SNAP Options History — January 2023

In January 2023, SNAP traded between $8.80 and $11.50. ATM implied volatility averaged 104.9%, placing in the 68.7% IV rank vs the trailing year. The 30-day expected move averaged 30.5%. IV traded above realized volatility by 62.5% (HV 20d: 42.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.66.

Notable Days

  • 2023-01-31: Highest Volume — 493,697 contracts
  • 2023-01-24: Largest IV spike — 5.3% change
  • 2023-01-31: Highest IV Rank — 77.8%
  • 2023-01-31: Largest Expected Move — 40.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.83$8.80$11.50$8.80$11.50
Max Pain$10.10$10.00$11.00$11.00$10.00
ATM IV104.9%97.9%110.8%100.0%110.8%
Expected Move30.5%20.3%40.3%21.0%40.3%
HV 20d42.5%29.5%51.2%49.2%46.8%
HV 60d84.9%62.3%101.8%101.8%64.5%
IV Rank68.7%57.3%77.8%64.0%77.8%
IV Percentile85.2%73.0%94.8%79.8%94.8%
Term Structure-5.3%-9.7%1.5%-2.4%-8.4%
VWIV107.3%70.8%141.7%75.1%141.7%
Skew 25d6.8%3.6%8.8%6.4%3.6%
Skew 10d11.6%3.3%16.9%12.2%3.3%
Call IV 25d103.7%92.1%110.2%103.9%108.2%
Put IV 25d110.5%98.9%116.5%110.3%111.8%
Bid-Ask Spread %2.151.252.561.261.87
Gamma HHI0.070.060.190.080.06
Net GEX1.5M445.3K4.4M445.3K2.8M
Net DEX-5.5M-176.1M92.2M92.2M-176.1M
Net VEX-1.9M-2.2M-1.8M-1.8M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.251.150.860.87
Total Volume120,226.6540,048493,69789,781493,697
Total OI1,829,928.351,334,8942,135,2321,963,8081,509,958

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-01-03$8.80$11.00100.0%21.0%49.2%64.0%75.1%6.4%-2.4%445.3K92.2M-1.8M0.861.2648,34741,4341,326,796637,012
2023-01-04$9.20$11.00101.8%20.3%51.2%63.5%70.8%8.6%-1.0%1.1M63.3M-1.8M0.431.2566,73628,6161,335,522667,376
2023-01-05$9.13$10.00104.0%29.4%46.4%67.1%101.8%7.0%1.5%1.1M65.1M-1.8M1.102.1822,44624,6771,354,579672,540
2023-01-06$9.32$10.00107.6%30.0%46.9%72.7%106.5%6.3%-4.6%665.5K49.4M-1.9M0.852.4543,22936,6921,360,428677,192
2023-01-09$9.27$10.00106.5%29.4%46.8%71.0%102.3%5.8%-2.2%827.8K54.9M-1.9M0.402.0147,19818,7001,346,918672,344
2023-01-10$9.41$10.00107.9%30.4%47.1%73.2%106.5%7.2%-1.0%1.1M40.3M-2.0M0.602.1025,06814,9801,359,821680,943
2023-01-11$9.64$10.00109.4%29.9%47.9%75.5%105.3%7.8%-5.2%1.5M6.9M-2.0M1.152.2537,93143,5131,369,276686,017
2023-01-12$9.68$10.00107.3%29.5%47.9%72.2%103.6%6.8%-5.3%1.6M11.9M-1.9M0.792.0938,96330,8651,371,565691,101
2023-01-13$9.75$10.00104.2%28.9%47.9%67.4%101.0%7.0%-5.4%795.3K7.5M-2.0M0.742.3541,61530,8331,376,727695,380
2023-01-17$9.66$10.00107.9%30.7%38.5%73.2%112.5%8.8%-5.6%749.8K31.2M-1.9M0.612.4855,74734,1391,359,048687,604
2023-01-18$9.43$10.00110.7%31.7%36.9%77.6%109.7%6.5%-9.7%652.6K57.4M-1.8M0.702.3453,54937,2811,371,357704,782
2023-01-19$9.63$10.00106.1%30.7%33.0%70.4%111.2%7.3%-5.8%954.6K27.6M-1.8M0.652.2566,62643,3171,384,172709,857
2023-01-20$9.91$10.00101.7%29.9%33.8%63.3%106.9%7.9%-7.8%1.5M11.0M-1.9M0.652.3948,75231,4841,409,257725,975
2023-01-23$10.23$10.0097.9%30.1%30.3%57.3%106.1%6.9%-4.9%1.8M-60.7M-1.9M0.622.2076,23047,053751,021583,873
2023-01-24$10.21$10.00103.1%32.3%29.5%65.5%112.1%7.2%-7.5%1.9M-60.0M-1.9M0.622.3854,84334,169770,505603,613
2023-01-25$9.66$10.00102.0%32.4%37.3%63.9%111.8%5.7%-7.4%1.1M-6.3M-1.8M0.562.20110,31961,564785,816616,716
2023-01-26$10.07$10.0098.7%31.6%39.1%58.6%109.2%7.4%-7.2%2.3M-46.8M-1.9M0.342.0980,88927,295816,353630,229
2023-01-27$10.96$10.00103.9%34.4%47.2%66.8%120.5%5.8%-8.7%4.4M-158.9M-2.1M0.252.56151,43838,552838,282639,702
2023-01-30$11.05$10.00107.4%37.8%46.0%72.3%132.2%5.8%-7.1%1.9M-120.4M-2.1M0.422.35151,43364,313793,670625,240
2023-01-31$11.50$10.00110.8%40.3%46.8%77.8%141.7%3.6%-8.4%2.8M-176.1M-2.2M0.871.87263,371230,326849,519660,439