SNAP Options History — December 2021

In December 2021, SNAP traded between $44.33 and $53.56. ATM implied volatility averaged 53.1%, placing in the 14.2% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 3.9% (HV 20d: 49.2%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 2 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.68.

Notable Days

2021-12-08: Highest Volume — 401,331 contracts
2021-12-03: Largest IV spike — 9.5% change
2021-12-03: Highest IV Rank — 22.6%
2021-12-03: Largest Expected Move — 18.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$47.88	$44.33	$53.56	$47.59	$47.39
Max Pain	$50.68	$50.00	$55.00	$55.00	$50.00
ATM IV	53.1%	48.0%	59.2%	54.1%	55.7%
Expected Move	15.1%	13.3%	18.7%	16.5%	13.3%
HV 20d	49.2%	38.1%	53.3%	38.4%	53.0%
HV 60d	78.8%	76.7%	80.9%	78.5%	76.7%
IV Rank	14.2%	7.2%	22.6%	15.5%	17.7%
IV Percentile	38.3%	19.8%	53.2%	42.5%	48.0%
Term Structure	4.0%	-1.9%	21.0%	2.3%	21.0%
VWIV	53.8%	47.4%	64.7%	58.6%	47.4%
Skew 25d	3.7%	0.6%	5.9%	2.6%	2.5%
Skew 10d	8.5%	1.1%	13.3%	8.7%	6.2%
Call IV 25d	52.5%	47.6%	58.9%	55.8%	48.2%
Put IV 25d	56.2%	50.7%	64.7%	58.4%	50.7%
Bid-Ask Spread %	2.81	1.92	5.45	5.45	2.34
Gamma HHI	0.09	0.07	0.11	0.08	0.09
Net GEX	-8.7M	-17.8M	15.9M	-14.1M	-15.2M
Net DEX	868.4M	-192.1M	1.47B	1.09B	814.2M
Net VEX	-17.2M	-19.6M	-15.6M	-17.7M	-16.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.68	0.37	1.70	0.45	0.56
Total Volume	148,430.818	53,587	401,331	231,480	65,774
Total OI	2,087,075.818	1,952,526	2,239,809	2,142,886	2,020,189

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
2021-12-01	$47.59	$55.00	54.1%	16.5%	38.4%	15.5%	58.6%	2.6%	2.3%	-14.1M	1.09B	-17.7M	0.45	5.45	159,519	71,961	1,003,116	1,139,770
2021-12-02	$48.14	$55.00	54.1%	16.3%	38.1%	15.5%	58.7%	3.5%	-0.1%	-12.1M	1.03B	-17.9M	1.62	3.98	61,307	99,481	1,020,162	1,152,876
2021-12-03	$46.23	$55.00	59.2%	18.7%	40.0%	22.6%	64.7%	5.9%	-0.4%	-10.9M	1.33B	-17.2M	1.70	3.79	67,713	115,072	1,031,885	1,174,516
2021-12-06	$47.96	$50.00	55.7%	15.9%	41.7%	17.7%	57.9%	5.0%	0.5%	-13.4M	967.1M	-17.7M	0.55	3.22	71,526	39,294	947,566	1,099,867
2021-12-07	$50.48	$50.00	52.9%	15.1%	44.8%	13.8%	53.3%	2.7%	0.1%	-7.6M	551.6M	-18.6M	0.41	2.49	130,070	53,105	965,072	1,122,253
2021-12-08	$53.56	$50.00	51.5%	14.7%	50.1%	12.0%	53.3%	0.6%	-0.5%	15.9M	-192.1M	-19.6M	0.51	1.92	266,579	134,752	1,004,123	1,132,559
2021-12-09	$52.70	$50.00	53.1%	15.0%	48.5%	14.2%	54.8%	1.3%	0.0%	13.3M	44.9M	-19.5M	0.37	2.26	158,519	58,680	1,033,714	1,155,502
2021-12-10	$50.72	$50.00	51.5%	14.8%	50.0%	12.0%	52.7%	1.4%	1.0%	-10.8M	582.9M	-18.6M	0.66	2.12	88,967	58,301	1,047,198	1,157,069
2021-12-13	$48.45	$50.00	54.7%	15.5%	52.1%	16.4%	54.5%	3.9%	-1.1%	-16.7M	985.1M	-17.6M	0.46	2.91	85,763	39,842	978,715	1,121,938
2021-12-14	$47.00	$50.00	55.6%	15.7%	50.8%	17.6%	56.9%	4.1%	-1.2%	-17.8M	1.16B	-16.9M	0.55	2.26	58,409	32,357	1,002,700	1,122,770
2021-12-15	$46.17	$50.00	55.2%	15.5%	50.9%	17.0%	56.8%	3.8%	-0.5%	-17.1M	1.27B	-16.5M	0.42	4.24	147,135	61,587	1,018,520	1,127,850
2021-12-16	$44.33	$50.00	56.4%	15.8%	52.1%	18.7%	57.2%	4.5%	-1.9%	-15.5M	1.47B	-15.7M	1.27	2.68	86,529	109,985	1,064,721	1,130,327
2021-12-17	$45.19	$50.00	55.1%	15.6%	52.9%	16.9%	54.9%	5.6%	-1.2%	-10.6M	1.39B	-16.2M	0.72	2.50	78,795	56,432	1,080,008	1,159,801
2021-12-20	$44.46	$50.00	55.3%	15.7%	51.3%	17.2%	55.1%	5.5%	1.2%	-11.5M	1.20B	-15.6M	0.52	2.88	68,721	35,695	895,687	1,056,839
2021-12-21	$45.95	$50.00	50.2%	14.4%	51.8%	10.2%	49.9%	5.3%	0.9%	-8.9M	1.06B	-16.0M	0.52	2.34	66,082	34,411	904,020	1,069,171
2021-12-22	$46.71	$50.00	48.7%	14.0%	50.9%	8.1%	52.4%	4.9%	0.6%	-2.5M	945.9M	-16.3M	0.59	2.25	53,344	31,346	923,266	1,081,248
2021-12-23	$48.81	$50.00	48.0%	13.7%	53.3%	7.2%	48.8%	3.6%	1.8%	-135.9K	572.4M	-17.2M	0.77	2.80	126,941	97,389	927,825	1,091,925
2021-12-27	$48.76	$50.00	50.2%	14.2%	53.3%	10.1%	50.1%	4.3%	18.4%	-8.3M	559.4M	-17.4M	0.42	2.16	59,106	25,087	879,054	1,085,232
2021-12-28	$47.66	$50.00	49.9%	14.0%	53.2%	9.7%	49.6%	3.7%	17.3%	-9.8M	738.5M	-16.8M	0.57	2.53	41,071	23,540	892,786	1,091,120
2021-12-29	$46.98	$50.00	49.3%	13.6%	52.3%	8.9%	48.2%	3.6%	12.3%	-11.8M	877.6M	-16.4M	0.62	2.48	33,110	20,477	901,156	1,094,601
2021-12-30	$48.05	$50.00	52.4%	13.6%	52.9%	13.2%	48.2%	2.5%	17.1%	-5.2M	667.9M	-16.8M	0.61	2.17	57,019	34,685	908,452	1,098,499
2021-12-31	$47.39	$50.00	55.7%	13.3%	53.0%	17.7%	47.4%	2.5%	21.0%	-15.2M	814.2M	-16.6M	0.56	2.34	42,168	23,606	913,967	1,106,222