SNAP Options History — September 2021

In September 2021, SNAP traded between $71.06 and $83.05. ATM implied volatility averaged 55.7%, placing in the 17.7% IV rank vs the trailing year. The 30-day expected move averaged 13.6%. IV traded above realized volatility by 13.3% (HV 20d: 42.4%). Max pain ranged from $70.00 to $70.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.66.

Notable Days

2021-09-22: Highest Volume — 389,119 contracts
2021-09-20: Largest IV spike — 22.2% change
2021-09-22: Highest IV Rank — 39.3%
2021-09-28: Largest Expected Move — 15.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$75.11	$71.06	$83.05	$74.35	$74.18
Max Pain	$70.00	$70.00	$70.00	$70.00	$70.00
ATM IV	55.7%	43.5%	71.4%	45.0%	68.9%
Expected Move	13.6%	12.4%	15.1%	12.4%	14.5%
HV 20d	42.4%	35.6%	56.8%	35.8%	56.8%
HV 60d	60.3%	58.6%	64.5%	59.1%	63.8%
IV Rank	17.7%	1.0%	39.3%	3.1%	35.8%
IV Percentile	36.7%	1.2%	77.0%	6.3%	73.8%
Term Structure	2.5%	-5.3%	19.1%	0.2%	-3.3%
VWIV	48.5%	44.7%	54.8%	44.7%	50.4%
Skew 25d	2.8%	0.8%	6.7%	0.9%	4.9%
Skew 10d	6.8%	2.6%	14.7%	4.1%	13.0%
Call IV 25d	55.3%	44.0%	70.1%	45.7%	67.6%
Put IV 25d	58.1%	44.8%	75.4%	46.6%	72.6%
Bid-Ask Spread %	5.66	2.47	15.36	3.62	4.39
Gamma HHI	0.11	0.08	0.28	0.12	0.08
Net GEX	26.5M	-7.4M	89.5M	23.1M	9.7M
Net DEX	-2.12B	-3.78B	-1.34B	-2.01B	-1.82B
Net VEX	-18.2M	-19.1M	-17.6M	-18.0M	-19.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.66	0.37	1.18	0.47	0.45
Total Volume	171,025.857	85,658	389,119	128,937	128,975
Total OI	1,611,419.095	1,485,913	1,741,296	1,485,913	1,689,846

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
2021-09-01	$74.35	$70.00	45.0%	12.4%	35.8%	3.1%	44.7%	0.9%	0.2%	23.1M	-2.01B	-18.0M	0.47	3.62	87,606	41,331	648,782	837,131
2021-09-02	$73.78	$70.00	45.4%	13.1%	35.9%	3.6%	46.5%	1.1%	0.2%	22.0M	-1.91B	-17.8M	0.66	4.79	77,674	51,008	676,675	847,335
2021-09-03	$75.30	$70.00	43.5%	12.6%	36.4%	1.0%	45.9%	0.8%	0.3%	49.8M	-2.23B	-17.6M	1.03	2.93	84,025	86,948	692,967	863,475
2021-09-07	$76.62	$70.00	45.5%	13.0%	35.7%	3.8%	45.7%	1.3%	-0.2%	32.4M	-2.34B	-17.6M	0.37	3.51	133,869	48,930	647,240	839,282
2021-09-08	$74.45	$70.00	45.4%	13.1%	36.0%	3.6%	45.7%	1.3%	0.2%	23.1M	-2.01B	-17.6M	0.41	2.95	117,171	47,500	669,104	861,305
2021-09-09	$74.68	$70.00	45.2%	12.9%	35.9%	3.4%	46.2%	1.2%	-0.2%	28.5M	-2.06B	-17.8M	0.68	2.47	50,856	34,802	732,846	882,685
2021-09-10	$74.49	$70.00	45.0%	12.9%	35.6%	3.0%	45.7%	1.4%	-0.1%	25.7M	-2.04B	-18.1M	0.89	3.08	61,808	55,011	757,082	904,938
2021-09-13	$71.44	$70.00	47.1%	13.5%	38.3%	6.0%	47.4%	1.4%	14.8%	3.1M	-1.45B	-18.1M	0.55	4.32	155,224	85,700	707,874	876,776
2021-09-14	$71.06	$70.00	46.8%	13.4%	36.7%	5.5%	48.0%	2.0%	14.3%	-7.4M	-1.34B	-18.0M	0.73	15.36	61,182	44,581	719,988	899,256
2021-09-15	$73.47	$70.00	45.9%	13.2%	38.4%	4.3%	46.9%	2.4%	16.9%	26.4M	-1.92B	-18.1M	0.58	7.73	64,101	37,486	762,654	909,863
2021-09-16	$72.67	$70.00	49.1%	13.0%	38.6%	8.7%	46.8%	2.4%	19.1%	16.2M	-1.70B	-18.4M	0.97	7.60	61,296	59,555	766,014	930,911
2021-09-17	$74.81	$70.00	52.2%	13.1%	39.2%	12.9%	46.5%	2.0%	17.9%	89.5M	-2.24B	-18.0M	0.78	8.37	106,498	82,767	778,751	944,249
2021-09-20	$71.49	$70.00	63.8%	14.8%	41.8%	28.8%	51.9%	5.1%	-2.0%	5.6M	-1.44B	-18.4M	1.18	5.53	62,970	74,423	674,141	852,412
2021-09-21	$76.24	$70.00	67.2%	14.6%	45.9%	33.5%	51.6%	2.6%	-3.5%	24.1M	-2.27B	-18.4M	0.56	4.76	115,824	64,987	690,938	877,247
2021-09-22	$79.14	$70.00	71.4%	15.0%	47.2%	39.3%	54.8%	5.3%	-4.9%	34.7M	-2.74B	-18.5M	0.83	8.59	212,646	176,473	699,701	889,025
2021-09-23	$78.98	$70.00	70.0%	14.0%	47.2%	37.4%	50.3%	5.1%	-5.3%	45.6M	-2.86B	-18.3M	0.46	4.24	148,400	68,072	726,074	910,318
2021-09-24	$83.05	$70.00	67.1%	13.4%	47.1%	33.4%	49.5%	3.8%	-3.2%	44.2M	-3.78B	-18.3M	0.56	7.59	237,268	133,221	777,090	964,206
2021-09-27	$80.41	$70.00	67.6%	13.6%	49.0%	34.1%	48.2%	3.1%	-4.2%	43.4M	-3.10B	-18.6M	0.53	5.71	90,773	48,354	708,504	892,686
2021-09-28	$74.61	$70.00	69.3%	15.1%	56.1%	36.3%	52.9%	6.7%	-2.3%	13.4M	-1.93B	-19.1M	0.59	5.33	110,516	65,429	735,495	918,100
2021-09-29	$72.03	$70.00	67.8%	14.9%	56.6%	34.3%	52.5%	4.3%	-1.9%	3.5M	-1.42B	-19.0M	0.67	6.02	69,647	46,636	752,881	923,954
2021-09-30	$74.18	$70.00	68.9%	14.5%	56.8%	35.8%	50.4%	4.9%	-3.3%	9.7M	-1.82B	-19.1M	0.45	4.39	89,093	39,882	762,252	927,594