SNAP Options History — February 2023

In February 2023, SNAP traded between $9.73 and $12.25. ATM implied volatility averaged 64.3%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 18.3%. IV traded below realized volatility by 14.4% (HV 20d: 78.7%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 6 of 19 days. Put/call ratio averaged 0.63.

Notable Days

  • 2023-02-01: Highest Volume — 635,198 contracts
  • 2023-02-06: Largest IV spike — 7.3% change
  • 2023-02-06: Highest IV Rank — 14.0%
  • 2023-02-01: Largest Expected Move — 22.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.71$9.73$12.25$10.34$10.14
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV64.3%59.1%70.5%65.8%61.4%
Expected Move18.3%16.7%22.0%22.0%17.7%
HV 20d78.7%63.0%85.3%63.0%77.5%
HV 60d64.6%62.3%70.2%67.6%62.3%
IV Rank5.0%0.0%14.0%6.6%3.6%
IV Percentile5.5%0.0%23.0%4.4%1.6%
Term Structure-0.7%-2.5%3.5%-2.5%-1.6%
VWIV64.7%59.0%78.4%78.4%62.6%
Skew 25d2.9%-0.4%4.6%-0.4%1.8%
Skew 10d4.7%0.3%8.1%0.3%2.2%
Call IV 25d64.1%58.2%70.6%68.3%61.3%
Put IV 25d67.0%61.5%72.1%67.9%63.0%
Bid-Ask Spread %2.181.673.523.522.23
Gamma HHI0.080.070.130.080.08
Net GEX2.4M-426.1K6.2M399.0K2.0M
Net DEX-77.2M-316.1M50.6M-6.8M-19.3M
Net VEX-2.1M-2.5M-1.9M-1.9M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.271.120.580.27
Total Volume184,965.52661,004635,198635,198141,751
Total OI1,646,885.8951,405,8161,929,9971,748,7481,493,937

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-02-01$10.34$10.0065.8%22.0%63.0%6.6%78.4%-0.4%-2.5%399.0K-6.8M-1.9M0.583.52401,346233,852963,712785,036
2023-02-02$11.30$10.0063.5%17.9%68.2%2.9%63.0%2.6%-2.2%6.2M-225.4M-2.3M0.582.04293,961169,9021,088,559794,141
2023-02-03$11.00$10.0065.8%18.3%69.2%6.5%63.9%2.4%-1.3%2.0M-140.1M-2.2M0.882.41108,70495,5841,090,467839,530
2023-02-06$12.00$10.0070.5%19.7%74.4%14.0%69.7%1.0%-1.3%4.7M-263.5M-2.4M0.422.26262,860109,277916,252691,931
2023-02-07$12.25$10.0068.6%19.2%74.2%10.9%67.8%0.8%-1.7%6.2M-316.1M-2.5M0.442.38200,68188,225979,914734,432
2023-02-08$11.63$10.0066.5%18.5%77.8%7.7%65.4%2.4%-2.0%5.4M-205.5M-2.4M0.831.6783,46969,4031,019,267753,685
2023-02-09$11.00$10.0067.8%19.1%81.0%9.6%66.8%2.5%-1.5%2.3M-87.8M-2.2M1.122.6565,14173,2551,022,565765,764
2023-02-10$10.61$10.0067.2%18.9%82.4%8.7%67.4%3.5%-1.8%1.3M-24.8M-2.2M0.862.2075,17764,9741,030,106765,010
2023-02-13$10.68$10.0068.7%19.5%82.4%11.1%68.5%4.5%1.2%2.9M-64.3M-2.2M0.422.1769,75729,188949,743664,363
2023-02-14$10.88$10.0064.2%18.4%82.4%3.2%64.8%4.3%0.3%3.8M-87.6M-2.2M0.631.9543,49327,203966,948673,394
2023-02-15$11.16$10.0063.7%18.3%81.9%2.5%65.5%2.3%0.5%4.6M-130.9M-2.2M0.642.1250,85132,470977,823683,108
2023-02-16$10.75$10.0060.7%17.2%83.3%0.0%61.7%3.2%3.5%4.2M-63.9M-2.1M0.351.94128,18145,244987,871687,959
2023-02-17$10.32$10.0061.2%17.4%84.4%0.7%60.7%4.3%1.7%235.8K2.5M-2.1M0.661.7671,57647,0781,003,582697,520
2023-02-21$9.86$10.0063.5%17.8%85.2%4.2%63.1%4.6%-1.0%-426.1K46.5M-1.9M0.492.0569,08633,927845,980559,836
2023-02-22$9.91$10.0061.9%17.1%85.3%1.9%60.8%4.0%-0.9%-97.8K31.3M-2.0M0.992.1430,70630,298884,182566,520
2023-02-23$10.11$10.0061.5%16.8%83.1%1.2%59.5%4.3%0.3%367.2K8.9M-2.0M0.702.2145,66531,992893,814572,731
2023-02-24$9.73$10.0060.8%16.7%82.9%0.1%59.0%3.3%-1.0%-208.5K50.6M-2.0M0.931.9739,79937,094911,285581,671
2023-02-27$9.84$10.0059.1%16.7%76.6%0.0%59.8%3.3%-1.3%56.1K29.2M-2.0M0.271.6989,26823,907877,431570,763
2023-02-28$10.14$10.0061.4%17.7%77.5%3.6%62.6%1.8%-1.6%2.0M-19.3M-2.1M0.272.23111,98829,763915,707578,230