SNAP Options History — August 2022

In August 2022, SNAP traded between $9.58 and $12.60. ATM implied volatility averaged 70.0%, placing in the 33.2% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded below realized volatility by 70.7% (HV 20d: 140.7%). Max pain ranged from $11.00 to $13.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 9 of 23 days. Put/call ratio averaged 0.87.

Notable Days

2022-08-31: Highest Volume — 672,181 contracts
2022-08-26: Largest IV spike — 6.8% change
2022-08-31: Highest IV Rank — 42.3%
2022-08-31: Largest Expected Move — 23.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.90	$9.58	$12.60	$9.58	$10.97
Max Pain	$12.17	$11.00	$13.00	$11.00	$12.00
ATM IV	70.0%	65.7%	78.0%	68.2%	78.0%
Expected Move	20.1%	18.8%	23.0%	19.5%	23.0%
HV 20d	140.7%	60.3%	191.5%	191.0%	73.1%
HV 60d	152.9%	125.3%	171.2%	171.2%	126.6%
IV Rank	33.2%	27.9%	42.3%	30.9%	42.3%
IV Percentile	48.0%	35.7%	61.5%	45.6%	61.5%
Term Structure	-0.2%	-1.6%	1.5%	-0.7%	0.5%
VWIV	71.7%	66.8%	81.1%	69.2%	81.1%
Skew 25d	3.2%	1.4%	5.3%	3.3%	3.9%
Skew 10d	6.3%	1.1%	11.6%	4.7%	9.0%
Call IV 25d	70.3%	66.1%	78.6%	68.9%	78.6%
Put IV 25d	73.5%	68.8%	82.6%	72.2%	82.6%
Bid-Ask Spread %	1.61	1.13	3.03	2.31	1.62
Gamma HHI	0.09	0.07	0.15	0.08	0.08
Net GEX	2.7M	-282.9K	8.0M	-282.9K	1.2M
Net DEX	222.5M	36.8M	342.5M	342.5M	216.1M
Net VEX	-2.6M	-3.1M	-2.2M	-2.2M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.87	0.21	3.03	0.69	1.34
Total Volume	218,769.087	79,830	672,181	168,485	672,181
Total OI	2,265,856.304	2,148,570	2,428,946	2,153,666	2,275,836

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
2022-08-01	$9.58	$11.00	68.2%	19.5%	191.0%	30.9%	69.2%	3.3%	-0.7%	-282.9K	342.5M	-2.2M	0.69	2.31	99,468	69,017	1,285,174	868,492
2022-08-02	$9.94	$11.00	68.2%	19.5%	188.2%	31.0%	70.2%	1.8%	-0.3%	982.6K	312.0M	-2.3M	0.61	2.03	134,496	81,787	1,321,148	886,089
2022-08-03	$10.35	$11.00	68.5%	20.1%	189.3%	31.3%	72.3%	3.3%	-1.6%	2.5M	264.1M	-2.5M	0.82	2.29	210,825	172,313	1,345,179	911,482
2022-08-04	$10.27	$13.00	68.2%	19.6%	187.8%	31.0%	68.0%	3.7%	-0.9%	3.3M	255.0M	-2.5M	0.94	1.13	85,464	79,914	1,392,927	915,995
2022-08-05	$10.15	$13.00	67.7%	19.5%	187.8%	30.4%	69.5%	2.5%	-1.6%	3.3M	269.2M	-2.4M	0.81	1.35	90,477	73,113	1,409,974	922,868
2022-08-08	$10.37	$13.00	68.7%	20.1%	187.8%	31.5%	70.5%	3.5%	1.4%	1.6M	264.9M	-2.4M	0.72	1.26	119,570	86,215	1,320,442	867,800
2022-08-09	$10.16	$13.00	69.5%	20.1%	187.8%	32.5%	71.9%	3.3%	0.6%	1.3M	284.3M	-2.4M	0.21	1.19	72,049	15,238	1,350,642	890,011
2022-08-10	$10.55	$13.00	65.8%	18.9%	188.8%	28.1%	67.5%	2.9%	-0.3%	3.1M	242.3M	-2.5M	1.59	1.25	113,315	179,852	1,368,221	893,011
2022-08-11	$11.07	$12.00	68.2%	19.5%	189.6%	31.0%	69.4%	1.5%	-0.4%	4.7M	177.0M	-2.7M	0.47	1.53	243,023	114,506	1,377,924	889,675
2022-08-12	$11.60	$13.00	66.3%	18.9%	190.0%	28.6%	67.7%	1.8%	-0.7%	5.2M	129.4M	-2.8M	0.60	1.46	140,774	84,145	1,390,025	901,349
2022-08-15	$12.32	$13.00	69.0%	19.8%	191.5%	31.9%	70.1%	2.9%	-0.6%	4.4M	103.6M	-2.9M	0.21	1.23	262,063	55,102	1,347,626	874,357
2022-08-16	$12.60	$12.00	65.7%	18.8%	191.5%	27.9%	66.8%	2.4%	1.5%	7.4M	48.7M	-3.1M	0.39	1.38	134,178	52,033	1,452,496	897,369
2022-08-17	$12.06	$12.00	70.0%	20.1%	188.2%	33.1%	70.6%	1.9%	-1.1%	6.4M	114.0M	-3.0M	1.07	2.24	145,652	155,990	1,461,082	910,244
2022-08-18	$12.60	$12.00	69.4%	19.9%	187.7%	32.5%	70.4%	2.6%	-0.1%	8.0M	36.8M	-3.1M	0.68	1.28	156,350	105,552	1,478,965	918,778
2022-08-19	$11.53	$12.00	69.5%	19.9%	60.3%	32.6%	70.8%	1.4%	0.5%	1.7M	194.2M	-2.8M	0.64	1.19	108,260	69,264	1,488,528	940,418
2022-08-22	$10.94	$12.00	73.9%	21.2%	63.9%	37.9%	77.2%	3.0%	0.0%	1.5M	245.0M	-2.6M	0.81	1.67	70,599	57,456	1,318,607	829,963
2022-08-23	$10.61	$12.00	72.8%	20.7%	64.2%	36.6%	75.4%	3.7%	0.5%	855.3K	276.2M	-2.5M	0.43	1.64	68,666	29,755	1,341,411	856,497
2022-08-24	$10.86	$12.00	71.2%	20.3%	64.1%	34.6%	72.9%	4.0%	-0.5%	1.7M	257.6M	-2.5M	3.03	1.56	39,551	119,741	1,369,810	861,070
2022-08-25	$11.14	$12.00	68.8%	19.7%	64.4%	31.7%	70.5%	5.2%	0.1%	2.6M	232.1M	-2.6M	0.81	1.53	66,898	54,026	1,383,583	867,920
2022-08-26	$10.68	$12.00	73.5%	20.9%	66.5%	37.4%	74.6%	3.4%	-0.3%	774.7K	261.8M	-2.5M	0.69	1.48	72,831	50,527	1,414,577	894,108
2022-08-29	$10.34	$12.00	73.7%	21.1%	66.4%	37.7%	74.9%	5.3%	-0.1%	474.0K	281.2M	-2.5M	0.72	1.32	46,373	33,457	1,336,224	858,009
2022-08-30	$9.99	$12.00	76.2%	22.0%	66.5%	40.2%	78.2%	5.3%	0.3%	-74.4K	308.8M	-2.3M	1.66	3.03	52,470	87,153	1,351,638	877,151
2022-08-31	$10.97	$12.00	78.0%	23.0%	73.1%	42.3%	81.1%	3.9%	0.5%	1.2M	216.1M	-2.7M	1.34	1.62	287,262	384,919	1,365,033	910,803