SNAP Options History — November 2022

In November 2022, SNAP traded between $9.19 and $11.74. ATM implied volatility averaged 72.0%, placing in the 32.1% IV rank vs the trailing year. The 30-day expected move averaged 21.1%. IV traded below realized volatility by 56.9% (HV 20d: 128.9%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 1.18.

Notable Days

  • 2022-11-11: Highest Volume — 410,176 contracts
  • 2022-11-23: Largest IV drop — 4.9% change
  • 2022-11-02: Highest IV Rank — 39.9%
  • 2022-11-02: Largest Expected Move — 23.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.30$9.19$11.74$10.24$10.21
Max Pain$9.10$9.00$10.00$10.00$9.00
ATM IV72.0%65.1%77.3%75.7%65.1%
Expected Move21.1%19.5%23.8%23.4%19.6%
HV 20d128.9%83.6%161.1%147.4%85.4%
HV 60d104.4%101.8%106.9%101.8%103.8%
IV Rank32.1%22.3%39.9%37.9%22.3%
IV Percentile31.2%11.5%46.8%43.3%11.5%
Term Structure0.0%-1.8%2.5%-0.3%1.2%
VWIV74.2%68.6%82.8%80.8%71.5%
Skew 25d5.1%3.9%6.9%5.1%5.2%
Skew 10d11.0%8.9%14.2%10.9%10.7%
Call IV 25d70.6%63.6%74.7%73.3%63.6%
Put IV 25d75.7%68.7%80.4%78.4%68.7%
Bid-Ask Spread %2.241.582.721.692.31
Gamma HHI0.090.060.290.070.08
Net GEX1.9M-504.4K11.1M2.1M1.3M
Net DEX-9.0M-298.4M131.0M-36.8M40.6M
Net VEX-2.3M-2.7M-2.1M-2.4M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.180.232.140.580.61
Total Volume191,500.23832,930410,176372,475153,301
Total OI2,277,852.5711,954,3522,497,3202,403,2281,987,312

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2022-11-01$10.24$10.0075.7%23.4%147.4%37.9%80.8%5.1%-0.3%2.1M-36.8M-2.4M0.581.69236,289136,1861,506,511896,717
2022-11-02$9.63$10.0077.3%23.8%147.9%39.9%82.8%5.7%-0.1%817.6K54.6M-2.4M1.101.58132,002145,7981,557,096928,209
2022-11-03$9.21$9.0075.0%21.4%148.1%36.9%74.4%3.9%0.9%-504.4K122.6M-2.1M1.782.0265,924117,5031,568,169929,151
2022-11-04$9.19$9.0073.1%21.3%146.5%34.6%72.9%4.3%1.4%-270.2K131.0M-2.1M1.332.7264,11685,5831,572,376923,763
2022-11-07$9.98$9.0073.8%21.4%149.9%35.4%74.6%6.0%1.1%1.1M23.5M-2.3M1.052.4586,63890,5661,449,127861,315
2022-11-08$10.28$9.0073.0%21.7%150.1%34.5%74.8%6.0%2.5%2.0M-20.3M-2.4M1.862.1385,715159,4541,475,170869,617
2022-11-09$9.53$9.0076.2%21.6%152.3%38.4%77.0%6.9%-1.0%744.9K75.7M-2.1M1.012.41105,766106,3611,497,353885,018
2022-11-10$10.77$9.0075.5%22.0%158.8%37.6%76.9%5.3%1.4%4.2M-123.1M-2.5M0.542.33236,416126,6411,520,183885,533
2022-11-11$11.58$9.0072.5%21.0%159.6%33.8%74.0%4.3%1.1%11.1M-298.4M-2.7M0.542.35265,526144,6501,576,979901,319
2022-11-14$11.29$9.0072.6%21.0%159.2%34.0%73.9%5.0%-1.8%4.0M-146.7M-2.5M1.622.3871,726115,8891,480,445873,374
2022-11-15$11.74$9.0072.9%20.9%159.7%32.4%73.7%4.5%-0.4%4.6M-211.3M-2.6M0.832.19134,310112,1461,489,144894,704
2022-11-16$11.05$9.0073.4%21.0%161.1%33.0%74.4%5.4%-0.2%3.3M-95.4M-2.5M1.582.4463,07799,8331,510,137912,596
2022-11-17$10.91$9.0072.5%20.8%161.1%31.9%75.6%5.9%-0.6%3.1M-70.3M-2.4M2.142.1649,132104,9451,519,531916,630
2022-11-18$10.54$9.0070.3%20.1%99.2%29.0%73.0%4.7%0.5%922.7K-7.4M-2.4M1.712.2461,054104,1101,528,310930,788
2022-11-21$9.96$9.0071.6%20.6%98.3%30.7%72.9%3.9%-1.2%19.1K72.4M-2.2M1.822.0050,59091,8761,272,617700,209
2022-11-22$9.94$9.0070.3%20.3%83.6%28.9%71.2%4.8%-1.5%135.9K75.2M-2.2M1.422.3562,42888,7211,295,406718,821
2022-11-23$10.36$9.0066.8%19.5%84.6%24.4%68.6%5.7%-1.6%1.5M23.4M-2.2M1.592.3448,43076,8121,311,783722,032
2022-11-25$10.18$9.0067.1%19.6%85.0%24.8%68.7%4.2%-0.4%646.2K41.5M-2.2M1.072.4415,93516,9951,321,358730,416
2022-11-28$9.77$9.0068.9%20.8%84.7%27.1%74.0%5.4%-0.0%-17.6K81.5M-2.1M0.412.1337,84115,5401,271,188683,164
2022-11-29$9.84$9.0068.0%20.6%84.8%26.0%73.1%5.3%-0.6%-83.7K79.7M-2.1M0.232.4345,35310,3271,270,493690,840
2022-11-30$10.21$9.0065.1%19.6%85.4%22.3%71.5%5.2%1.2%1.3M40.6M-2.2M0.612.3195,02658,2751,291,052696,260