SNAP Options History — July 2022

In July 2022, SNAP traded between $9.59 and $16.38. ATM implied volatility averaged 100.2%, placing in the 70.0% IV rank vs the trailing year. The 30-day expected move averaged 27.2%. IV traded below realized volatility by 13.9% (HV 20d: 114.1%). Max pain ranged from $11.00 to $17.00. Net GEX was positive for 14 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.81.

Notable Days

2022-07-22: Highest Volume — 1,160,301 contracts
2022-07-22: Largest IV drop — 23.4% change
2022-07-06: Highest IV Rank — 90.0%
2022-07-21: Largest Expected Move — 32.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.97	$9.59	$16.38	$13.15	$9.91
Max Pain	$13.57	$11.00	$17.00	$17.00	$11.00
ATM IV	100.2%	66.8%	116.7%	112.6%	66.8%
Expected Move	27.2%	18.7%	32.7%	23.7%	18.7%
HV 20d	114.1%	65.6%	193.3%	85.9%	191.0%
HV 60d	148.5%	136.5%	172.3%	136.5%	171.5%
IV Rank	70.0%	29.3%	90.0%	85.1%	29.3%
IV Percentile	85.1%	42.9%	99.2%	98.8%	42.9%
Term Structure	-4.2%	-8.5%	1.2%	-3.7%	1.2%
VWIV	95.7%	67.3%	114.8%	84.0%	67.3%
Skew 25d	9.3%	-0.9%	14.2%	12.5%	3.3%
Skew 10d	18.0%	-4.4%	28.6%	26.7%	6.4%
Call IV 25d	96.4%	67.4%	111.2%	107.9%	67.4%
Put IV 25d	105.7%	70.6%	123.8%	120.4%	70.6%
Bid-Ask Spread %	2.37	1.95	2.86	2.38	2.01
Gamma HHI	0.13	0.05	0.57	0.12	0.17
Net GEX	655.0K	-8.5M	7.5M	-765.3K	2.2M
Net DEX	406.9M	241.1M	638.6M	476.5M	352.5M
Net VEX	-3.0M	-4.1M	-2.1M	-3.0M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.35	1.48	1.02	0.61
Total Volume	242,486.9	62,746	1,160,301	103,034	211,579
Total OI	2,072,021.85	1,744,942	2,414,915	2,055,937	2,414,915

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
2022-07-01	$13.15	$17.00	112.6%	23.7%	85.9%	85.1%	84.0%	12.5%	-3.7%	-765.3K	476.5M	-3.0M	1.02	2.38	51,004	52,030	1,206,959	848,978
2022-07-05	$14.35	$14.00	114.7%	30.4%	91.4%	87.6%	104.1%	12.2%	-3.0%	3.0M	375.6M	-3.4M	0.67	2.79	81,882	55,235	1,177,654	821,992
2022-07-06	$14.33	$14.00	116.7%	30.7%	89.8%	90.0%	106.1%	12.6%	-5.0%	3.0M	370.3M	-3.4M	0.65	2.23	99,902	64,680	1,198,611	847,300
2022-07-07	$15.03	$14.00	109.9%	28.8%	91.5%	81.8%	100.8%	13.0%	-5.4%	4.3M	320.2M	-3.6M	0.35	2.29	134,267	47,646	1,173,903	883,991
2022-07-08	$14.92	$14.00	106.8%	28.2%	91.5%	78.0%	100.6%	12.9%	-6.3%	7.5M	353.4M	-3.5M	0.56	2.36	57,617	32,016	1,140,777	900,488
2022-07-11	$14.12	$14.00	112.3%	30.0%	89.4%	84.6%	105.1%	14.2%	-5.4%	490.4K	443.8M	-3.2M	0.81	2.20	36,536	29,595	1,083,687	841,604
2022-07-12	$14.01	$14.00	112.4%	30.2%	86.5%	84.8%	105.0%	13.5%	-6.6%	274.6K	445.9M	-3.1M	1.48	2.86	32,710	48,477	1,089,543	849,036
2022-07-13	$13.83	$14.00	109.3%	29.6%	77.5%	81.1%	103.3%	13.5%	-6.2%	-114.7K	457.7M	-3.1M	1.19	2.47	28,641	34,105	1,094,915	871,298
2022-07-14	$13.21	$14.00	110.7%	30.1%	79.8%	82.7%	103.5%	13.2%	-6.9%	-1.1M	475.8M	-2.9M	0.93	2.78	39,531	36,947	1,100,926	875,835
2022-07-15	$13.68	$14.00	106.0%	28.8%	72.3%	77.0%	101.9%	13.7%	-8.5%	72.8K	457.6M	-3.0M	0.66	2.29	69,097	45,440	1,111,930	882,732
2022-07-18	$13.83	$14.00	110.6%	31.2%	65.6%	82.6%	108.8%	11.9%	-5.5%	-151.3K	411.3M	-3.1M	0.74	2.48	83,247	61,774	946,989	797,953
2022-07-19	$14.12	$14.00	108.3%	30.8%	65.8%	79.9%	107.1%	11.7%	-5.3%	197.2K	392.5M	-3.2M	1.31	2.25	42,933	56,320	986,752	828,051
2022-07-20	$15.52	$14.00	105.7%	30.3%	71.4%	76.7%	103.8%	11.2%	-6.9%	770.4K	323.0M	-3.6M	0.63	2.11	147,555	93,616	1,001,156	849,326
2022-07-21	$16.38	$14.00	112.7%	32.7%	73.2%	85.2%	114.8%	7.5%	-7.6%	1.8M	241.1M	-4.1M	0.60	2.43	426,253	256,511	1,052,115	901,787
2022-07-22	$9.95	$15.00	86.4%	24.9%	193.3%	53.1%	88.3%	-0.9%	-1.2%	-8.5M	638.6M	-2.1M	0.71	1.95	677,027	483,274	1,278,346	1,039,387
2022-07-25	$9.99	$12.00	81.3%	23.3%	191.7%	46.9%	84.6%	1.7%	-1.0%	19.4K	424.0M	-2.4M	0.44	2.62	254,452	113,166	1,288,109	947,582
2022-07-26	$9.72	$12.00	77.6%	21.8%	191.7%	42.5%	79.1%	2.7%	-1.8%	172.4K	406.2M	-2.2M	0.59	2.12	151,863	89,567	1,370,717	945,018
2022-07-27	$9.59	$11.50	73.2%	20.9%	191.1%	37.1%	74.9%	1.9%	0.5%	-233.1K	404.9M	-2.2M	1.47	2.49	162,496	239,413	1,413,201	966,577
2022-07-28	$9.72	$11.00	70.3%	20.0%	191.2%	33.5%	70.8%	3.4%	0.9%	280.2K	367.6M	-2.3M	0.66	2.31	133,480	87,854	1,444,157	966,140
2022-07-29	$9.91	$11.00	66.8%	18.7%	191.0%	29.3%	67.3%	3.3%	1.2%	2.2M	352.5M	-2.3M	0.61	2.01	131,499	80,080	1,455,893	959,022