SNAP Options History — June 2022

In June 2022, SNAP traded between $11.97 and $15.25. ATM implied volatility averaged 94.8%, placing in the 63.4% IV rank vs the trailing year. The 30-day expected move averaged 24.3%. IV traded below realized volatility by 84.3% (HV 20d: 179.1%). Max pain ranged from $17.00 to $25.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.77.

Notable Days

  • 2022-06-02: Highest Volume — 335,962 contracts
  • 2022-06-13: Largest IV spike — 14.5% change
  • 2022-06-30: Highest IV Rank — 85.7%
  • 2022-06-13: Largest Expected Move — 26.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.71$11.97$15.25$13.99$13.13
Max Pain$17.67$17.00$25.00$25.00$17.00
ATM IV94.8%78.6%113.1%85.5%113.1%
Expected Move24.3%22.1%26.8%25.7%24.9%
HV 20d179.1%86.7%216.7%213.3%89.0%
HV 60d135.7%133.1%137.2%136.2%136.5%
IV Rank63.4%43.6%85.7%52.0%85.7%
IV Percentile90.6%77.0%99.2%87.7%99.2%
Term Structure3.0%-6.0%21.8%-1.3%-4.3%
VWIV84.4%74.3%94.7%89.1%87.8%
Skew 25d11.2%8.0%15.0%9.7%15.0%
Skew 10d22.3%16.5%27.7%21.0%27.7%
Call IV 25d89.6%75.1%106.2%81.7%106.2%
Put IV 25d100.8%83.9%121.2%91.4%121.2%
Bid-Ask Spread %1.911.582.191.872.18
Gamma HHI0.130.090.190.090.11
Net GEX1.8M-680.2K4.9M-410.7K269.8K
Net DEX585.1M338.4M812.5M812.5M471.8M
Net VEX-3.1M-3.7M-2.4M-2.9M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.311.760.421.03
Total Volume139,96878,228335,962205,673104,031
Total OI2,195,392.2381,876,8662,409,5042,214,8152,023,155

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-06-01$13.99$25.0085.5%25.7%213.3%52.0%89.1%9.7%-1.3%-410.7K812.5M-2.9M0.421.87144,35461,3191,276,933937,882
2022-06-02$14.85$23.0078.6%22.1%214.3%43.6%74.3%8.9%-1.4%2.9M745.1M-3.2M0.311.99256,99878,9641,315,266946,593
2022-06-03$14.40$17.0082.0%23.3%212.8%47.7%76.9%11.3%-0.5%2.5M702.3M-3.3M1.151.7482,16994,3241,435,670952,199
2022-06-06$15.07$17.0083.2%23.6%213.6%49.2%81.7%11.0%-0.7%2.8M640.1M-3.6M0.322.09168,72853,5821,384,998886,642
2022-06-07$15.22$17.0081.1%23.4%213.5%46.7%81.2%9.0%0.2%4.9M615.0M-3.7M0.921.8370,47764,5371,440,888898,568
2022-06-08$15.25$17.0079.3%22.8%213.6%44.5%79.1%8.7%0.4%4.9M615.8M-3.6M0.371.58112,45541,1791,442,670916,515
2022-06-09$14.12$17.0081.1%23.3%214.3%46.6%81.6%8.0%0.4%1.8M696.3M-3.2M0.892.0056,47250,1501,460,051917,925
2022-06-10$13.28$17.0081.8%23.4%213.5%47.6%79.0%9.1%-0.7%-257.7K736.3M-2.8M0.491.7785,02241,3041,471,960922,203
2022-06-13$11.99$17.0093.7%26.8%210.5%62.1%93.5%10.9%18.6%-163.2K715.0M-2.4M1.761.7563,070111,1301,434,581882,425
2022-06-14$11.97$17.0091.6%26.3%210.8%59.5%93.3%10.5%20.3%-244.4K692.6M-2.6M0.571.9849,87428,3541,456,375915,648
2022-06-15$13.24$17.0088.2%25.3%214.5%55.4%86.7%10.6%19.9%1.3M641.1M-3.1M0.791.9566,53252,5861,474,171910,512
2022-06-16$12.22$17.0095.7%26.2%214.9%64.4%94.7%10.2%21.7%-680.2K668.4M-2.7M1.271.6443,94755,9621,480,568908,519
2022-06-17$12.31$17.0097.3%25.6%214.4%66.4%87.6%11.3%21.8%346.7K674.3M-2.6M0.631.6578,99349,5491,492,703916,801
2022-06-21$12.92$17.00105.5%23.6%216.2%76.4%82.7%10.9%-4.9%1.5M468.1M-2.8M0.531.9577,28040,7501,127,061749,805
2022-06-22$13.08$17.00109.5%23.7%216.7%81.3%80.6%11.4%-5.5%2.0M457.1M-2.9M0.922.0847,06343,4151,152,272769,734
2022-06-23$13.93$17.00107.1%23.0%97.9%78.4%79.5%11.8%-3.9%3.6M401.4M-3.2M0.572.0475,03942,5931,162,058787,474
2022-06-24$14.71$17.00106.0%22.8%94.8%77.1%80.0%14.1%-6.0%4.2M338.4M-3.4M0.651.9179,96651,8351,178,985799,314
2022-06-27$14.59$17.00108.1%24.2%93.1%79.6%86.2%13.5%-4.2%3.1M362.3M-3.5M0.951.8967,80164,6101,149,631777,463
2022-06-28$13.76$17.00110.3%24.6%93.0%82.2%87.6%14.4%-3.6%1.6M424.5M-3.2M0.852.1945,74938,8591,161,354798,613
2022-06-29$13.92$17.00111.7%24.8%86.7%84.0%88.8%15.0%-3.2%2.0M407.9M-3.3M0.882.0352,39645,9101,173,666813,386
2022-06-30$13.13$17.00113.1%24.9%89.0%85.7%87.8%15.0%-4.3%269.8K471.8M-2.9M1.032.1851,25952,7721,193,043830,112