SNAP Options History — May 2023

In May 2023, SNAP traded between $7.92 and $10.29. ATM implied volatility averaged 56.3%, placing in the 2.9% IV rank vs the trailing year. The 30-day expected move averaged 16.7%. IV traded below realized volatility by 28.3% (HV 20d: 84.6%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.40.

Notable Days

2023-05-01: Highest Volume — 330,113 contracts
2023-05-05: Largest IV drop — 8.6% change
2023-05-03: Highest IV Rank — 9.0%
2023-05-03: Largest Expected Move — 18.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.09	$7.92	$10.29	$8.66	$10.07
Max Pain	$10.00	$10.00	$10.00	$10.00	$10.00
ATM IV	56.3%	53.3%	61.9%	59.4%	57.3%
Expected Move	16.7%	15.7%	18.5%	17.3%	17.5%
HV 20d	84.6%	48.7%	96.4%	86.8%	48.7%
HV 60d	69.4%	66.4%	71.4%	71.2%	66.4%
IV Rank	2.9%	0.0%	9.0%	4.8%	6.3%
IV Percentile	2.2%	0.0%	6.7%	1.2%	6.7%
Term Structure	0.4%	-2.4%	3.8%	0.1%	-0.4%
VWIV	59.0%	55.5%	65.7%	62.2%	62.0%
Skew 25d	2.9%	1.2%	4.6%	1.2%	2.3%
Skew 10d	4.9%	2.2%	8.2%	2.2%	3.2%
Call IV 25d	56.5%	52.8%	62.2%	59.6%	57.7%
Put IV 25d	59.4%	56.1%	64.6%	60.8%	60.0%
Bid-Ask Spread %	2.05	1.60	2.53	2.37	2.12
Gamma HHI	0.17	0.11	0.26	0.11	0.17
Net GEX	2.6M	-1.7M	6.9M	-1.7M	6.5M
Net DEX	-24.3M	-268.4M	170.4M	107.2M	-187.0M
Net VEX	-2.1M	-2.4M	-1.8M	-1.9M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.18	0.93	0.33	0.40
Total Volume	97,890.455	25,122	330,113	330,113	69,215
Total OI	1,888,585.818	1,725,466	1,994,751	1,725,466	1,864,280

Daily Data (22 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
2023-05-01	$8.66	$10.00	59.4%	17.3%	86.8%	4.8%	62.2%	1.2%	0.1%	-1.7M	107.2M	-1.9M	0.33	2.37	248,190	81,923	1,039,262	686,204
2023-05-02	$8.34	$10.00	61.0%	18.2%	86.8%	7.5%	65.1%	1.9%	-0.4%	-520.3K	119.4M	-1.9M	0.40	2.20	87,578	34,878	1,191,908	728,738
2023-05-03	$8.11	$10.00	61.9%	18.5%	86.9%	9.0%	65.7%	2.4%	0.0%	-578.9K	143.6M	-1.9M	0.84	2.09	75,885	63,680	1,223,738	719,631
2023-05-04	$7.92	$10.00	60.5%	17.8%	85.8%	6.7%	63.6%	3.6%	-0.2%	-1.6M	170.4M	-1.8M	0.59	2.02	50,466	29,797	1,240,824	738,321
2023-05-05	$8.27	$10.00	55.3%	16.7%	87.8%	0.0%	58.6%	3.2%	0.9%	-488.3K	129.1M	-1.9M	0.44	1.62	67,366	29,781	1,258,610	736,141
2023-05-08	$8.45	$10.00	55.3%	16.9%	88.6%	0.0%	58.8%	2.3%	3.8%	-65.3K	97.1M	-1.9M	0.45	1.85	48,440	21,733	1,180,471	677,911
2023-05-09	$8.27	$10.00	55.0%	16.5%	87.5%	0.0%	58.1%	2.1%	2.6%	-332.6K	110.6M	-1.9M	0.93	1.60	23,603	21,989	1,191,147	671,618
2023-05-10	$8.71	$10.00	54.2%	16.1%	90.3%	0.0%	57.1%	4.0%	1.7%	1.1M	52.8M	-2.0M	0.33	2.00	51,756	17,255	1,199,973	676,289
2023-05-11	$8.77	$10.00	55.1%	16.6%	89.9%	1.3%	59.4%	3.4%	3.4%	2.2M	32.5M	-2.1M	0.36	2.20	38,295	13,899	1,228,773	676,965
2023-05-12	$8.54	$10.00	54.1%	15.9%	90.1%	0.0%	57.0%	3.3%	1.9%	2.4M	69.7M	-2.0M	0.54	1.94	29,809	16,023	1,240,003	679,964
2023-05-15	$8.73	$10.00	54.9%	15.8%	90.6%	1.2%	56.0%	1.5%	0.3%	1.1M	51.6M	-2.0M	0.24	1.74	52,148	12,335	1,206,976	654,931
2023-05-16	$8.57	$10.00	55.6%	16.0%	89.7%	2.4%	56.8%	2.9%	-0.2%	1.2M	71.9M	-1.9M	0.21	1.71	76,497	16,163	1,226,147	658,483
2023-05-17	$9.34	$10.00	57.5%	16.5%	96.4%	5.4%	56.7%	2.5%	-2.4%	4.1M	-82.1M	-2.2M	0.22	2.16	153,243	33,126	1,250,130	660,358
2023-05-18	$9.70	$10.00	55.5%	16.0%	93.2%	2.2%	56.7%	3.3%	-1.2%	5.8M	-159.8M	-2.3M	0.21	1.97	170,508	35,369	1,270,624	665,829
2023-05-19	$9.71	$10.00	55.1%	15.8%	93.1%	1.6%	55.5%	3.2%	-1.0%	3.8M	-156.0M	-2.2M	0.52	1.99	79,506	41,696	1,266,156	677,400
2023-05-22	$9.77	$10.00	53.4%	15.8%	92.8%	0.0%	56.1%	3.5%	-0.4%	4.9M	-146.3M	-2.2M	0.21	2.12	73,656	15,418	1,202,414	628,402
2023-05-23	$9.79	$10.00	53.3%	15.7%	92.8%	0.0%	56.2%	3.1%	-0.4%	5.2M	-154.1M	-2.3M	0.46	2.24	21,459	9,918	1,213,612	634,643
2023-05-24	$9.77	$10.00	55.3%	16.5%	92.0%	3.1%	59.0%	4.6%	-0.3%	5.4M	-147.6M	-2.2M	0.39	2.18	18,011	7,111	1,223,976	638,724
2023-05-25	$9.84	$10.00	54.6%	16.1%	89.1%	2.1%	56.6%	3.6%	0.7%	6.3M	-163.8M	-2.3M	0.21	2.53	48,150	10,086	1,231,426	642,153
2023-05-26	$10.29	$10.00	56.5%	16.9%	50.5%	5.0%	60.0%	2.4%	-0.1%	5.4M	-268.4M	-2.4M	0.18	2.28	91,637	16,930	1,248,295	646,470
2023-05-30	$10.25	$10.00	56.8%	17.2%	50.7%	5.5%	61.1%	3.0%	-0.6%	6.9M	-225.2M	-2.3M	0.41	2.07	34,847	14,215	1,217,901	633,067
2023-05-31	$10.07	$10.00	57.3%	17.5%	48.7%	6.3%	62.0%	2.3%	-0.4%	6.5M	-187.0M	-2.3M	0.40	2.12	49,281	19,934	1,224,192	640,088