SNAP Options History — April 2022

In April 2022, SNAP traded between $27.09 and $39.35. ATM implied volatility averaged 90.6%, placing in the 60.1% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 27.8% (HV 20d: 62.7%). Max pain ranged from $35.00 to $39.00. Net GEX was positive for 6 of 20 trading days. Term structure was in contango for 0 of 20 days. Put/call ratio averaged 0.99.

Notable Days

2022-04-21: Highest Volume — 649,634 contracts
2022-04-22: Largest IV drop — 44.4% change
2022-04-21: Highest IV Rank — 100.0%
2022-04-21: Largest Expected Move — 36.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.91	$27.09	$39.35	$37.20	$28.69
Max Pain	$37.08	$35.00	$39.00	$39.00	$35.00
ATM IV	90.6%	69.4%	124.9%	84.2%	77.7%
Expected Move	25.1%	20.0%	36.3%	21.9%	23.3%
HV 20d	62.7%	50.0%	82.1%	82.1%	60.4%
HV 60d	130.3%	128.9%	132.2%	131.2%	128.9%
IV Rank	60.1%	32.4%	100.0%	52.7%	42.6%
IV Percentile	91.9%	74.6%	100.0%	94.4%	82.5%
Term Structure	-5.2%	-10.7%	-0.9%	-4.1%	-3.1%
VWIV	87.4%	71.7%	126.3%	75.7%	80.8%
Skew 25d	6.5%	4.7%	11.7%	4.8%	8.8%
Skew 10d	13.0%	9.0%	23.8%	13.4%	17.0%
Call IV 25d	88.1%	67.4%	119.7%	84.0%	75.4%
Put IV 25d	94.6%	73.4%	131.3%	88.8%	84.2%
Bid-Ask Spread %	2.81	2.27	3.59	2.39	3.14
Gamma HHI	0.06	0.04	0.08	0.06	0.05
Net GEX	-2.5M	-9.6M	7.6M	324.8K	-4.0M
Net DEX	1.11B	364.7M	1.56B	761.7M	1.35B
Net VEX	-11.8M	-14.9M	-8.5M	-14.0M	-9.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.99	0.30	1.75	0.69	1.75
Total Volume	212,541.2	84,923	649,634	229,537	279,055
Total OI	2,139,474.15	1,828,531	2,371,398	2,181,093	2,323,241

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
2022-04-01	$37.20	$39.00	84.2%	21.9%	82.1%	52.7%	75.7%	4.8%	-4.1%	324.8K	761.7M	-14.0M	0.69	2.39	135,872	93,665	1,067,966	1,113,127
2022-04-04	$39.35	$39.00	85.5%	22.2%	77.0%	54.3%	77.2%	6.0%	-7.0%	7.6M	364.7M	-14.9M	0.30	2.39	113,275	34,185	1,023,459	1,085,363
2022-04-05	$38.35	$39.00	87.0%	23.0%	77.8%	56.2%	79.2%	4.7%	-4.7%	6.4M	558.0M	-14.6M	0.77	2.88	57,404	44,415	1,044,421	1,096,365
2022-04-06	$36.57	$39.00	90.7%	23.6%	76.1%	61.0%	83.3%	6.6%	-6.0%	996.8K	909.4M	-13.7M	0.81	2.89	66,914	53,936	1,048,527	1,108,353
2022-04-07	$36.46	$39.00	93.7%	24.5%	72.3%	64.8%	85.3%	5.4%	-5.4%	2.0M	926.0M	-13.6M	1.55	2.38	60,124	93,075	1,067,184	1,117,389
2022-04-08	$35.84	$38.00	96.6%	25.5%	68.7%	68.4%	89.4%	4.7%	-5.2%	909.5K	995.5M	-13.3M	0.86	2.63	97,814	83,878	1,079,789	1,110,749
2022-04-11	$34.43	$38.00	100.3%	26.8%	63.5%	73.2%	93.6%	4.7%	-5.3%	-4.1M	1.12B	-12.6M	0.97	3.33	59,819	58,309	1,035,916	1,098,246
2022-04-12	$33.60	$37.00	100.0%	26.7%	62.4%	72.9%	93.2%	6.2%	-6.0%	-5.8M	1.22B	-12.2M	1.15	2.47	39,499	45,424	1,058,996	1,095,693
2022-04-13	$34.50	$37.00	97.7%	26.1%	54.7%	69.9%	90.9%	5.1%	-6.6%	-4.5M	1.12B	-12.5M	0.86	2.46	46,250	39,915	1,066,142	1,114,005
2022-04-14	$33.42	$37.00	93.7%	25.3%	52.4%	64.8%	87.5%	5.1%	-6.3%	-3.9M	1.31B	-11.8M	1.60	2.27	67,918	108,444	1,081,541	1,120,031
2022-04-18	$32.48	$37.00	100.1%	28.1%	50.0%	72.9%	97.4%	7.0%	-6.0%	-5.3M	1.11B	-11.4M	0.76	2.37	61,947	47,182	853,700	974,831
2022-04-19	$33.56	$37.00	98.8%	28.0%	51.5%	71.3%	96.6%	7.2%	-7.0%	-4.0M	978.8M	-12.1M	0.43	3.27	82,515	35,862	884,822	996,024
2022-04-20	$30.91	$37.00	109.9%	31.5%	57.3%	85.4%	109.0%	7.8%	-8.2%	-3.6M	1.12B	-11.0M	0.87	3.46	124,058	108,309	928,145	1,005,292
2022-04-21	$29.29	$36.00	124.9%	36.3%	59.5%	100.0%	126.3%	11.7%	-10.7%	-3.2M	1.14B	-10.6M	1.21	2.82	293,934	355,700	980,793	1,054,590
2022-04-22	$29.29	$36.00	69.4%	20.0%	58.7%	32.4%	71.7%	6.0%	-0.9%	-6.8M	1.50B	-9.7M	1.52	3.10	255,976	388,502	1,145,182	1,226,216
2022-04-25	$29.56	$36.00	71.2%	21.0%	58.2%	34.6%	72.4%	6.6%	-2.1%	-3.8M	1.36B	-9.9M	0.88	3.59	101,071	89,078	1,037,951	1,100,754
2022-04-26	$28.88	$35.50	77.0%	22.7%	57.1%	41.7%	79.0%	7.3%	-3.0%	-5.2M	1.42B	-9.7M	1.04	2.83	84,764	88,452	1,056,402	1,122,262
2022-04-27	$27.09	$35.00	79.2%	23.5%	54.8%	44.4%	81.4%	8.0%	-3.6%	-9.6M	1.56B	-8.5M	0.75	3.16	120,106	89,622	1,069,036	1,138,076
2022-04-28	$28.66	$35.00	74.1%	22.1%	60.2%	38.1%	77.1%	6.7%	-2.1%	-4.0M	1.40B	-9.5M	1.00	2.47	122,153	122,403	1,113,997	1,144,907
2022-04-29	$28.69	$35.00	77.7%	23.3%	60.4%	42.6%	80.8%	8.8%	-3.1%	-4.0M	1.35B	-9.9M	1.75	3.14	101,656	177,399	1,152,204	1,171,037