SNAP Options History — August 2021

In August 2021, SNAP traded between $70.90 and $77.88. ATM implied volatility averaged 46.0%, placing in the 3.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded below realized volatility by 22.3% (HV 20d: 68.3%). Max pain ranged from $65.00 to $70.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.53.

Notable Days

2021-08-10: Highest Volume — 295,409 contracts
2021-08-16: Largest IV spike — 8.1% change
2021-08-04: Highest IV Rank — 9.1%
2021-08-04: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.45	$70.90	$77.88	$73.71	$76.56
Max Pain	$69.32	$65.00	$70.00	$65.00	$70.00
ATM IV	46.0%	42.8%	50.3%	46.9%	45.0%
Expected Move	13.1%	11.9%	14.2%	13.5%	12.7%
HV 20d	68.3%	35.5%	89.9%	89.8%	39.7%
HV 60d	59.2%	58.1%	60.6%	60.6%	58.8%
IV Rank	3.6%	0.0%	9.1%	4.4%	3.1%
IV Percentile	6.0%	0.0%	15.1%	6.0%	6.0%
Term Structure	-0.2%	-2.2%	0.8%	-0.8%	-0.0%
VWIV	46.6%	42.7%	51.2%	48.4%	45.0%
Skew 25d	1.1%	-0.4%	2.3%	1.0%	0.3%
Skew 10d	2.7%	-1.8%	5.6%	2.9%	2.0%
Call IV 25d	46.5%	43.1%	51.2%	47.7%	46.0%
Put IV 25d	47.6%	44.3%	52.1%	48.7%	46.3%
Bid-Ask Spread %	3.87	2.34	8.37	5.35	3.19
Gamma HHI	0.08	0.05	0.12	0.05	0.12
Net GEX	21.7M	-8.4M	47.1M	10.5M	26.2M
Net DEX	-2.14B	-2.87B	-1.54B	-2.06B	-2.36B
Net VEX	-17.4M	-17.8M	-17.0M	-17.5M	-17.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.53	0.28	0.96	0.86	0.49
Total Volume	155,373.909	51,313	295,409	129,860	202,722
Total OI	1,613,189.773	1,361,820	1,791,750	1,558,944	1,450,259

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
2021-08-02	$73.71	$65.00	46.9%	13.5%	89.8%	4.4%	48.4%	1.0%	-0.8%	10.5M	-2.06B	-17.5M	0.86	5.35	69,809	60,051	655,853	903,091
2021-08-03	$73.06	$65.00	48.6%	13.8%	89.9%	6.8%	49.9%	1.9%	-1.0%	8.1M	-1.96B	-17.5M	0.96	4.98	86,875	83,148	669,504	916,469
2021-08-04	$77.23	$65.00	50.3%	14.2%	89.3%	9.1%	51.2%	0.9%	-2.2%	27.6M	-2.70B	-17.8M	0.36	4.67	205,211	73,620	687,933	940,809
2021-08-05	$77.14	$70.00	47.3%	13.5%	86.3%	5.0%	47.8%	-0.4%	-0.7%	36.7M	-2.81B	-17.5M	0.58	4.35	126,004	72,813	708,874	968,291
2021-08-06	$75.94	$70.00	46.1%	13.1%	85.2%	3.4%	46.4%	-0.0%	-1.9%	37.8M	-2.65B	-17.6M	0.54	2.90	120,749	65,198	754,653	991,328
2021-08-09	$77.88	$70.00	46.3%	13.3%	85.0%	3.5%	48.0%	-0.0%	0.3%	36.3M	-2.87B	-17.4M	0.40	5.39	172,357	69,087	698,675	922,169
2021-08-10	$75.91	$70.00	47.3%	13.5%	85.7%	5.0%	47.5%	1.1%	0.0%	28.7M	-2.54B	-17.3M	0.28	4.44	230,752	64,657	714,818	946,065
2021-08-11	$76.56	$70.00	44.0%	12.8%	84.5%	0.5%	45.4%	1.4%	0.7%	47.1M	-2.62B	-17.6M	0.61	3.25	88,221	53,442	770,701	955,845
2021-08-12	$75.52	$70.00	43.5%	12.7%	83.6%	0.0%	44.3%	0.7%	0.8%	35.4M	-2.37B	-17.7M	0.52	6.25	77,755	40,673	791,862	973,013
2021-08-13	$74.68	$70.00	43.4%	12.5%	83.1%	0.0%	44.8%	0.8%	0.4%	20.8M	-2.16B	-17.2M	0.48	2.87	82,655	40,009	794,448	983,862
2021-08-16	$72.33	$70.00	46.9%	13.5%	84.6%	4.9%	47.0%	1.9%	-0.8%	7.2M	-1.73B	-17.3M	0.47	2.61	165,606	78,380	737,323	951,504
2021-08-17	$71.54	$70.00	48.4%	13.9%	83.4%	6.9%	48.7%	1.6%	-0.5%	7.5M	-1.63B	-17.1M	0.61	3.35	71,282	43,800	751,652	955,959
2021-08-18	$72.23	$70.00	47.7%	13.7%	83.4%	5.9%	47.5%	1.5%	-0.0%	21.2M	-1.83B	-17.1M	0.39	4.06	58,421	23,031	785,240	970,298
2021-08-19	$70.90	$70.00	48.8%	14.0%	83.9%	7.6%	49.2%	2.3%	-0.3%	14.0M	-1.54B	-17.4M	0.66	2.34	59,371	39,474	799,294	985,145
2021-08-20	$72.66	$70.00	45.5%	13.0%	37.2%	3.0%	45.7%	2.2%	0.5%	-8.4M	-1.91B	-17.3M	0.60	2.42	101,087	60,445	800,293	991,457
2021-08-23	$75.41	$70.00	44.6%	12.7%	39.3%	1.7%	45.8%	1.1%	0.0%	19.3M	-2.05B	-17.0M	0.54	2.93	73,653	39,597	586,837	774,983
2021-08-24	$74.12	$70.00	44.2%	12.4%	37.6%	1.1%	44.3%	1.2%	-0.0%	20.6M	-1.94B	-17.1M	0.50	8.37	59,601	29,954	611,216	789,716
2021-08-25	$74.88	$70.00	43.9%	12.4%	35.5%	0.7%	43.9%	1.1%	0.2%	26.4M	-2.05B	-17.3M	0.41	2.42	36,401	14,912	627,745	808,905
2021-08-26	$71.90	$70.00	46.2%	13.2%	37.8%	3.9%	47.4%	1.3%	-0.0%	14.4M	-1.57B	-17.6M	0.33	3.01	101,005	32,856	645,079	823,604
2021-08-27	$73.12	$70.00	42.8%	11.9%	38.3%	0.0%	42.7%	1.2%	0.5%	20.5M	-1.77B	-17.3M	0.65	3.17	80,742	52,215	653,124	824,713
2021-08-30	$74.70	$70.00	44.1%	12.3%	38.9%	1.9%	44.2%	0.8%	0.2%	19.5M	-2.03B	-17.5M	0.48	2.90	74,894	35,691	616,570	800,996
2021-08-31	$76.56	$70.00	45.0%	12.7%	39.7%	3.1%	45.0%	0.3%	-0.0%	26.2M	-2.36B	-17.5M	0.49	3.19	136,273	66,449	630,590	819,669