SNAP Options History — November 2021

In November 2021, SNAP traded between $47.41 and $55.70. ATM implied volatility averaged 50.1%, placing in the 10.0% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 42.2% (HV 20d: 92.3%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.43.

Notable Days

2021-11-08: Highest Volume — 312,304 contracts
2021-11-22: Largest IV spike — 7.5% change
2021-11-26: Highest IV Rank — 16.6%
2021-11-30: Largest Expected Move — 16.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$52.37	$47.41	$55.70	$53.62	$47.41
Max Pain	$57.62	$55.00	$60.00	$60.00	$55.00
ATM IV	50.1%	45.8%	54.9%	48.9%	54.0%
Expected Move	14.6%	13.1%	16.2%	14.6%	16.2%
HV 20d	92.3%	39.1%	118.0%	118.0%	39.1%
HV 60d	78.6%	78.3%	79.1%	78.4%	78.6%
IV Rank	10.0%	4.1%	16.6%	8.3%	15.4%
IV Percentile	26.2%	10.7%	45.6%	21.8%	42.1%
Term Structure	-0.6%	-3.6%	1.2%	-0.3%	0.1%
VWIV	53.0%	47.3%	59.3%	53.8%	57.7%
Skew 25d	-1.0%	-2.8%	3.3%	-1.3%	3.3%
Skew 10d	-2.4%	-5.7%	8.2%	-3.2%	8.2%
Call IV 25d	52.3%	47.1%	58.3%	51.1%	53.9%
Put IV 25d	51.3%	46.5%	57.2%	49.7%	57.2%
Bid-Ask Spread %	2.49	1.80	3.96	2.04	3.07
Gamma HHI	0.08	0.06	0.18	0.07	0.08
Net GEX	2.9M	-16.5M	38.6M	3.4M	-16.5M
Net DEX	452.8M	-104.5M	1.09B	408.7M	1.09B
Net VEX	-19.7M	-20.8M	-17.6M	-20.2M	-17.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.43	0.20	0.90	0.51	0.90
Total Volume	200,928.048	87,775	312,304	240,209	163,585
Total OI	2,229,109.476	2,019,379	2,383,117	2,213,096	2,108,423

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
2021-11-01	$53.62	$60.00	48.9%	14.6%	118.0%	8.3%	53.8%	-1.3%	-0.3%	3.4M	408.7M	-20.2M	0.51	2.04	158,580	81,629	1,097,664	1,115,432
2021-11-02	$52.13	$60.00	50.6%	15.1%	116.5%	10.7%	54.8%	-2.0%	-0.5%	-3.1M	694.1M	-19.8M	0.21	1.94	222,076	46,452	1,120,160	1,161,293
2021-11-03	$52.92	$60.00	49.7%	14.7%	117.0%	9.5%	53.4%	-1.8%	0.1%	8.6M	447.7M	-20.3M	0.20	2.23	155,059	30,976	1,157,381	1,174,826
2021-11-04	$52.01	$55.00	49.6%	14.4%	114.6%	9.3%	52.8%	-2.2%	0.3%	3.2M	653.9M	-19.8M	0.26	2.31	157,410	40,153	1,167,820	1,178,887
2021-11-05	$53.16	$55.00	49.6%	14.4%	115.5%	9.4%	51.5%	-2.1%	-0.2%	38.6M	361.4M	-20.4M	0.59	2.05	181,308	107,804	1,194,435	1,188,682
2021-11-08	$54.67	$55.00	50.5%	14.6%	116.6%	10.6%	52.9%	-2.8%	-0.2%	12.4M	-61.7M	-20.7M	0.24	2.66	251,683	60,621	1,086,775	1,136,766
2021-11-09	$54.79	$60.00	49.9%	14.5%	115.9%	9.7%	51.7%	-1.7%	0.5%	13.3M	-19.0M	-20.8M	0.23	2.32	132,476	30,706	1,106,970	1,152,394
2021-11-10	$52.72	$60.00	48.9%	14.3%	116.2%	8.3%	52.0%	-0.9%	1.2%	-1.4M	491.1M	-19.9M	0.31	1.85	127,632	38,939	1,109,677	1,156,728
2021-11-11	$53.49	$60.00	47.2%	13.8%	115.6%	6.1%	49.8%	-0.8%	1.0%	5.2M	360.7M	-20.0M	0.28	1.80	115,670	31,948	1,119,279	1,164,685
2021-11-12	$53.90	$60.00	45.8%	13.1%	115.6%	4.1%	47.3%	-0.7%	0.0%	24.9M	324.5M	-19.9M	0.61	1.98	106,258	65,304	1,124,214	1,170,372
2021-11-15	$55.70	$60.00	48.1%	13.8%	117.0%	7.3%	50.2%	-1.9%	-1.2%	9.0M	-104.5M	-20.3M	0.25	2.72	240,828	59,883	1,045,947	1,144,315
2021-11-16	$54.98	$60.00	48.4%	13.9%	116.8%	7.7%	50.2%	-1.4%	-0.6%	5.3M	118.1M	-20.1M	0.31	2.46	151,445	46,396	1,061,201	1,152,184
2021-11-17	$54.77	$60.00	48.1%	13.8%	116.8%	7.4%	50.3%	-2.5%	-2.3%	9.5M	108.2M	-20.0M	0.35	3.08	124,239	43,128	1,099,149	1,165,421
2021-11-18	$53.52	$60.00	48.5%	14.0%	116.8%	7.9%	50.4%	-0.6%	-1.0%	884.0K	393.2M	-19.9M	0.44	2.05	117,684	52,262	1,130,853	1,179,457
2021-11-19	$51.24	$55.00	48.8%	14.3%	46.7%	8.2%	52.1%	0.4%	-3.6%	-16.1M	859.7M	-19.2M	0.67	2.37	150,669	100,724	1,144,722	1,184,395
2021-11-22	$49.28	$55.00	52.5%	15.2%	48.3%	13.3%	56.6%	0.5%	-1.5%	-9.5M	798.4M	-18.5M	0.76	2.72	165,824	126,808	964,123	1,055,256
2021-11-23	$50.72	$55.00	52.9%	15.3%	49.6%	13.8%	55.9%	-0.9%	-1.2%	-3.6M	528.3M	-19.5M	0.38	3.46	129,409	48,781	992,680	1,117,657
2021-11-24	$49.80	$55.00	52.6%	15.0%	45.4%	13.5%	54.7%	-1.3%	-1.9%	-7.3M	670.6M	-18.9M	0.36	2.67	86,370	30,850	1,012,319	1,128,682
2021-11-26	$50.09	$55.00	54.9%	16.1%	41.3%	16.6%	59.3%	-1.1%	-1.2%	-5.5M	553.6M	-19.3M	0.71	3.96	51,215	36,560	1,035,256	1,133,723
2021-11-29	$48.90	$55.00	52.1%	15.2%	39.4%	12.8%	55.7%	0.6%	-0.3%	-11.0M	834.3M	-18.1M	0.52	2.67	98,485	51,660	968,821	1,102,275
2021-11-30	$47.41	$55.00	54.0%	16.2%	39.1%	15.4%	57.7%	3.3%	0.1%	-16.5M	1.09B	-17.6M	0.90	3.07	86,068	77,517	988,930	1,119,493