SNAP Options History — March 2023

In March 2023, SNAP traded between $10.11 and $11.79. ATM implied volatility averaged 74.5%, placing in the 26.1% IV rank vs the trailing year. The 30-day expected move averaged 22.9%. IV traded above realized volatility by 10.5% (HV 20d: 64.1%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 6 of 23 days. Put/call ratio averaged 0.56.

Notable Days

2023-03-07: Highest Volume — 493,930 contracts
2023-03-20: Largest IV spike — 11.1% change
2023-03-28: Highest IV Rank — 54.3%
2023-03-28: Largest Expected Move — 26.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.93	$10.11	$11.79	$10.11	$11.14
Max Pain	$10.87	$10.00	$11.00	$10.00	$11.00
ATM IV	74.5%	56.5%	93.6%	60.3%	88.3%
Expected Move	22.9%	16.2%	26.4%	17.1%	22.9%
HV 20d	64.1%	59.8%	75.8%	75.8%	65.8%
HV 60d	62.9%	59.8%	64.6%	60.5%	64.2%
IV Rank	26.1%	0.0%	54.3%	1.8%	46.6%
IV Percentile	33.5%	0.0%	68.7%	0.4%	65.1%
Term Structure	2.3%	-4.9%	17.3%	-0.9%	-4.3%
VWIV	80.4%	57.0%	94.7%	60.8%	80.8%
Skew 25d	3.2%	-1.7%	9.4%	1.1%	2.2%
Skew 10d	6.3%	-2.8%	16.7%	3.4%	4.4%
Call IV 25d	74.5%	57.7%	97.3%	61.1%	90.5%
Put IV 25d	77.7%	58.5%	96.5%	62.3%	92.7%
Bid-Ask Spread %	2.89	2.14	5.72	2.28	3.20
Gamma HHI	0.09	0.07	0.25	0.12	0.07
Net GEX	3.8M	1.3M	9.8M	3.7M	3.1M
Net DEX	-93.0M	-239.0M	15.5M	-28.6M	-105.8M
Net VEX	-2.4M	-2.6M	-2.1M	-2.1M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.20	1.13	0.23	0.41
Total Volume	158,487.783	49,569	493,930	124,952	81,055
Total OI	1,621,024.217	1,414,334	1,795,868	1,551,880	1,735,652

Daily Data (23 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
2023-03-01	$10.11	$10.00	60.3%	17.1%	75.8%	1.8%	60.8%	1.1%	-0.9%	3.7M	-28.6M	-2.1M	0.23	2.28	101,579	23,373	963,703	588,177
2023-03-02	$10.13	$10.00	58.0%	16.5%	66.0%	0.0%	59.4%	1.0%	-0.4%	4.2M	-27.9M	-2.1M	0.32	2.14	37,429	12,140	986,032	594,497
2023-03-03	$10.63	$10.00	56.5%	16.2%	59.9%	0.0%	57.0%	0.9%	-1.3%	3.6M	-116.4M	-2.2M	0.26	3.09	84,817	21,947	988,576	595,507
2023-03-06	$11.75	$11.00	62.1%	21.7%	69.4%	8.3%	77.0%	-1.7%	-0.2%	5.3M	-234.9M	-2.4M	0.52	2.73	311,376	162,327	936,589	573,512
2023-03-07	$11.77	$11.00	63.9%	21.7%	62.0%	10.8%	76.9%	-1.3%	-1.6%	5.0M	-239.0M	-2.5M	0.51	2.44	327,341	166,589	1,005,345	649,762
2023-03-08	$11.11	$11.00	61.5%	21.2%	64.6%	7.3%	75.6%	-0.4%	-0.4%	3.6M	-114.3M	-2.4M	0.80	2.70	107,168	85,695	1,088,637	675,806
2023-03-09	$10.64	$11.00	63.1%	21.5%	63.8%	9.7%	75.7%	1.7%	-0.0%	2.4M	-37.3M	-2.3M	0.90	2.26	67,500	60,688	1,105,439	670,818
2023-03-10	$10.36	$11.00	64.8%	22.8%	61.5%	12.1%	77.8%	3.7%	-0.1%	1.6M	15.5M	-2.3M	0.82	2.71	68,263	55,846	1,115,059	680,809
2023-03-13	$10.29	$11.00	67.5%	23.7%	60.3%	16.2%	82.9%	5.4%	15.6%	1.3M	-128.0K	-2.2M	1.13	2.66	51,128	57,536	1,019,744	636,769
2023-03-14	$10.29	$11.00	64.4%	23.3%	60.2%	11.5%	80.3%	4.8%	16.5%	1.4M	-937.5K	-2.2M	0.63	2.69	41,800	26,311	1,035,743	637,730
2023-03-15	$10.34	$11.00	65.4%	23.8%	59.8%	13.0%	81.4%	6.7%	17.0%	1.8M	-10.6M	-2.2M	1.11	2.33	41,777	46,276	1,044,386	639,138
2023-03-16	$11.07	$11.00	70.4%	23.8%	64.2%	20.3%	82.8%	4.8%	16.2%	4.2M	-128.0M	-2.4M	0.34	2.35	174,906	59,689	1,056,535	650,520
2023-03-17	$10.77	$11.00	76.3%	25.1%	63.5%	29.0%	87.9%	5.5%	17.3%	2.0M	-82.5M	-2.4M	0.50	2.61	87,748	43,449	1,106,179	666,996
2023-03-20	$10.70	$11.00	84.8%	25.6%	61.7%	41.4%	88.6%	9.4%	-1.8%	2.3M	-51.1M	-2.3M	0.72	2.41	41,605	29,838	897,841	516,493
2023-03-21	$11.45	$11.00	79.5%	23.3%	63.3%	33.7%	81.2%	7.2%	0.6%	4.7M	-145.1M	-2.5M	0.55	2.55	80,086	44,420	917,029	533,433
2023-03-22	$11.25	$11.00	83.4%	23.9%	63.9%	39.4%	82.0%	8.2%	-0.5%	4.5M	-113.8M	-2.4M	0.93	3.32	34,931	32,549	926,797	560,596
2023-03-23	$11.43	$11.00	86.6%	24.8%	63.8%	44.0%	87.1%	6.4%	-0.3%	5.8M	-151.7M	-2.5M	0.42	3.34	137,885	57,873	940,906	578,301
2023-03-24	$11.57	$11.00	90.4%	26.1%	61.6%	49.6%	90.7%	7.0%	-1.9%	9.8M	-181.4M	-2.5M	0.20	2.48	105,047	21,450	962,397	592,983
2023-03-27	$11.79	$11.00	91.3%	25.7%	61.7%	50.9%	94.6%	-0.3%	-4.6%	5.6M	-183.7M	-2.5M	0.27	5.31	180,808	48,974	912,479	551,340
2023-03-28	$11.09	$11.00	93.6%	26.4%	66.0%	54.3%	94.7%	-0.8%	-4.3%	3.8M	-91.8M	-2.6M	0.35	2.67	121,576	42,152	1,004,016	578,320
2023-03-29	$10.73	$11.00	91.5%	25.5%	67.3%	51.2%	90.2%	-0.2%	-3.8%	3.3M	-45.8M	-2.4M	0.53	2.59	104,223	55,218	1,054,476	594,040
2023-03-30	$10.88	$11.00	90.6%	24.1%	67.4%	50.0%	84.9%	1.9%	-4.9%	4.2M	-63.6M	-2.5M	0.41	5.72	71,681	29,150	1,091,346	623,104
2023-03-31	$11.14	$11.00	88.3%	22.9%	65.8%	46.6%	80.8%	2.2%	-4.3%	3.1M	-105.8M	-2.6M	0.41	3.20	57,386	23,669	1,100,818	634,834