SNAP Options History — October 2022

In October 2022, SNAP traded between $7.67 and $11.39. ATM implied volatility averaged 97.7%, placing in the 65.6% IV rank vs the trailing year. The 30-day expected move averaged 28.1%. IV traded above realized volatility by 10.0% (HV 20d: 87.7%). Max pain ranged from $9.00 to $14.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.95.

Notable Days

2022-10-24: Highest Volume — 1,345,906 contracts
2022-10-21: Largest IV drop — 29.6% change
2022-10-20: Highest IV Rank — 87.9%
2022-10-05: Largest Expected Move — 34.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.17	$7.67	$11.39	$10.00	$9.99
Max Pain	$11.62	$9.00	$14.00	$11.00	$10.00
ATM IV	97.7%	75.0%	115.3%	101.2%	75.4%
Expected Move	28.1%	22.7%	34.1%	29.8%	23.5%
HV 20d	87.7%	54.2%	150.7%	61.9%	149.5%
HV 60d	103.7%	64.4%	122.8%	121.3%	101.7%
IV Rank	65.6%	37.0%	87.9%	70.1%	37.4%
IV Percentile	78.9%	42.9%	98.8%	87.7%	42.9%
Term Structure	-3.9%	-8.7%	1.1%	-4.3%	-0.6%
VWIV	96.1%	77.7%	116.7%	106.3%	82.1%
Skew 25d	8.5%	0.2%	12.0%	10.2%	7.8%
Skew 10d	16.0%	-0.3%	22.8%	21.3%	14.5%
Call IV 25d	94.2%	71.1%	113.6%	95.2%	71.4%
Put IV 25d	102.7%	79.2%	119.4%	105.4%	79.2%
Bid-Ask Spread %	1.66	1.28	2.43	2.43	1.40
Gamma HHI	0.10	0.06	0.31	0.10	0.06
Net GEX	1.3M	-1.6M	6.9M	-848.5K	1.2M
Net DEX	77.0M	-110.8M	452.0M	187.2M	10.5M
Net VEX	-2.3M	-2.7M	-1.4M	-2.2M	-2.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.95	0.48	1.84	0.97	1.05
Total Volume	380,528.286	156,864	1,345,906	195,147	160,794
Total OI	2,308,540.095	2,011,620	2,818,450	2,011,620	2,372,341

Daily Data (21 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
2022-10-03	$10.00	$11.00	101.2%	29.8%	61.9%	70.1%	106.3%	10.2%	-4.3%	-848.5K	187.2M	-2.2M	0.97	2.43	99,165	95,982	1,270,498	741,122
2022-10-04	$10.74	$11.00	100.7%	29.6%	66.4%	69.5%	101.4%	9.8%	-5.4%	450.4K	98.9M	-2.4M	0.76	2.37	118,188	90,360	1,290,272	736,076
2022-10-05	$11.20	$11.00	100.7%	34.1%	65.1%	69.5%	116.7%	8.9%	-4.6%	1.7M	36.0M	-2.6M	0.70	1.71	167,544	116,743	1,325,501	744,893
2022-10-06	$11.39	$14.00	102.9%	27.5%	55.2%	72.2%	84.4%	9.8%	-4.2%	2.8M	-6.9M	-2.7M	0.62	1.64	136,700	84,832	1,407,575	773,969
2022-10-07	$10.63	$14.00	104.5%	27.5%	59.3%	74.3%	87.1%	9.7%	-5.7%	856.8K	94.0M	-2.5M	0.69	1.57	116,168	80,068	1,433,547	783,162
2022-10-10	$10.44	$14.00	106.3%	29.2%	59.4%	76.6%	93.1%	10.1%	-3.0%	859.5K	111.6M	-2.4M	0.48	1.53	105,772	51,092	1,361,398	739,117
2022-10-11	$10.23	$14.00	111.0%	29.9%	54.9%	82.4%	100.7%	11.6%	-6.3%	763.8K	123.6M	-2.3M	0.76	1.59	92,150	70,221	1,391,381	742,179
2022-10-12	$10.44	$13.00	109.0%	30.3%	55.5%	79.9%	96.7%	11.2%	-3.3%	1.2M	104.0M	-2.3M	1.26	1.46	93,310	117,496	1,404,197	751,820
2022-10-13	$10.56	$12.00	105.9%	28.7%	54.2%	76.1%	97.9%	11.5%	-7.1%	1.3M	90.6M	-2.4M	1.12	1.53	99,662	111,862	1,421,272	755,286
2022-10-14	$10.07	$12.00	109.7%	30.4%	54.5%	80.8%	102.0%	11.3%	-5.5%	-880.2K	144.1M	-2.3M	0.98	1.56	107,988	105,470	1,436,729	762,630
2022-10-17	$10.58	$12.00	105.0%	29.5%	57.9%	74.8%	103.0%	12.0%	-4.6%	1.1M	90.7M	-2.4M	1.84	1.48	96,937	178,179	1,335,031	709,441
2022-10-18	$10.60	$12.00	105.5%	29.9%	57.7%	75.6%	105.1%	9.9%	-4.9%	897.4K	94.8M	-2.4M	1.32	1.55	82,920	109,712	1,365,501	780,029
2022-10-19	$10.90	$12.00	114.6%	32.9%	58.0%	87.0%	114.3%	7.7%	-7.9%	1.7M	37.9M	-2.5M	0.91	1.35	238,310	215,836	1,421,589	804,567
2022-10-20	$10.81	$12.00	115.3%	33.5%	57.3%	87.9%	116.7%	4.8%	-8.7%	1.9M	39.1M	-2.6M	0.83	1.56	374,187	312,216	1,509,401	870,450
2022-10-21	$7.67	$11.00	81.1%	23.5%	135.0%	44.7%	84.4%	0.2%	-2.4%	-1.6M	452.0M	-1.4M	0.75	1.28	625,390	469,246	1,667,385	999,097
2022-10-24	$8.39	$10.00	81.3%	24.0%	140.1%	44.9%	85.6%	0.7%	-0.4%	1.0M	140.3M	-1.8M	0.48	1.61	908,297	437,609	1,552,649	766,529
2022-10-25	$9.72	$9.00	86.8%	26.0%	150.7%	51.9%	92.7%	8.5%	-2.1%	3.5M	-90.9M	-2.5M	0.75	1.69	399,812	299,637	1,745,237	919,312
2022-10-26	$9.61	$10.00	82.9%	25.0%	149.9%	46.9%	86.7%	7.3%	-1.1%	1.5M	-16.9M	-2.4M	1.32	2.20	176,812	233,563	1,725,485	1,038,524
2022-10-27	$9.62	$10.00	76.0%	23.0%	148.6%	38.3%	77.7%	8.1%	1.1%	1.3M	-12.6M	-2.4M	1.44	1.71	120,430	173,554	1,746,983	1,071,467
2022-10-28	$10.07	$10.00	75.0%	22.7%	149.5%	37.0%	82.6%	8.3%	0.1%	6.9M	-110.8M	-2.4M	0.99	1.62	158,961	157,919	1,741,848	1,063,852
2022-10-31	$9.99	$10.00	75.4%	23.5%	149.5%	37.4%	82.1%	7.8%	-0.6%	1.2M	10.5M	-2.4M	1.05	1.40	78,560	82,234	1,486,849	885,492