SNAP Options History — July 2021

In July 2021, SNAP traded between $59.00 and $77.92. ATM implied volatility averaged 60.6%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 16.2%. IV traded above realized volatility by 4.4% (HV 20d: 56.2%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 13 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.72.

Notable Days

2021-07-23: Highest Volume — 976,307 contracts
2021-07-23: Largest IV drop — 14.2% change
2021-07-19: Highest IV Rank — 35.3%
2021-07-19: Largest Expected Move — 19.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.24	$59.00	$77.92	$67.80	$74.49
Max Pain	$64.24	$60.00	$65.00	$60.00	$65.00
ATM IV	60.6%	45.2%	69.1%	65.4%	45.2%
Expected Move	16.2%	11.9%	19.4%	12.5%	12.8%
HV 20d	56.2%	32.7%	89.7%	32.8%	89.7%
HV 60d	50.3%	43.0%	63.4%	43.7%	61.1%
IV Rank	23.5%	2.0%	35.3%	30.1%	2.0%
IV Percentile	48.7%	2.8%	71.8%	62.7%	2.8%
Term Structure	-2.6%	-5.5%	0.4%	-3.5%	0.2%
VWIV	57.6%	42.0%	67.7%	44.7%	45.7%
Skew 25d	0.1%	-2.4%	1.2%	-2.2%	0.8%
Skew 10d	0.6%	-3.6%	3.5%	-3.6%	3.3%
Call IV 25d	61.6%	46.3%	69.2%	67.8%	46.3%
Put IV 25d	61.7%	47.1%	70.3%	65.6%	47.1%
Bid-Ask Spread %	3.43	1.92	5.29	3.55	4.27
Gamma HHI	0.07	0.05	0.22	0.09	0.07
Net GEX	8.5M	-19.5M	78.2M	52.1M	-3.0M
Net DEX	-1.69B	-4.56B	431.7M	-2.36B	-2.92B
Net VEX	-17.5M	-18.4M	-16.7M	-17.0M	-17.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.72	0.32	1.40	0.39	0.64
Total Volume	271,895.095	85,147	976,307	262,775	202,509
Total OI	1,762,594.19	1,588,763	1,947,528	1,732,033	1,947,528

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
2021-07-01	$67.80	$60.00	65.4%	12.5%	32.8%	30.1%	44.7%	-2.2%	-3.5%	52.1M	-2.36B	-17.0M	0.39	3.55	188,917	73,858	790,334	941,699
2021-07-02	$68.40	$61.50	63.4%	11.9%	32.7%	27.4%	42.0%	-2.3%	-2.9%	78.2M	-2.54B	-17.1M	0.53	3.67	229,244	120,740	801,651	954,742
2021-07-06	$69.19	$65.00	65.8%	17.1%	32.8%	30.7%	60.5%	-1.0%	-2.6%	39.8M	-2.35B	-17.0M	0.35	1.92	145,523	50,672	747,136	881,933
2021-07-07	$65.72	$65.00	68.0%	18.0%	38.0%	33.8%	63.2%	-0.0%	-2.9%	5.7M	-1.27B	-17.1M	0.55	2.50	141,965	78,571	771,847	892,595
2021-07-08	$62.24	$65.00	68.2%	17.8%	42.6%	34.0%	64.5%	1.2%	-4.1%	-16.8M	-234.8M	-17.5M	1.26	4.18	115,697	146,188	791,007	932,526
2021-07-09	$65.70	$65.00	66.9%	17.7%	46.5%	32.2%	62.1%	1.1%	-3.8%	778.0K	-1.12B	-17.6M	1.12	2.39	173,348	193,439	810,540	989,918
2021-07-12	$64.66	$65.00	64.3%	17.2%	46.0%	28.6%	60.8%	0.3%	-3.1%	-7.2M	-986.3M	-17.3M	0.78	2.21	50,257	39,040	765,249	946,570
2021-07-13	$64.09	$65.00	64.4%	17.3%	45.7%	28.8%	61.3%	0.1%	-3.5%	-11.9M	-772.5M	-17.4M	0.42	2.54	59,958	25,189	779,428	963,697
2021-07-14	$62.19	$65.00	65.0%	17.3%	46.7%	29.5%	61.5%	-0.3%	-5.5%	-19.4M	-283.6M	-17.2M	0.60	4.61	99,896	60,274	789,413	971,058
2021-07-15	$60.36	$65.00	66.4%	17.9%	46.7%	31.6%	63.5%	1.2%	-4.9%	-19.5M	144.5M	-16.8M	0.76	3.21	112,131	85,521	802,338	991,158
2021-07-16	$59.00	$65.00	66.5%	18.1%	46.2%	31.7%	63.6%	1.2%	-5.1%	-11.2M	431.7M	-17.2M	1.40	3.07	255,194	357,535	841,100	1,025,030
2021-07-19	$59.65	$65.00	69.1%	19.4%	45.4%	35.3%	67.7%	1.1%	-3.6%	-1.9M	-480.8M	-18.2M	0.51	2.77	56,345	28,995	739,847	930,215
2021-07-20	$62.75	$65.00	65.0%	18.5%	49.2%	29.6%	65.0%	0.4%	-2.6%	5.0M	-1.08B	-18.2M	0.78	3.42	74,986	58,412	748,605	939,929
2021-07-21	$63.16	$65.00	60.3%	17.3%	49.3%	23.1%	60.8%	0.9%	-1.6%	7.4M	-1.15B	-18.4M	0.38	2.63	83,284	31,933	766,526	967,184
2021-07-22	$63.23	$62.50	62.2%	18.0%	45.7%	25.7%	62.7%	0.9%	-3.0%	6.3M	-1.14B	-18.4M	0.75	3.45	141,641	106,334	773,899	979,717
2021-07-23	$77.92	$62.50	53.4%	15.4%	87.9%	13.4%	56.4%	-2.4%	-0.6%	25.0M	-4.56B	-17.0M	0.69	4.07	578,518	397,789	812,014	1,035,645
2021-07-26	$76.44	$62.50	49.2%	14.3%	88.4%	7.7%	53.6%	-0.8%	-0.4%	14.1M	-3.42B	-16.7M	1.16	4.08	150,055	174,720	666,018	922,745
2021-07-27	$73.70	$65.00	50.4%	14.5%	88.9%	9.2%	53.3%	0.6%	-0.4%	4.7M	-2.84B	-17.6M	0.98	4.47	169,917	165,960	771,932	1,014,450
2021-07-28	$76.35	$65.00	48.4%	13.7%	89.3%	6.6%	50.2%	0.6%	-0.5%	20.0M	-3.41B	-17.6M	0.77	5.29	117,403	90,892	811,181	1,074,302
2021-07-29	$75.09	$65.00	45.6%	13.0%	89.6%	2.7%	46.6%	0.9%	0.4%	11.0M	-3.17B	-17.4M	0.32	3.71	210,520	66,427	831,799	1,099,973
2021-07-30	$74.49	$65.00	45.2%	12.8%	89.7%	2.0%	45.7%	0.8%	0.2%	-3.0M	-2.92B	-17.6M	0.64	4.27	123,253	79,256	844,434	1,103,094