SNAP Options History — December 2022

In December 2022, SNAP traded between $8.16 and $10.96. ATM implied volatility averaged 70.5%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 20.1%. IV traded above realized volatility by 4.3% (HV 20d: 66.2%). Max pain ranged from $9.00 to $12.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2022-12-15: Highest Volume — 209,258 contracts
2022-12-06: Largest IV spike — 8.6% change
2022-12-30: Highest IV Rank — 39.2%
2022-12-06: Largest Expected Move — 21.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.14	$8.16	$10.96	$10.96	$8.84
Max Pain	$11.33	$9.00	$12.00	$9.00	$11.00
ATM IV	70.5%	63.3%	80.8%	64.8%	80.8%
Expected Move	20.1%	18.8%	21.4%	19.8%	19.7%
HV 20d	66.2%	50.8%	87.2%	85.7%	50.8%
HV 60d	102.9%	101.9%	104.2%	104.2%	101.9%
IV Rank	28.9%	19.9%	39.2%	21.7%	39.2%
IV Percentile	25.4%	10.3%	56.0%	11.1%	56.0%
Term Structure	5.8%	-2.2%	28.6%	0.2%	28.6%
VWIV	70.9%	67.8%	78.0%	70.2%	69.9%
Skew 25d	4.8%	2.9%	7.2%	4.5%	5.3%
Skew 10d	9.0%	5.1%	13.7%	8.1%	7.1%
Call IV 25d	69.1%	63.2%	73.8%	63.7%	70.2%
Put IV 25d	73.9%	66.8%	78.6%	68.2%	75.5%
Bid-Ask Spread %	1.30	1.05	2.21	2.21	1.74
Gamma HHI	0.10	0.07	0.22	0.09	0.07
Net GEX	-115.3K	-4.0M	3.6M	3.3M	40.0K
Net DEX	112.4M	-63.6M	209.8M	-63.6M	107.6M
Net VEX	-1.9M	-2.4M	-1.6M	-2.4M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.25	2.40	0.48	0.25
Total Volume	114,551.476	43,221	209,258	171,457	71,948
Total OI	2,060,736.286	1,969,538	2,189,378	2,035,641	2,043,450

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
2022-12-01	$10.96	$9.00	64.8%	19.8%	85.7%	21.7%	70.2%	4.5%	0.2%	3.3M	-63.6M	-2.4M	0.48	2.21	115,899	55,558	1,328,274	707,367
2022-12-02	$10.48	$9.00	63.3%	19.2%	85.7%	19.9%	68.8%	3.6%	-0.2%	3.6M	-4.4M	-2.3M	0.56	2.06	53,589	30,158	1,354,905	711,695
2022-12-05	$10.07	$12.00	67.3%	19.7%	87.2%	25.1%	68.5%	4.1%	1.8%	509.6K	48.9M	-2.2M	0.46	1.05	46,693	21,443	1,303,839	675,697
2022-12-06	$9.46	$12.00	73.1%	21.4%	85.2%	32.6%	75.1%	3.5%	0.7%	-364.5K	106.2M	-2.0M	0.43	1.13	100,261	43,284	1,312,801	684,502
2022-12-07	$9.34	$12.00	72.8%	21.4%	84.4%	32.2%	74.3%	6.0%	1.2%	-290.4K	117.0M	-2.0M	2.40	1.18	48,610	116,630	1,344,372	700,474
2022-12-08	$9.43	$12.00	68.2%	20.2%	80.2%	26.3%	70.4%	4.5%	2.0%	-1.2M	116.4M	-2.0M	0.54	1.08	50,854	27,426	1,359,555	745,078
2022-12-09	$9.43	$12.00	66.8%	20.0%	65.8%	24.4%	68.8%	5.6%	2.4%	-443.0K	123.1M	-2.0M	1.06	1.05	63,609	67,150	1,366,050	746,791
2022-12-12	$9.45	$12.00	69.9%	20.5%	59.0%	28.5%	70.8%	7.2%	1.1%	-983.3K	112.4M	-2.0M	1.53	1.14	46,284	70,966	1,334,201	739,311
2022-12-13	$9.52	$12.00	67.3%	18.8%	59.0%	25.1%	67.8%	4.7%	-2.2%	-926.7K	103.3M	-2.0M	0.46	1.32	141,586	65,258	1,344,617	762,621
2022-12-14	$9.52	$12.00	68.3%	19.3%	56.4%	26.4%	69.3%	4.8%	-0.8%	-550.0K	110.5M	-2.0M	0.43	1.07	89,649	38,757	1,364,040	760,213
2022-12-15	$8.82	$12.00	71.0%	20.3%	58.5%	29.8%	70.6%	3.8%	0.0%	-2.7M	191.3M	-1.8M	0.88	1.14	111,212	98,046	1,378,823	762,434
2022-12-16	$8.50	$12.00	71.9%	20.7%	59.2%	31.0%	71.0%	4.7%	0.3%	-4.0M	209.8M	-1.7M	0.55	1.12	81,901	45,210	1,415,010	774,368
2022-12-19	$8.16	$12.00	72.4%	20.6%	59.6%	31.7%	72.8%	3.7%	1.5%	-1.2M	183.0M	-1.6M	0.32	1.20	60,650	19,580	1,300,046	669,492
2022-12-20	$8.21	$11.00	71.0%	20.3%	57.6%	29.9%	71.6%	2.9%	4.4%	-943.7K	172.3M	-1.7M	0.29	1.26	91,990	26,561	1,318,831	671,810
2022-12-21	$8.68	$11.00	68.3%	19.6%	62.1%	26.4%	67.9%	5.9%	3.5%	520.2K	121.0M	-1.8M	0.94	1.16	64,356	60,585	1,361,795	687,352
2022-12-22	$8.57	$11.00	71.9%	20.4%	59.4%	31.1%	72.8%	3.5%	4.3%	238.5K	121.2M	-1.8M	0.66	1.32	78,247	51,823	1,382,488	695,608
2022-12-23	$8.59	$11.00	68.9%	19.4%	59.5%	27.2%	70.7%	4.9%	3.5%	585.3K	120.2M	-1.8M	0.48	1.23	29,242	13,979	1,395,279	699,017
2022-12-27	$8.55	$11.00	72.4%	20.2%	58.2%	30.6%	71.1%	5.5%	17.3%	172.3K	133.4M	-1.7M	0.51	1.26	34,131	17,387	1,343,972	671,669
2022-12-28	$8.50	$11.00	74.5%	20.7%	58.0%	33.3%	78.0%	4.8%	25.0%	254.7K	134.5M	-1.7M	1.57	1.21	33,917	53,230	1,352,324	676,137
2022-12-29	$8.86	$11.00	74.8%	19.5%	58.5%	33.7%	68.0%	6.3%	27.2%	1.8M	97.2M	-1.8M	0.81	1.26	37,566	30,356	1,359,375	669,779
2022-12-30	$8.84	$11.00	80.8%	19.7%	50.8%	39.2%	69.9%	5.3%	28.6%	40.0K	107.6M	-1.8M	0.25	1.74	57,649	14,299	1,363,694	679,756