SNAP Options History — July 2023

In July 2023, SNAP traded between $10.23 and $13.63. ATM implied volatility averaged 85.8%, placing in the 56.0% IV rank vs the trailing year. The 30-day expected move averaged 23.6%. IV traded above realized volatility by 38.0% (HV 20d: 47.8%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 18 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2023-07-26: Highest Volume — 584,190 contracts
2023-07-26: Largest IV drop — 54.7% change
2023-07-25: Highest IV Rank — 99.9%
2023-07-25: Largest Expected Move — 36.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.30	$10.23	$13.63	$11.93	$11.29
Max Pain	$11.00	$10.00	$12.00	$10.00	$11.00
ATM IV	85.8%	48.7%	115.2%	79.3%	51.8%
Expected Move	23.6%	13.9%	36.1%	15.2%	15.2%
HV 20d	47.8%	30.4%	80.5%	31.0%	80.5%
HV 60d	60.8%	55.6%	64.3%	60.7%	56.6%
IV Rank	56.0%	0.9%	99.9%	45.6%	5.6%
IV Percentile	63.8%	0.4%	99.6%	61.1%	4.0%
Term Structure	-5.4%	-11.1%	0.4%	-4.4%	-1.6%
VWIV	83.9%	50.1%	127.7%	56.8%	55.2%
Skew 25d	-4.1%	-10.0%	-1.4%	-1.9%	-3.2%
Skew 10d	-6.1%	-10.8%	-0.7%	-1.8%	-6.1%
Call IV 25d	90.0%	51.4%	123.1%	80.1%	55.5%
Put IV 25d	85.8%	49.7%	113.1%	78.1%	52.3%
Bid-Ask Spread %	2.08	1.62	2.40	2.39	2.26
Gamma HHI	0.10	0.08	0.15	0.13	0.13
Net GEX	6.0M	-345.1K	9.1M	6.4M	7.1M
Net DEX	-360.1M	-608.4M	44.7M	-333.8M	-182.0M
Net VEX	-2.6M	-2.9M	-2.1M	-2.4M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.22	1.24	0.28	0.32
Total Volume	179,249.1	34,289	584,190	34,289	187,733
Total OI	1,672,333.3	1,487,597	2,106,148	1,487,597	1,770,547

Daily Data (20 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
2023-07-03	$11.93	$10.00	79.3%	15.2%	31.0%	45.6%	56.8%	-1.9%	-4.4%	6.4M	-333.8M	-2.4M	0.28	2.39	26,823	7,466	1,002,491	485,106
2023-07-05	$12.21	$10.00	80.7%	15.5%	31.4%	47.6%	55.8%	-1.5%	-4.0%	7.2M	-387.9M	-2.5M	0.26	2.38	79,488	20,481	1,012,162	488,517
2023-07-06	$11.86	$11.00	80.8%	20.8%	33.6%	47.8%	73.0%	-1.4%	-5.5%	7.0M	-324.6M	-2.4M	0.37	2.36	43,398	15,934	1,030,823	497,184
2023-07-07	$11.71	$11.00	80.3%	21.0%	30.8%	46.9%	73.5%	-1.8%	-4.6%	6.0M	-306.5M	-2.4M	0.51	2.39	43,727	22,407	1,044,898	498,613
2023-07-10	$11.75	$11.00	83.5%	22.1%	30.4%	52.7%	77.9%	-1.7%	-4.8%	5.9M	-295.9M	-2.3M	0.24	2.38	68,473	16,507	1,004,692	488,654
2023-07-11	$12.77	$11.00	88.3%	23.5%	40.3%	59.9%	83.7%	-2.9%	-5.6%	7.8M	-461.8M	-2.5M	0.36	2.02	191,388	69,308	1,036,373	495,133
2023-07-12	$13.32	$11.00	88.8%	23.8%	41.7%	60.6%	84.5%	-4.4%	-5.6%	8.4M	-553.1M	-2.7M	0.40	1.78	134,614	54,456	1,067,161	522,634
2023-07-13	$13.63	$11.00	87.2%	23.6%	41.8%	58.2%	83.1%	-4.2%	-6.0%	9.1M	-608.4M	-2.7M	0.32	1.83	113,716	36,697	1,098,189	537,781
2023-07-14	$13.14	$11.00	90.0%	24.6%	45.2%	62.3%	87.1%	-5.6%	-6.2%	6.9M	-510.7M	-2.7M	0.60	2.00	87,916	52,679	1,098,390	554,359
2023-07-17	$13.55	$11.00	101.6%	28.6%	44.8%	79.7%	100.5%	-6.0%	-6.7%	6.9M	-556.6M	-2.8M	0.22	1.62	141,565	31,262	1,072,112	533,681
2023-07-18	$13.27	$11.00	102.8%	29.1%	46.3%	81.4%	103.3%	-6.5%	-6.8%	7.5M	-531.6M	-2.8M	0.34	1.69	98,390	33,649	1,128,825	535,085
2023-07-19	$13.18	$11.00	100.4%	28.8%	45.8%	78.0%	102.3%	-6.5%	-7.4%	7.5M	-516.8M	-2.8M	0.45	1.63	66,432	30,035	1,146,550	549,312
2023-07-20	$12.89	$11.00	107.9%	31.4%	45.5%	89.1%	111.1%	-7.3%	-9.1%	6.3M	-475.4M	-2.8M	0.44	1.86	76,728	33,910	1,158,168	564,474
2023-07-21	$12.75	$11.00	112.7%	33.3%	45.8%	96.2%	117.8%	-10.0%	-11.1%	5.7M	-465.1M	-2.9M	1.24	1.85	64,919	80,559	1,191,103	569,879
2023-07-24	$12.61	$11.00	113.5%	34.9%	45.9%	97.3%	123.3%	-4.6%	-7.7%	5.6M	-363.6M	-2.8M	0.91	1.98	97,710	89,019	1,059,218	477,880
2023-07-25	$12.54	$12.00	115.2%	36.1%	44.7%	99.9%	127.7%	-5.2%	-8.6%	5.4M	-353.2M	-2.8M	0.77	2.08	289,444	221,570	1,093,329	531,830
2023-07-26	$10.59	$12.00	52.2%	15.1%	75.5%	6.2%	56.8%	-3.2%	-1.0%	-345.1K	39.4M	-2.1M	0.73	2.27	337,033	247,157	1,261,633	670,866
2023-07-27	$10.23	$11.00	51.1%	14.6%	76.1%	4.5%	53.9%	-3.0%	-0.8%	-41.2K	44.7M	-2.2M	0.43	2.39	151,737	65,595	1,373,740	689,126
2023-07-28	$10.71	$11.00	48.7%	13.9%	78.4%	0.9%	50.1%	-1.8%	0.4%	4.3M	-59.1M	-2.3M	0.35	2.40	114,997	40,060	1,413,388	692,760
2023-07-31	$11.29	$11.00	51.8%	15.2%	80.5%	5.6%	55.2%	-3.2%	-1.6%	7.1M	-182.0M	-2.5M	0.32	2.26	142,314	45,419	1,221,217	549,330