SNAP Options History — June 2023

In June 2023, SNAP traded between $10.07 and $11.84. ATM implied volatility averaged 60.6%, placing in the 17.6% IV rank vs the trailing year. The 30-day expected move averaged 17.5%. IV traded above realized volatility by 23.3% (HV 20d: 37.3%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.35.

Notable Days

  • 2023-06-23: Highest Volume — 198,783 contracts
  • 2023-06-26: Largest IV spike — 17.3% change
  • 2023-06-28: Highest IV Rank — 50.5%
  • 2023-06-15: Largest Expected Move — 19.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.68$10.07$11.84$10.36$11.84
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV60.6%48.0%82.7%54.6%80.5%
Expected Move17.5%15.1%19.3%16.6%15.1%
HV 20d37.3%28.2%47.1%47.1%31.1%
HV 60d63.5%61.7%66.7%66.7%61.8%
IV Rank17.6%0.0%50.5%2.1%47.3%
IV Percentile19.7%0.0%63.9%2.0%61.5%
Term Structure6.4%-5.8%23.5%-0.4%-4.6%
VWIV62.4%54.5%70.0%58.9%54.5%
Skew 25d-0.2%-3.7%1.6%1.6%-1.0%
Skew 10d-0.1%-7.9%4.8%4.5%-2.6%
Call IV 25d62.1%48.9%89.1%55.6%84.4%
Put IV 25d61.9%49.6%86.3%57.2%83.4%
Bid-Ask Spread %2.951.926.082.013.30
Gamma HHI0.170.100.310.160.13
Net GEX7.0M4.6M12.0M8.7M6.2M
Net DEX-254.4M-425.7M-121.5M-257.0M-353.8M
Net VEX-2.3M-2.5M-2.0M-2.3M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.350.150.820.320.15
Total Volume93,54444,521198,78344,521122,388
Total OI1,706,313.8571,343,2231,955,2701,893,3131,534,934

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-06-01$10.36$10.0054.6%16.6%47.1%2.1%58.9%1.6%-0.4%8.7M-257.0M-2.3M0.322.0133,69710,8241,247,282646,031
2023-06-02$10.39$10.0050.9%15.8%45.3%0.0%56.0%1.6%-1.1%9.8M-255.7M-2.3M0.332.3846,34615,5151,249,347646,813
2023-06-05$10.57$10.0051.4%18.8%43.9%0.7%67.0%1.6%1.2%7.0M-278.6M-2.3M0.192.2992,47817,3441,211,013637,425
2023-06-06$10.50$10.0048.0%18.3%44.3%0.0%63.9%1.1%0.5%8.1M-267.5M-2.2M0.391.9237,83814,7311,232,583644,791
2023-06-07$10.14$10.0049.3%18.4%45.8%1.8%65.3%1.3%0.5%6.3M-183.3M-2.2M0.252.2248,96112,2391,239,743652,446
2023-06-08$10.07$10.0050.9%18.7%43.4%4.2%66.2%1.4%0.4%5.2M-165.6M-2.2M0.612.3333,01420,1611,245,339660,565
2023-06-09$10.07$10.0050.3%18.6%43.5%3.3%69.1%0.3%1.4%4.7M-172.1M-2.2M0.822.3358,68048,3631,259,360669,890
2023-06-12$10.18$10.0052.4%19.3%41.7%6.4%68.4%1.6%14.3%5.3M-192.3M-2.2M0.302.0134,47410,3581,219,229665,584
2023-06-13$10.27$10.0050.7%19.1%41.4%3.9%64.9%0.5%15.4%7.0M-219.0M-2.1M0.372.3473,47727,0631,218,544639,171
2023-06-14$10.23$10.0050.6%19.1%40.4%3.7%68.9%-0.3%16.4%10.5M-231.9M-2.2M0.222.3554,03412,0131,273,113643,577
2023-06-15$10.61$10.0054.3%19.3%30.5%9.1%70.0%-0.3%16.2%12.0M-381.4M-2.2M0.293.2250,94314,7571,308,007640,067
2023-06-16$10.73$10.0054.4%18.6%28.2%9.3%66.3%-1.7%16.3%5.8M-425.7M-2.2M0.533.5465,14834,5511,313,044642,226
2023-06-20$10.57$10.0063.8%18.8%29.1%23.0%66.5%0.3%11.0%7.1M-167.9M-2.1M0.192.58117,17722,130920,866425,517
2023-06-21$10.30$10.0057.4%16.4%31.0%13.6%57.8%0.2%20.7%4.8M-121.5M-2.0M0.366.0899,67435,519910,221433,002
2023-06-22$10.55$10.0063.6%17.1%31.9%22.6%60.0%-0.3%21.0%6.7M-174.7M-2.2M0.404.7796,02738,059959,873444,879
2023-06-23$10.84$10.0067.6%16.9%32.8%28.5%60.5%-3.7%23.5%4.6M-240.8M-2.3M0.223.03163,31835,465999,240460,589
2023-06-26$11.25$10.0079.3%16.8%34.7%45.5%59.8%-2.8%-4.4%5.9M-273.1M-2.4M0.272.5398,89526,446991,574455,799
2023-06-27$11.59$10.0079.1%15.4%32.9%45.3%55.0%-1.8%-3.9%6.8M-322.9M-2.4M0.302.5964,83819,7071,005,933464,916
2023-06-28$11.64$10.0082.7%15.7%32.7%50.5%55.4%-1.1%-5.8%7.0M-332.0M-2.4M0.585.4750,63429,4611,017,449474,298
2023-06-29$11.61$10.0081.7%15.7%31.7%49.1%56.4%-2.2%-5.0%7.3M-326.3M-2.5M0.362.6556,98020,6971,035,993492,318
2023-06-30$11.84$10.0080.5%15.1%31.1%47.3%54.5%-1.0%-4.6%6.2M-353.8M-2.5M0.153.30106,76115,6271,033,605501,329