SNAP Options History — January 2022

In January 2022, SNAP traded between $28.54 and $46.66. ATM implied volatility averaged 84.3%, placing in the 59.9% IV rank vs the trailing year. The 30-day expected move averaged 23.8%. IV traded above realized volatility by 28.5% (HV 20d: 55.8%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2022-01-04: Highest Volume — 325,766 contracts
2022-01-21: Largest IV spike — 13.2% change
2022-01-27: Highest IV Rank — 99.6%
2022-01-31: Largest Expected Move — 32.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.03	$28.54	$46.66	$46.66	$32.39
Max Pain	$47.20	$45.00	$50.00	$50.00	$45.00
ATM IV	84.3%	66.0%	100.7%	66.0%	94.6%
Expected Move	23.8%	13.4%	32.1%	13.4%	32.1%
HV 20d	55.8%	45.5%	73.1%	51.2%	73.1%
HV 60d	66.9%	52.2%	80.5%	75.9%	57.0%
IV Rank	59.9%	31.8%	99.6%	31.8%	89.5%
IV Percentile	91.8%	69.4%	99.6%	69.4%	98.0%
Term Structure	-4.4%	-7.4%	-0.3%	-0.3%	-4.4%
VWIV	83.5%	48.3%	112.3%	48.3%	111.6%
Skew 25d	8.1%	0.9%	16.3%	3.7%	12.3%
Skew 10d	16.8%	-3.6%	33.9%	9.2%	24.1%
Call IV 25d	81.9%	70.1%	96.4%	70.1%	87.5%
Put IV 25d	90.1%	73.7%	110.7%	73.7%	99.7%
Bid-Ask Spread %	2.66	1.79	4.18	2.56	3.77
Gamma HHI	0.09	0.06	0.12	0.10	0.06
Net GEX	-14.6M	-20.0M	-9.1M	-16.7M	-9.1M
Net DEX	1.71B	962.4M	2.16B	962.4M	1.54B
Net VEX	-12.5M	-16.1M	-8.8M	-16.1M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.50	1.73	0.54	0.60
Total Volume	181,136.45	69,360	325,766	69,360	157,567
Total OI	2,087,163.6	1,751,328	2,331,799	1,959,440	1,895,534

Daily Data (20 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
2022-01-03	$46.66	$50.00	66.0%	13.4%	51.2%	31.8%	48.3%	3.7%	-0.3%	-16.7M	962.4M	-16.1M	0.54	2.56	45,003	24,357	865,634	1,093,806
2022-01-04	$44.13	$50.00	70.9%	14.6%	53.0%	38.6%	52.4%	3.4%	-2.5%	-19.1M	1.31B	-14.9M	0.58	2.35	206,805	118,961	877,072	1,098,798
2022-01-05	$41.46	$49.00	77.6%	15.8%	52.6%	47.8%	55.2%	0.9%	-6.0%	-18.5M	1.59B	-14.0M	0.80	2.21	101,416	81,447	919,420	1,127,117
2022-01-06	$41.74	$50.00	74.6%	20.0%	46.4%	43.7%	70.6%	2.9%	-3.2%	-18.6M	1.62B	-14.6M	1.31	2.10	81,135	106,671	952,357	1,168,986
2022-01-07	$41.50	$50.00	75.0%	20.4%	46.5%	44.2%	69.7%	1.8%	-6.3%	-20.0M	1.62B	-14.6M	0.62	1.93	80,362	49,469	967,768	1,188,361
2022-01-10	$41.47	$50.00	79.2%	21.2%	45.5%	49.9%	74.3%	7.1%	-4.0%	-16.6M	1.59B	-14.5M	1.19	1.99	94,915	112,522	947,644	1,172,924
2022-01-11	$43.29	$50.00	75.5%	20.2%	47.2%	44.9%	70.9%	6.4%	-3.9%	-18.1M	1.34B	-15.3M	0.50	2.01	95,425	48,149	970,474	1,201,709
2022-01-12	$42.96	$50.00	74.4%	20.0%	46.3%	43.3%	70.0%	6.2%	-4.4%	-17.3M	1.45B	-15.2M	0.95	1.79	50,865	48,233	988,998	1,220,472
2022-01-13	$38.56	$50.00	77.7%	21.4%	59.0%	47.8%	77.2%	8.6%	-3.1%	-18.5M	1.98B	-13.2M	1.18	1.99	119,167	140,658	1,005,805	1,225,087
2022-01-14	$38.06	$45.00	80.0%	22.1%	57.9%	51.0%	77.7%	7.7%	-4.3%	-17.5M	1.99B	-13.0M	1.19	2.27	111,787	133,452	1,041,971	1,242,568
2022-01-18	$35.84	$45.00	83.6%	23.7%	59.8%	55.9%	84.6%	6.9%	-4.0%	-14.1M	2.01B	-12.0M	0.80	2.39	66,955	53,799	1,023,354	1,214,965
2022-01-19	$35.37	$45.00	82.3%	23.6%	59.8%	54.2%	82.9%	5.8%	-4.9%	-12.4M	2.00B	-11.6M	0.81	2.13	83,575	67,709	1,041,027	1,208,407
2022-01-20	$35.17	$45.00	81.8%	23.6%	57.5%	53.5%	83.0%	6.9%	-3.8%	-10.7M	1.97B	-11.5M	1.67	3.02	73,260	122,001	1,063,079	1,201,772
2022-01-21	$32.30	$45.00	92.5%	27.2%	61.7%	68.3%	94.9%	8.0%	-6.9%	-11.5M	2.16B	-10.4M	1.04	3.27	94,587	98,788	1,078,797	1,253,002
2022-01-24	$31.48	$45.00	100.7%	30.7%	57.1%	79.5%	108.3%	16.3%	-3.8%	-11.1M	1.78B	-9.9M	0.83	3.53	156,280	130,375	746,104	1,005,224
2022-01-25	$31.00	$45.00	98.7%	30.3%	56.7%	76.7%	107.0%	14.2%	-5.2%	-9.8M	1.74B	-10.1M	1.73	3.57	61,094	105,683	818,374	1,047,752
2022-01-26	$28.66	$45.00	100.3%	32.0%	60.0%	78.9%	109.9%	15.5%	-3.9%	-11.0M	1.85B	-8.8M	0.73	4.18	94,703	68,929	841,415	1,071,894
2022-01-27	$28.54	$45.00	100.5%	31.3%	60.4%	99.6%	112.3%	14.3%	-5.2%	-9.9M	1.85B	-8.8M	0.71	2.85	110,313	77,887	888,996	1,083,552
2022-01-28	$30.05	$45.00	99.6%	31.8%	64.2%	98.1%	109.5%	13.6%	-7.4%	-12.5M	1.76B	-9.7M	0.74	3.18	85,249	63,176	878,950	1,104,103
2022-01-31	$32.39	$45.00	94.6%	32.1%	73.1%	89.5%	111.6%	12.3%	-4.4%	-9.1M	1.54B	-10.9M	0.60	3.77	98,493	59,074	835,620	1,059,914