SNAP Options History — April 2023

In April 2023, SNAP traded between $8.54 and $11.27. ATM implied volatility averaged 85.4%, placing in the 43.5% IV rank vs the trailing year. The 30-day expected move averaged 24.2%. IV traded above realized volatility by 33.0% (HV 20d: 52.4%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 0 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2023-04-27: Highest Volume — 546,089 contracts
  • 2023-04-28: Largest IV drop — 36.2% change
  • 2023-04-26: Highest IV Rank — 66.8%
  • 2023-04-26: Largest Expected Move — 30.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.46$8.54$11.27$11.27$8.54
Max Pain$10.92$10.00$11.00$11.00$10.00
ATM IV85.4%60.5%96.7%86.2%60.5%
Expected Move24.2%17.7%30.8%23.0%17.7%
HV 20d52.4%40.5%87.3%54.9%87.3%
HV 60d65.6%63.5%73.7%64.2%73.7%
IV Rank43.5%6.6%66.8%43.4%6.6%
IV Percentile59.6%1.6%74.6%61.5%1.6%
Term Structure-4.8%-6.8%-0.9%-3.8%-0.9%
VWIV84.9%64.2%107.1%82.2%64.2%
Skew 25d4.7%-0.2%7.0%3.4%-0.2%
Skew 10d9.0%-0.2%12.8%8.7%-0.2%
Call IV 25d84.1%63.0%95.3%84.9%63.0%
Put IV 25d88.8%62.8%99.8%88.3%62.8%
Bid-Ask Spread %2.341.883.112.201.88
Gamma HHI0.120.070.470.070.24
Net GEX-198.2K-7.0M3.6M3.0M-6.3M
Net DEX-10.0M-106.1M194.8M-106.1M194.8M
Net VEX-2.3M-2.5M-1.8M-2.5M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.200.880.200.76
Total Volume141,734.26354,904546,089116,485430,849
Total OI1,610,673.1581,414,7771,882,3611,614,3911,882,361

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-04-03$11.27$11.0086.2%23.0%54.9%43.4%82.2%3.4%-3.8%3.0M-106.1M-2.5M0.202.2097,20119,2841,006,531607,860
2023-04-04$11.02$11.0087.4%22.5%55.3%45.3%78.9%3.2%-4.1%1.7M-69.4M-2.4M0.522.5284,70444,052985,000617,914
2023-04-05$10.45$11.0087.3%22.6%54.8%45.0%80.6%4.0%-3.9%-239.1K8.1M-2.4M0.382.6780,19430,2651,011,610636,518
2023-04-06$10.54$11.0086.7%22.5%52.8%44.2%81.0%3.8%-4.3%-2.0M-11.1M-2.4M0.542.2278,85842,4551,046,348644,147
2023-04-10$10.34$11.0085.7%23.3%52.3%42.7%80.3%6.0%-2.9%-831.7K22.3M-2.3M0.432.5763,47627,243959,366631,317
2023-04-11$10.64$11.0088.1%23.6%53.2%46.3%82.7%5.1%-5.0%177.6K-21.4M-2.4M0.392.4463,77724,659983,446637,023
2023-04-12$10.64$11.0086.6%23.3%53.2%44.1%81.8%5.8%-5.2%94.8K-25.5M-2.4M0.332.5041,32213,5821,004,816645,523
2023-04-13$10.84$11.0085.0%23.2%53.6%41.6%80.8%4.5%-5.0%794.9K-54.3M-2.4M0.372.0545,21016,7411,009,471647,572
2023-04-14$10.73$11.0085.4%23.3%47.7%42.3%81.5%5.5%-6.2%842.0K-31.5M-2.3M0.622.5741,76725,9821,012,746648,739
2023-04-17$10.84$11.0081.8%23.0%46.9%37.1%80.9%5.8%-4.3%1.2M-41.9M-2.3M0.882.1331,58327,811940,627611,275
2023-04-18$11.09$11.0083.6%23.7%47.4%39.7%84.4%4.3%-5.2%1.9M-76.8M-2.3M0.252.60104,20325,591947,361622,255
2023-04-19$11.04$11.0082.8%23.8%40.5%38.6%83.1%6.3%-4.5%3.6M-77.8M-2.3M0.323.11118,21738,328984,270632,854
2023-04-20$10.14$11.0088.5%25.7%50.0%46.9%89.6%6.2%-6.3%-1.3M45.1M-2.2M0.632.3883,44352,553983,646646,172
2023-04-21$10.00$11.0084.8%24.9%49.4%41.4%86.0%5.8%-6.3%-7.0M62.7M-2.1M0.841.9139,33433,1521,015,663664,062
2023-04-24$10.21$11.0084.4%25.6%50.0%40.8%89.5%5.8%-5.2%-47.5K3.7M-2.1M0.592.0540,21823,732858,135556,642
2023-04-25$10.20$11.0086.5%26.7%49.1%49.9%93.5%7.0%-5.9%-3.6K4.5M-2.1M0.532.1347,71425,345879,823573,672
2023-04-26$9.84$11.0096.7%30.8%46.2%66.8%107.1%5.2%-5.7%-273.3K26.3M-2.1M0.842.20100,01384,004884,341591,159
2023-04-27$10.46$10.5094.7%30.0%50.7%63.5%104.9%1.7%-6.8%874.9K-40.9M-2.3M0.522.28358,774187,315939,481653,044
2023-04-28$8.54$10.0060.5%17.7%87.3%6.6%64.2%-0.2%-0.9%-6.3M194.8M-1.8M0.761.88244,820186,0291,109,853772,508