SNAP Options History — August 2023

In August 2023, SNAP traded between $9.07 and $11.23. ATM implied volatility averaged 47.6%, placing in the 2.3% IV rank vs the trailing year. The 30-day expected move averaged 13.5%. IV traded below realized volatility by 12.9% (HV 20d: 60.5%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 18 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.58.

Notable Days

2023-08-30: Highest Volume — 98,922 contracts
2023-08-15: Largest IV spike — 4.0% change
2023-08-02: Highest IV Rank — 7.3%
2023-08-02: Largest Expected Move — 15.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.95	$9.07	$11.23	$11.23	$10.41
Max Pain	$10.30	$10.00	$11.00	$11.00	$10.00
ATM IV	47.6%	44.8%	52.9%	51.6%	44.8%
Expected Move	13.5%	12.2%	15.5%	15.0%	12.2%
HV 20d	60.5%	26.9%	80.5%	80.5%	34.7%
HV 60d	53.9%	52.3%	56.3%	56.3%	53.4%
IV Rank	2.3%	0.0%	7.3%	5.4%	0.0%
IV Percentile	1.8%	0.0%	5.6%	4.0%	0.0%
Term Structure	0.2%	-1.6%	1.6%	-1.3%	-0.0%
VWIV	48.3%	43.4%	56.4%	56.4%	43.4%
Skew 25d	-0.1%	-2.6%	1.8%	-2.6%	1.3%
Skew 10d	-0.4%	-6.4%	2.2%	-6.4%	0.1%
Call IV 25d	49.3%	45.6%	55.6%	55.0%	45.6%
Put IV 25d	49.2%	46.1%	53.9%	52.4%	46.9%
Bid-Ask Spread %	2.12	1.66	2.63	2.39	2.41
Gamma HHI	0.12	0.09	0.19	0.13	0.14
Net GEX	2.1M	-1.1M	7.0M	7.0M	5.7M
Net DEX	-14.9M	-168.8M	86.7M	-168.8M	-136.4M
Net VEX	-1.9M	-2.4M	-1.7M	-2.4M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.18	1.35	0.47	0.38
Total Volume	60,981.913	26,044	98,922	53,075	59,724
Total OI	1,667,411.609	1,439,139	1,831,858	1,800,150	1,533,555

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
2023-08-01	$11.23	$11.00	51.6%	15.0%	80.5%	5.4%	56.4%	-2.6%	-1.3%	7.0M	-168.8M	-2.4M	0.47	2.39	36,109	16,966	1,240,576	559,574
2023-08-02	$10.95	$11.00	52.9%	15.5%	80.2%	7.3%	55.3%	-1.7%	-1.6%	5.6M	-120.6M	-2.4M	0.81	2.19	34,914	28,407	1,249,186	562,373
2023-08-03	$10.79	$11.00	51.7%	14.6%	79.8%	5.5%	52.3%	-1.2%	-1.0%	4.9M	-91.3M	-2.3M	0.56	2.33	46,705	26,131	1,253,383	561,604
2023-08-04	$10.75	$11.00	49.7%	14.2%	79.8%	2.4%	51.7%	-1.7%	-1.4%	4.2M	-79.8M	-2.2M	0.52	2.06	49,056	25,387	1,260,824	571,034
2023-08-07	$10.55	$11.00	47.8%	13.8%	79.9%	0.0%	48.5%	-0.1%	0.8%	3.5M	-48.9M	-2.2M	0.59	2.20	45,814	27,151	1,216,742	533,021
2023-08-08	$10.57	$11.00	47.6%	13.7%	72.8%	0.0%	49.6%	-0.2%	0.8%	3.1M	-46.9M	-2.1M	0.49	2.09	30,892	15,241	1,224,828	537,554
2023-08-09	$10.46	$11.00	47.1%	13.7%	70.2%	0.0%	48.0%	0.2%	0.8%	2.5M	-32.4M	-2.1M	0.59	2.07	29,377	17,364	1,232,160	537,190
2023-08-10	$10.21	$10.00	46.6%	13.4%	69.1%	0.0%	47.6%	0.4%	0.2%	1.5M	-5.5M	-2.0M	0.45	1.97	33,096	14,944	1,237,598	532,578
2023-08-11	$10.05	$10.00	45.2%	13.1%	68.6%	0.0%	47.4%	-0.4%	0.7%	276.3K	17.6M	-1.9M	0.56	2.21	36,487	20,368	1,248,953	536,293
2023-08-14	$9.93	$10.00	45.3%	13.0%	66.6%	0.2%	45.9%	0.3%	0.8%	128.8K	30.3M	-1.9M	0.49	2.00	42,565	21,036	1,220,601	523,960
2023-08-15	$9.55	$10.00	47.1%	13.5%	67.1%	2.7%	47.7%	-0.6%	1.0%	-377.1K	57.3M	-1.8M	0.78	1.97	35,668	27,713	1,234,167	523,643
2023-08-16	$9.23	$10.00	47.8%	13.7%	67.2%	3.7%	49.3%	0.0%	0.9%	-819.3K	86.0M	-1.7M	1.17	1.66	35,331	41,247	1,241,233	526,689
2023-08-17	$9.07	$10.00	47.7%	13.6%	67.2%	3.6%	49.4%	-0.4%	1.6%	-1.1M	86.7M	-1.7M	1.18	1.88	26,695	31,403	1,250,656	531,450
2023-08-18	$9.16	$10.00	47.5%	13.5%	67.9%	3.3%	49.2%	1.1%	1.3%	-325.0K	67.0M	-1.7M	1.35	2.27	26,604	35,980	1,262,817	537,631
2023-08-21	$9.38	$10.00	48.8%	13.8%	69.4%	5.1%	49.0%	0.1%	0.0%	-69.7K	31.1M	-1.8M	0.31	2.03	53,257	16,269	938,143	500,996
2023-08-22	$9.21	$10.00	48.2%	13.5%	69.3%	4.3%	48.1%	0.1%	0.7%	89.7K	40.8M	-1.8M	0.37	2.02	19,036	7,008	961,986	510,437
2023-08-23	$9.29	$10.00	46.5%	12.9%	39.3%	1.9%	47.5%	0.5%	0.7%	190.2K	36.5M	-1.7M	0.88	2.28	15,403	13,514	966,841	511,862
2023-08-24	$9.34	$10.00	47.9%	13.4%	38.0%	3.9%	47.7%	0.3%	0.2%	455.8K	29.5M	-1.8M	0.24	2.37	48,011	11,396	972,573	512,666
2023-08-25	$9.27	$10.00	46.3%	12.6%	33.0%	1.6%	44.5%	0.3%	0.1%	756.3K	36.1M	-1.7M	0.33	2.16	52,912	17,482	997,819	515,358
2023-08-28	$9.48	$10.00	45.8%	12.4%	26.9%	0.9%	44.5%	1.8%	-0.2%	1.9M	10.9M	-1.8M	0.21	1.79	49,808	10,520	969,209	507,285
2023-08-29	$9.86	$10.00	46.2%	12.6%	31.9%	1.5%	45.3%	0.6%	-0.3%	3.6M	-46.7M	-1.9M	0.18	1.79	59,828	10,843	981,915	508,973
2023-08-30	$10.14	$10.00	45.0%	12.2%	33.3%	0.0%	43.5%	0.6%	0.5%	5.4M	-95.2M	-1.9M	0.38	2.63	71,702	27,220	999,660	512,871
2023-08-31	$10.41	$10.00	44.8%	12.2%	34.7%	0.0%	43.4%	1.3%	-0.0%	5.7M	-136.4M	-2.0M	0.38	2.41	43,283	16,441	1,009,768	523,787