SNAP Options History — May 2022

In May 2022, SNAP traded between $12.89 and $30.05. ATM implied volatility averaged 82.1%, placing in the 47.9% IV rank vs the trailing year. The 30-day expected move averaged 23.9%. IV traded below realized volatility by 23.9% (HV 20d: 106.0%). Max pain ranged from $25.00 to $45.00. Net GEX was positive for 2 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.98.

Notable Days

  • 2022-05-24: Highest Volume — 681,463 contracts
  • 2022-05-24: Largest IV spike — 27.7% change
  • 2022-05-24: Highest IV Rank — 72.8%
  • 2022-05-24: Largest Expected Move — 30.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$22.23$12.89$30.05$29.22$14.15
Max Pain$36.12$25.00$45.00$35.00$25.00
ATM IV82.1%69.4%102.5%77.8%85.9%
Expected Move23.9%20.8%30.7%23.7%25.8%
HV 20d106.0%54.3%213.3%60.0%213.3%
HV 60d89.7%66.6%136.9%116.8%136.9%
IV Rank47.9%32.5%72.8%42.6%52.6%
IV Percentile84.8%71.8%98.8%82.5%88.5%
Term Structure-0.9%-2.9%1.1%-1.2%-0.8%
VWIV83.8%74.2%106.9%93.3%89.4%
Skew 25d10.3%8.0%12.0%9.7%9.9%
Skew 10d19.5%13.6%24.7%18.5%19.1%
Call IV 25d77.6%65.7%98.1%72.4%81.6%
Put IV 25d88.0%74.4%109.1%82.1%91.5%
Bid-Ask Spread %2.881.644.094.091.64
Gamma HHI0.070.050.340.050.05
Net GEX-4.1M-9.7M4.4M-4.9M-1.5M
Net DEX1.26B770.7M1.62B1.28B845.3M
Net VEX-6.3M-10.3M-2.2M-10.1M-2.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.980.393.851.880.68
Total Volume191,784.66755,109681,463129,329261,130
Total OI2,188,945.4761,961,4372,307,9682,123,5912,092,490

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-05-02$29.22$35.0077.8%23.7%60.0%42.6%93.3%9.7%-1.2%-4.9M1.28B-10.1M1.884.0944,95184,3781,025,4041,098,187
2022-05-03$28.87$35.0074.6%22.7%54.3%38.8%80.4%9.1%-0.7%-5.7M1.35B-9.7M0.642.6867,74843,0541,035,4651,144,976
2022-05-04$30.05$34.5069.4%20.8%57.6%32.5%74.3%8.7%-0.7%-1.8M1.21B-10.3M0.733.6074,00554,0841,065,6121,152,288
2022-05-05$27.13$45.0078.0%22.0%64.9%42.9%76.2%8.0%-0.7%-7.6M1.45B-8.9M0.593.4490,77253,7681,083,4151,148,793
2022-05-06$24.96$45.0079.7%22.6%69.1%45.0%78.6%8.5%-0.9%-9.7M1.62B-7.6M0.623.8776,45347,6311,080,6921,158,756
2022-05-09$23.42$45.0086.6%24.6%70.9%53.4%83.4%10.0%-0.5%-7.9M1.49B-6.9M0.633.4568,81043,6501,037,1151,080,755
2022-05-10$22.96$40.0086.0%24.1%70.5%52.7%83.4%11.2%-1.8%-7.2M1.48B-6.6M0.774.0566,29250,8601,072,1651,073,072
2022-05-11$21.77$40.0086.2%24.7%71.5%52.9%84.8%9.5%-0.0%-7.7M1.50B-6.0M1.022.7554,73655,5971,104,4951,084,955
2022-05-12$22.59$40.0087.2%24.8%72.5%54.1%84.6%10.0%-1.0%-6.4M1.38B-6.5M0.882.8281,32771,9511,125,0091,069,841
2022-05-13$24.71$40.0078.7%22.6%82.3%43.8%78.3%10.9%-0.4%-3.8M1.25B-7.5M0.622.3958,10836,0621,153,0721,094,809
2022-05-16$23.42$40.0081.3%23.3%83.3%46.9%80.7%11.9%-2.2%-5.0M1.34B-6.7M0.953.2854,60452,0621,097,2821,073,358
2022-05-17$24.45$40.0074.6%21.4%84.2%38.8%74.2%9.8%0.9%-2.6M1.27B-7.1M1.093.5369,61575,6091,127,2861,087,625
2022-05-18$22.87$36.0083.3%23.9%82.7%49.4%88.6%11.7%-2.9%-5.1M1.38B-6.7M1.262.7937,24346,8981,163,2611,138,169
2022-05-19$23.38$35.0079.7%22.9%82.4%44.9%79.4%11.7%-1.9%-2.6M1.34B-6.7M0.993.2227,69827,4111,170,4831,136,048
2022-05-20$23.18$35.0079.8%23.1%82.3%45.1%76.8%12.0%-2.4%-4.2M1.34B-6.5M0.973.0456,46554,7081,173,3401,134,628
2022-05-23$22.28$35.0080.3%23.3%82.5%45.7%84.5%11.8%-0.7%-5.4M1.23B-6.0M3.852.1540,915157,425980,899980,538
2022-05-24$12.89$34.00102.5%30.7%206.6%72.8%106.9%11.0%1.1%-2.6M1.12B-2.2M0.772.06385,926295,537997,9911,024,457
2022-05-25$14.08$28.0093.1%27.4%211.3%61.4%96.0%10.9%-1.8%-1.2M926.4M-2.6M0.671.97349,903235,5541,209,335977,261
2022-05-26$14.80$26.0082.8%24.3%210.9%48.8%85.6%10.9%-0.4%1.6M791.9M-3.0M0.391.87228,61988,7291,287,074955,860
2022-05-27$15.60$25.0077.2%22.9%212.8%41.9%80.6%9.2%-0.0%4.4M770.7M-3.2M0.531.71168,36488,8261,298,931972,663
2022-05-31$14.15$25.0085.9%25.8%213.3%52.6%89.4%9.9%-0.8%-1.5M845.3M-2.7M0.681.64155,467105,6631,193,184899,306