SNAP Options History — March 2022

In March 2022, SNAP traded between $27.87 and $38.09. ATM implied volatility averaged 77.8%, placing in the 44.6% IV rank vs the trailing year. The 30-day expected move averaged 22.6%. IV traded below realized volatility by 22.0% (HV 20d: 99.8%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 5 of 23 days. Put/call ratio averaged 0.98.

Notable Days

2022-03-09: Highest Volume — 242,418 contracts
2022-03-09: Largest IV drop — 10.3% change
2022-03-28: Highest IV Rank — 54.7%
2022-03-07: Largest Expected Move — 25.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.26	$27.87	$38.09	$37.80	$36.33
Max Pain	$38.17	$36.00	$39.00	$37.00	$39.00
ATM IV	77.8%	66.2%	85.8%	68.7%	85.0%
Expected Move	22.6%	19.9%	25.9%	21.1%	22.0%
HV 20d	99.8%	59.9%	200.2%	199.9%	86.4%
HV 60d	129.3%	125.5%	132.1%	125.7%	131.7%
IV Rank	44.6%	29.8%	54.7%	33.0%	53.8%
IV Percentile	87.5%	67.9%	95.6%	77.4%	94.8%
Term Structure	1.6%	-3.6%	17.4%	-2.0%	-2.9%
VWIV	79.1%	70.7%	92.2%	73.7%	76.7%
Skew 25d	8.5%	5.1%	11.7%	9.2%	5.1%
Skew 10d	17.5%	11.9%	25.5%	16.4%	12.8%
Call IV 25d	74.1%	63.2%	84.2%	65.1%	84.2%
Put IV 25d	82.5%	69.9%	90.4%	74.4%	89.3%
Bid-Ask Spread %	3.67	2.57	4.82	4.65	3.39
Gamma HHI	0.06	0.04	0.07	0.05	0.06
Net GEX	-3.0M	-9.0M	4.6M	-386.6K	4.6M
Net DEX	1.19B	680.0M	1.74B	836.2M	982.8M
Net VEX	-13.0M	-15.2M	-9.5M	-15.2M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.38	1.56	0.95	0.87
Total Volume	137,540.174	78,211	242,418	105,589	120,680
Total OI	2,174,156.043	2,037,099	2,336,543	2,114,394	2,142,655

Daily Data (23 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
2022-03-01	$37.80	$37.00	68.7%	21.1%	199.9%	33.0%	73.7%	9.2%	-2.0%	-386.6K	836.2M	-15.2M	0.95	4.65	54,215	51,374	1,002,428	1,111,966
2022-03-02	$37.78	$37.00	66.2%	19.9%	199.6%	29.8%	70.7%	7.8%	-1.7%	-70.0K	875.2M	-15.0M	1.08	3.50	60,383	65,008	1,022,662	1,123,602
2022-03-03	$35.57	$36.00	71.1%	21.8%	200.2%	36.1%	73.5%	9.3%	-1.8%	-6.3M	1.16B	-14.1M	1.08	3.48	97,393	105,111	1,025,598	1,139,257
2022-03-04	$33.06	$38.00	76.1%	23.2%	176.1%	42.4%	82.1%	9.5%	-1.4%	-5.9M	1.48B	-12.9M	1.10	3.87	74,850	82,593	1,065,562	1,178,733
2022-03-07	$30.45	$38.00	81.9%	25.9%	59.9%	49.7%	92.2%	11.2%	-1.7%	-8.3M	1.58B	-11.4M	1.19	3.07	61,617	73,436	1,020,231	1,142,604
2022-03-08	$31.43	$37.00	78.5%	25.0%	61.8%	45.5%	87.7%	9.9%	-2.2%	-7.7M	1.53B	-11.8M	0.73	4.08	85,754	62,624	1,046,048	1,165,057
2022-03-09	$33.95	$37.00	70.5%	22.4%	68.9%	35.2%	79.7%	8.7%	-0.8%	-1.4M	1.26B	-13.3M	0.88	3.56	129,076	113,342	1,079,822	1,170,323
2022-03-10	$31.95	$36.00	73.9%	23.2%	67.2%	39.6%	80.5%	9.6%	-1.5%	-7.1M	1.53B	-12.1M	1.28	3.69	64,597	82,438	1,109,010	1,191,246
2022-03-11	$30.13	$36.00	76.4%	24.9%	68.6%	42.8%	87.1%	9.9%	-0.5%	-8.0M	1.70B	-11.0M	1.35	3.30	61,656	83,036	1,128,343	1,208,200
2022-03-14	$27.87	$39.00	81.7%	24.7%	72.0%	49.5%	88.7%	11.7%	10.4%	-9.0M	1.74B	-9.5M	1.11	4.05	47,873	52,965	1,060,670	1,148,032
2022-03-15	$29.42	$39.00	78.3%	24.4%	75.9%	45.1%	83.8%	10.1%	13.4%	-7.8M	1.64B	-10.4M	0.52	4.22	82,794	43,234	1,074,469	1,154,197
2022-03-16	$32.20	$39.00	73.4%	23.0%	82.8%	38.9%	78.3%	8.5%	12.6%	-2.9M	1.39B	-11.9M	0.90	4.52	53,220	47,984	1,100,564	1,161,426
2022-03-17	$34.06	$39.00	73.7%	22.6%	86.0%	39.4%	80.2%	7.3%	15.9%	-2.0M	1.17B	-12.9M	0.76	3.01	107,655	81,587	1,100,110	1,174,068
2022-03-18	$35.70	$39.00	73.3%	22.1%	88.1%	38.9%	77.7%	6.8%	17.4%	-1.9M	892.6M	-13.8M	1.24	4.82	86,353	106,675	1,115,957	1,193,381
2022-03-21	$35.09	$39.00	79.6%	22.3%	87.8%	46.9%	77.0%	10.3%	-2.1%	-2.2M	1.06B	-13.3M	1.14	4.70	40,564	46,054	968,154	1,068,945
2022-03-22	$36.14	$39.00	79.6%	21.6%	87.6%	46.9%	74.7%	8.7%	-0.0%	-751.0K	951.8M	-13.7M	0.89	3.56	55,944	49,766	979,339	1,078,378
2022-03-23	$36.01	$39.00	83.1%	22.1%	87.6%	51.3%	76.9%	6.6%	-1.0%	-645.8K	971.7M	-13.7M	1.10	2.84	56,573	62,276	990,330	1,091,525
2022-03-24	$36.66	$39.00	82.0%	21.5%	86.1%	49.9%	77.8%	7.9%	-0.7%	669.2K	892.5M	-14.1M	1.50	3.88	31,297	46,914	1,003,659	1,109,552
2022-03-25	$35.28	$39.00	85.2%	22.0%	87.0%	54.0%	77.3%	7.6%	-3.4%	-3.1M	1.13B	-13.2M	1.56	3.74	69,389	108,272	1,008,257	1,107,647
2022-03-28	$36.14	$39.00	85.8%	22.0%	87.3%	54.7%	76.0%	7.5%	-3.6%	-4.4M	1.02B	-13.5M	0.55	2.80	56,357	31,207	957,942	1,082,785
2022-03-29	$38.09	$39.00	82.1%	21.1%	88.2%	50.1%	72.3%	5.5%	-3.2%	2.3M	680.0M	-14.4M	0.38	2.57	122,508	46,232	990,852	1,090,278
2022-03-30	$36.84	$39.00	83.0%	21.5%	89.0%	51.2%	74.6%	5.7%	-2.3%	4.1M	896.2M	-13.7M	0.47	3.05	68,367	32,181	1,022,756	1,098,969
2022-03-31	$36.33	$39.00	85.0%	22.0%	86.4%	53.8%	76.7%	5.1%	-2.9%	4.6M	982.8M	-13.5M	0.87	3.39	64,515	56,165	1,041,283	1,101,372