SNAP Options History — September 2022

In September 2022, SNAP traded between $9.96 and $12.66. ATM implied volatility averaged 86.5%, placing in the 51.9% IV rank vs the trailing year. The 30-day expected move averaged 27.1%. IV traded above realized volatility by 10.4% (HV 20d: 76.2%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 14 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.07.

Notable Days

  • 2022-09-08: Highest Volume — 418,037 contracts
  • 2022-09-19: Largest IV spike — 9.6% change
  • 2022-09-29: Highest IV Rank — 77.4%
  • 2022-09-27: Largest Expected Move — 30.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.20$9.96$12.66$11.57$9.96
Max Pain$11.38$11.00$12.00$12.00$11.00
ATM IV86.5%68.0%107.0%78.8%102.5%
Expected Move27.1%22.3%30.3%23.0%28.9%
HV 20d76.2%62.5%84.4%75.1%62.5%
HV 60d124.2%121.3%127.3%127.1%121.3%
IV Rank51.9%28.8%77.4%43.4%71.7%
IV Percentile69.7%35.7%92.1%63.5%88.1%
Term Structure3.5%-6.2%21.9%-1.0%-4.7%
VWIV95.1%79.1%105.2%83.1%102.5%
Skew 25d7.5%3.5%13.6%4.6%12.3%
Skew 10d14.7%7.4%24.4%9.7%22.5%
Call IV 25d84.0%66.7%100.5%78.3%98.6%
Put IV 25d91.5%72.0%114.1%82.9%110.9%
Bid-Ask Spread %1.981.513.701.523.01
Gamma HHI0.080.070.110.100.10
Net GEX1.1M-926.6K4.7M3.9M-926.6K
Net DEX144.2M-3.7M235.5M109.2M210.1M
Net VEX-2.6M-3.1M-2.2M-2.9M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.070.452.251.101.70
Total Volume189,698.42965,512418,037321,221213,361
Total OI2,179,120.7141,899,3172,420,3122,375,8312,120,797

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-09-01$11.57$12.0078.8%23.0%75.1%43.4%83.1%4.6%-1.0%3.9M109.2M-2.9M1.101.52152,877168,3441,419,838955,993
2022-09-02$11.19$12.0077.4%22.3%76.2%41.6%79.1%5.3%-0.3%920.2K168.1M-2.8M1.061.54101,348106,9731,430,990978,490
2022-09-06$10.78$12.0077.0%27.1%77.3%41.2%96.2%5.4%-1.0%-49.5K235.5M-2.6M1.321.5155,43672,9961,357,239903,219
2022-09-07$11.39$12.0075.9%26.9%79.1%38.7%95.2%3.5%-0.1%1.6M168.9M-2.7M0.682.02129,12487,3381,370,365903,422
2022-09-08$12.51$12.0076.0%27.1%84.4%38.9%96.0%3.6%-0.4%4.7M-534.5K-3.1M0.711.71244,319173,7181,415,066917,732
2022-09-09$12.66$12.0070.0%25.4%83.1%31.3%90.0%4.0%-0.3%3.1M-3.7M-3.0M0.581.79124,49872,7801,443,211969,968
2022-09-12$12.62$12.0068.0%25.1%81.8%28.8%90.7%5.3%20.1%3.1M60.6M-2.9M0.621.5377,16347,5891,385,659931,674
2022-09-13$11.75$12.0072.2%26.1%83.2%33.4%95.8%5.9%19.0%1.9M161.1M-2.7M1.501.65102,524153,6131,412,684938,934
2022-09-14$11.53$11.0072.2%26.1%82.9%33.4%92.6%6.3%19.1%1.5M193.8M-2.6M2.251.8959,663134,1091,433,257948,099
2022-09-15$11.90$11.0075.0%26.5%82.4%37.0%92.4%5.8%21.4%3.4M112.9M-2.8M0.692.3898,54768,3901,453,296938,695
2022-09-16$11.38$11.0081.8%27.5%82.1%45.5%96.1%6.8%21.9%-471.3K192.7M-2.6M1.791.5365,554117,2481,463,637956,675
2022-09-19$11.38$11.0089.6%27.1%75.9%55.5%93.9%9.8%0.6%471.3K156.7M-2.6M0.631.7264,36840,3631,179,837752,393
2022-09-20$11.18$11.0095.1%27.9%73.7%62.4%95.9%8.5%-0.1%613.9K119.4M-2.6M0.491.7643,90821,6041,203,584732,224
2022-09-21$10.89$11.0096.7%27.7%73.5%64.4%95.7%8.8%0.1%57.0K152.1M-2.4M1.552.2381,054126,0371,217,902735,547
2022-09-22$10.61$11.0095.2%27.3%73.6%62.5%94.7%8.1%-0.5%-582.5K169.2M-2.3M0.451.8974,63833,5881,239,683737,643
2022-09-23$10.39$11.0097.4%27.9%73.2%65.3%96.3%8.5%1.2%-545.1K188.7M-2.3M1.021.8354,85956,2081,263,862737,574
2022-09-26$10.26$11.00102.8%29.6%71.9%72.1%101.5%10.3%-4.5%-478.6K171.1M-2.2M0.972.4473,99071,8811,192,344706,973
2022-09-27$10.36$11.00104.2%30.3%71.1%73.8%104.6%11.2%-4.3%5.6K157.8M-2.3M1.021.8185,04586,4401,223,694716,330
2022-09-28$10.77$11.00102.8%28.5%71.1%72.1%100.4%10.1%-5.5%685.6K122.2M-2.4M1.022.12115,433118,0931,255,663740,345
2022-09-29$10.16$11.00107.0%29.7%65.9%77.4%105.2%13.6%-6.2%-570.1K181.5M-2.3M1.223.7094,197114,4491,310,810766,187
2022-09-30$9.96$11.00102.5%28.9%62.5%71.7%102.5%12.3%-4.7%-926.6K210.1M-2.2M1.703.0178,970134,3911,339,954780,843