SNAP Options History — October 2021

In October 2021, SNAP traded between $52.02 and $77.65. ATM implied volatility averaged 61.3%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 16.8%. IV traded below realized volatility by 14.6% (HV 20d: 75.8%). Max pain ranged from $63.00 to $75.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.60.

Notable Days

  • 2021-10-22: Highest Volume — 1,364,794 contracts
  • 2021-10-26: Largest IV drop — 12.6% change
  • 2021-10-04: Highest IV Rank — 38.4%
  • 2021-10-18: Largest Expected Move — 18.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$69.05$52.02$77.65$74.89$52.33
Max Pain$72.48$63.00$75.00$70.00$63.00
ATM IV61.3%47.1%70.8%68.2%48.7%
Expected Move16.8%13.9%18.5%14.1%14.4%
HV 20d75.8%52.4%118.0%56.8%118.0%
HV 60d63.9%44.9%78.2%62.7%78.2%
IV Rank25.4%5.9%38.4%34.9%8.2%
IV Percentile55.0%15.9%77.4%73.0%21.0%
Term Structure-2.7%-5.6%0.8%-3.7%0.6%
VWIV59.4%49.7%64.9%49.7%53.6%
Skew 25d1.7%-2.4%6.5%5.7%-1.5%
Skew 10d4.1%-6.2%14.0%14.0%-5.4%
Call IV 25d61.4%48.6%67.6%67.6%50.7%
Put IV 25d63.1%47.2%73.6%73.3%49.2%
Bid-Ask Spread %4.572.217.784.522.21
Gamma HHI0.110.060.330.100.07
Net GEX20.7M-20.4M78.0M5.9M-1.9M
Net DEX-1.23B-2.56B1.31B-1.96B871.2M
Net VEX-18.8M-20.2M-16.7M-19.2M-19.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.600.221.540.350.57
Total Volume290,912.286102,8761,364,794107,509346,393
Total OI1,806,152.3331,447,9202,418,0341,710,0072,418,034

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2021-10-01$74.89$70.0068.2%14.1%56.8%34.9%49.7%5.7%-3.7%5.9M-1.96B-19.2M0.354.5279,68327,826769,916940,091
2021-10-04$70.75$75.0070.8%18.4%59.8%38.4%64.1%6.5%-2.3%8.7M-1.34B-19.1M0.695.1195,55865,973716,759888,413
2021-10-05$73.44$75.0066.8%17.2%61.1%33.0%60.1%3.3%-3.4%21.1M-1.78B-19.0M0.275.25108,78828,861728,584893,573
2021-10-06$73.15$75.0068.9%17.7%60.3%35.8%61.9%4.5%-4.4%28.2M-1.80B-19.1M0.537.7882,43044,086761,004919,437
2021-10-07$76.66$75.0067.5%17.6%62.7%33.9%61.7%3.8%-3.9%52.5M-2.56B-18.7M0.576.03114,76565,903760,195929,953
2021-10-08$74.88$75.0065.7%17.2%63.3%31.5%59.6%3.8%-3.8%78.0M-2.14B-18.6M0.457.3498,67244,007766,089946,341
2021-10-11$73.74$75.0065.0%17.3%61.6%30.5%60.7%3.5%-3.4%23.5M-1.85B-18.2M1.546.9942,03864,698726,126904,849
2021-10-12$75.42$75.0063.8%17.4%62.0%28.9%61.4%2.9%-2.7%33.2M-2.11B-18.3M0.786.1557,92244,954728,394915,822
2021-10-13$74.92$75.0063.6%17.3%61.0%28.5%60.7%2.9%-3.2%31.2M-2.00B-18.3M1.467.2750,38473,484742,014957,270
2021-10-14$76.95$75.0063.2%17.4%61.5%28.0%61.7%1.9%-3.1%42.2M-2.44B-18.1M0.565.9872,25840,271740,350973,023
2021-10-15$77.65$75.0061.8%17.0%60.8%26.1%60.0%1.5%-3.5%30.4M-2.55B-18.7M0.245.22174,31141,962749,2921,001,875
2021-10-18$76.15$75.0065.3%18.5%58.8%30.9%64.8%1.8%-5.6%12.8M-1.91B-18.8M0.653.37173,631113,037611,960835,960
2021-10-19$76.42$75.0062.7%17.8%54.2%27.3%62.6%0.6%-4.4%19.4M-2.02B-19.1M0.442.4396,79842,659661,011853,889
2021-10-20$75.70$75.0061.4%17.6%52.4%25.6%61.6%0.8%-3.9%22.2M-2.01B-19.6M0.742.9084,62162,206747,908929,059
2021-10-21$75.10$75.0062.0%18.0%52.5%26.4%62.8%1.2%-4.1%20.2M-1.91B-19.4M0.802.71185,875148,890763,183949,974
2021-10-22$55.29$75.0060.0%17.5%117.4%23.7%64.9%-2.4%-3.2%-20.4M1.31B-16.7M0.652.99827,665537,129841,7641,012,961
2021-10-25$54.69$70.0055.3%16.6%117.3%17.2%59.3%-0.7%0.0%-1.5M678.5M-18.1M0.333.14462,263152,219960,0861,031,969
2021-10-26$55.22$66.0048.4%14.3%115.8%7.7%51.3%-1.6%-0.1%20.1M448.5M-18.7M0.292.75373,542107,2691,101,3061,085,549
2021-10-27$52.02$65.0050.1%15.0%116.7%10.1%54.5%-1.0%0.3%-10.6M1.05B-18.6M0.442.59347,384154,2201,142,7451,123,915
2021-10-28$54.66$63.0047.1%13.9%118.0%5.9%50.1%-1.5%0.8%18.2M306.6M-20.2M0.223.25305,93568,5881,239,8311,158,725
2021-10-29$52.33$63.0048.7%14.4%118.0%8.2%53.6%-1.5%0.6%-1.9M871.2M-19.6M0.572.21221,280125,1131,245,1951,172,839