SNAP Options History — February 2022

In February 2022, SNAP traded between $24.65 and $41.15. ATM implied volatility averaged 72.9%, placing in the 40.8% IV rank vs the trailing year. The 30-day expected move averaged 21.4%. IV traded below realized volatility by 113.9% (HV 20d: 186.8%). Max pain ranged from $33.00 to $45.00. Net GEX was positive for 8 of 19 trading days. Term structure was in contango for 1 of 19 days. Put/call ratio averaged 1.07.

Notable Days

  • 2022-02-04: Highest Volume — 1,722,880 contracts
  • 2022-02-04: Largest IV drop — 29.0% change
  • 2022-02-03: Highest IV Rank — 100.0%
  • 2022-02-02: Largest Expected Move — 35.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$37.62$24.65$41.15$33.60$39.52
Max Pain$36.29$33.00$45.00$45.00$36.00
ATM IV72.9%61.7%121.4%92.3%64.2%
Expected Move21.4%17.7%35.7%32.1%19.3%
HV 20d186.8%75.1%209.4%75.7%200.2%
HV 60d115.6%57.7%125.6%57.7%125.5%
IV Rank40.8%24.0%100.0%85.5%27.2%
IV Percentile74.2%57.1%100.0%96.8%61.5%
Term Structure-2.2%-11.4%0.9%-4.5%-1.7%
VWIV75.9%63.7%125.8%112.6%66.5%
Skew 25d6.9%3.9%12.1%12.1%7.9%
Skew 10d14.2%6.8%24.7%22.6%15.7%
Call IV 25d70.9%60.0%120.7%86.5%60.8%
Put IV 25d77.8%65.1%128.5%98.6%68.7%
Bid-Ask Spread %3.562.704.742.774.08
Gamma HHI0.060.040.120.060.05
Net GEX-661.0K-8.3M11.5M-7.9M1.3M
Net DEX691.1M-246.0M1.77B1.43B601.3M
Net VEX-15.1M-17.1M-7.5M-11.6M-15.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.531.930.700.53
Total Volume322,608.684120,3231,722,880152,920128,060
Total OI2,299,105.6321,954,4372,617,3741,954,4372,063,841

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-02-01$33.60$45.0092.3%32.1%75.7%85.5%112.6%12.1%-4.5%-7.9M1.43B-11.6M0.702.7790,17262,748869,6231,084,814
2022-02-02$32.10$45.0098.2%35.7%75.1%95.6%125.8%6.3%-6.9%-7.9M1.49B-11.2M0.582.84132,35876,328898,6891,110,979
2022-02-03$24.65$35.00121.4%30.7%115.1%100.0%104.8%7.9%-11.4%-7.5M1.77B-7.5M0.754.19540,136406,565954,2391,140,443
2022-02-04$39.18$33.0086.2%23.3%208.5%55.3%83.6%5.2%-3.4%11.5M-246.0M-16.5M0.684.671,027,720695,1601,226,5251,272,989
2022-02-07$38.24$34.0070.9%19.9%208.7%35.8%71.3%3.9%-0.8%-736.0K554.6M-16.2M0.913.68180,827164,1191,151,3291,246,910
2022-02-08$37.61$34.0065.2%18.9%208.7%28.5%68.0%5.5%0.9%-3.1M746.3M-15.3M1.572.99151,979238,4851,179,1991,279,705
2022-02-09$39.90$35.0061.9%17.7%209.3%24.3%63.7%5.8%-0.4%3.9M310.3M-16.5M0.662.70178,467116,9521,192,7821,333,879
2022-02-10$40.46$35.0061.7%17.7%209.4%24.0%64.6%4.0%-0.3%9.5M142.6M-17.1M0.922.98145,826133,7151,236,8931,356,326
2022-02-11$39.32$35.0066.6%19.0%206.0%30.3%67.7%5.7%-0.4%333.1K441.9M-16.5M1.084.61125,708135,8631,243,0251,374,349
2022-02-14$39.64$35.0068.2%19.5%205.9%32.3%68.3%7.3%-1.9%-880.0K493.7M-16.5M0.984.4292,81291,1891,141,4341,231,467
2022-02-15$41.15$35.0062.2%17.8%204.9%24.7%65.0%6.4%-0.9%3.5M238.1M-16.9M1.383.1950,52369,8001,163,2771,246,392
2022-02-16$40.03$35.0063.0%18.1%205.2%25.8%64.7%5.7%-1.5%888.4K445.3M-16.5M1.592.7586,975138,0061,170,2691,256,749
2022-02-17$39.46$36.0065.9%18.9%205.3%29.4%66.8%7.1%-1.1%-2.5M550.5M-16.3M1.933.1454,571105,5211,178,8791,278,795
2022-02-18$38.34$36.0066.8%19.3%202.9%30.5%68.2%7.4%-1.4%-8.3M774.4M-15.6M1.414.7461,78187,2821,183,8591,291,225
2022-02-22$36.88$36.0069.9%20.5%203.3%34.5%73.4%8.5%-2.5%-4.9M984.2M-14.7M1.273.1156,46371,992936,8951,088,385
2022-02-23$36.97$36.0070.7%20.9%203.1%35.5%71.8%8.0%-1.4%-5.2M975.5M-14.8M1.083.2560,90365,864956,3491,111,046
2022-02-24$38.72$36.5067.3%19.9%200.8%31.2%70.6%7.4%-1.5%-287.1K711.4M-15.6M1.283.8969,71089,470977,9981,121,012
2022-02-25$38.93$37.0062.4%18.3%200.7%25.0%64.2%8.2%-0.7%5.7M715.8M-15.6M1.013.5972,43173,084998,7451,133,692
2022-02-28$39.52$36.0064.2%19.3%200.2%27.2%66.5%7.9%-1.7%1.3M601.3M-15.9M0.534.0883,79744,263969,5201,094,321