	13.2%	42.2%	3.1%	46.9%	1.8%	11.1%	4.2M	-1.68B	-15.8M	0.78	4.89	132,580	103,733	907,804	1,110,638
2021-06-17	$62.15	$55.00	46.8%	12.8%	42.7%	4.3%	45.4%	1.6%	11.7%	37.6M	-2.23B	-15.7M	0.72	3.30	128,043	92,283	921,768	1,143,560
2021-06-18	$63.73	$55.00	49.4%	13.1%	38.7%	7.9%	46.8%	0.8%	10.1%	81.2M	-2.74B	-15.8M	0.71	4.47	146,397	104,458	930,881	1,168,386
2021-06-21	$63.64	$60.00	54.5%	12.9%	38.6%	15.0%	46.2%	-0.3%	-0.1%	36.9M	-1.63B	-15.8M	0.45	3.16	81,946	37,269	677,267	802,481
2021-06-22	$63.35	$60.00	56.9%	13.2%	32.5%	18.3%	46.6%	0.2%	-1.2%	38.8M	-1.59B	-15.7M	0.88	2.50	71,875	63,505	696,384	815,787
2021-06-23	$66.55	$60.00	62.0%	13.7%	35.3%	25.4%	48.8%	-2.3%	-0.6%	71.3M	-2.38B	-16.8M	0.56	4.00	243,195	135,702	718,144	859,663
2021-06-24	$67.58	$60.00	66.8%	13.7%	34.7%	32.0%	49.4%	-2.8%	-1.2%	78.3M	-2.74B	-16.7M	0.70	3.15	271,878	191,451	763,470	898,983
2021-06-25	$67.90	$60.00	64.9%	13.0%	34.7%	29.4%	46.6%	-1.9%	-2.5%	53.9M	-2.84B	-17.0M	0.77	3.52	238,914	184,523	790,004	941,025
2021-06-28	$66.02	$60.00	66.3%	13.9%	36.2%	31.4%	50.1%	-2.3%	-1.3%	21.4M	-1.71B	-17.3M	0.42	3.15	91,369	38,567	733,798	889,436
2021-06-29	$67.68	$60.00	67.4%	13.5%	36.5%	32.9%	48.9%	-1.5%	-3.2%	45.9M	-2.23B	-17.3M	0.25	2.94	108,443	27,241	759,426	904,319
2021-06-30	$68.22	$60.00	66.1%	13.3%	36.1%	31.2%	47.9%	-2.6%	-2.9%	59.0M	-2.43B	-17.3M	1.16	3.16	116,071	134,180	775,119	907,822