SNAP Options History — September 2023

In September 2023, SNAP traded between $8.32 and $10.48. ATM implied volatility averaged 56.3%, placing in the 17.8% IV rank vs the trailing year. The 30-day expected move averaged 14.7%. IV traded above realized volatility by 14.1% (HV 20d: 42.2%). Max pain ranged from $10.00 to $10.00. Net GEX was positive for 7 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.57.

Notable Days

  • 2023-09-01: Highest Volume — 99,475 contracts
  • 2023-09-25: Largest IV spike — 19.0% change
  • 2023-09-28: Highest IV Rank — 53.0%
  • 2023-09-26: Largest Expected Move — 16.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$9.18$8.32$10.48$10.46$8.77
Max Pain$10.00$10.00$10.00$10.00$10.00
ATM IV56.3%43.5%81.6%43.5%80.7%
Expected Move14.7%11.5%16.3%11.5%15.0%
HV 20d42.2%34.1%45.2%34.7%39.6%
HV 60d54.7%52.9%55.8%53.0%54.4%
IV Rank17.8%0.0%53.0%0.0%51.8%
IV Percentile22.8%0.0%67.9%0.0%65.5%
Term Structure5.9%-4.6%23.7%0.2%-4.4%
VWIV51.6%41.3%57.5%41.3%52.9%
Skew 25d0.3%-1.3%1.5%-0.5%0.5%
Skew 10d0.4%-1.1%2.9%-0.1%-0.5%
Call IV 25d57.2%44.3%84.0%44.8%84.0%
Put IV 25d57.6%44.3%84.5%44.3%84.5%
Bid-Ask Spread %2.531.925.002.402.33
Gamma HHI0.140.090.220.210.13
Net GEX410.1K-1.5M7.0M7.0M-102.7K
Net DEX28.0M-142.7M83.5M-142.7M43.5M
Net VEX-1.7M-2.0M-1.5M-2.0M-1.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.570.261.350.410.51
Total Volume58,572.3524,74299,47599,47560,025
Total OI1,438,803.81,297,3761,553,3321,542,8051,391,826

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-09-01$10.46$10.0043.5%11.5%34.7%0.0%41.3%-0.5%0.2%7.0M-142.7M-2.0M0.412.4070,53828,9371,011,954530,851
2023-09-05$10.48$10.0044.4%13.9%34.1%1.2%48.9%-0.6%0.6%4.2M-122.0M-1.9M0.272.5349,94913,367977,705521,031
2023-09-06$9.66$10.0047.5%14.3%44.6%5.5%50.7%0.5%-0.4%1.4M3.9M-1.8M0.552.5556,91831,555979,508526,992
2023-09-07$9.75$10.0046.7%14.0%44.8%4.4%50.4%0.5%0.7%1.5M-3.0M-1.8M0.562.6146,13725,952990,255537,183
2023-09-08$9.46$10.0045.4%14.6%45.2%2.5%51.2%-0.4%0.9%989.4K37.8M-1.7M0.632.0240,54925,7121,004,014549,318
2023-09-11$9.50$10.0044.9%14.5%45.1%1.9%50.6%0.5%5.4%-719.2K27.7M-1.7M0.392.0428,99811,292952,264546,015
2023-09-12$9.54$10.0044.9%14.2%45.0%1.9%50.3%0.5%4.9%-687.6K19.8M-1.7M0.525.0016,2398,503959,003546,718
2023-09-13$9.32$10.0045.2%14.4%43.6%2.3%50.2%0.6%4.7%-1.3M43.7M-1.7M0.262.0939,39110,428965,746549,797
2023-09-14$9.23$10.0044.5%13.8%42.0%1.3%49.5%0.1%4.4%-1.5M46.7M-1.6M0.522.1825,80513,478984,863546,637
2023-09-15$9.09$10.0045.5%14.0%41.9%2.7%46.6%0.4%4.9%-1.4M49.8M-1.6M0.632.7731,36519,886994,033545,894
2023-09-18$8.88$10.0049.3%14.5%42.5%8.0%49.6%0.8%22.0%-254.8K58.8M-1.5M0.521.9939,12320,422859,768437,608
2023-09-19$9.00$10.0050.9%14.8%41.9%10.3%53.1%1.1%22.5%333.3K43.2M-1.6M0.672.2251,42034,302876,331443,131
2023-09-20$9.00$10.0052.6%15.1%41.4%12.7%53.2%-0.2%22.8%994.9K37.3M-1.6M0.402.6968,45827,068887,459454,987
2023-09-21$8.66$10.0060.2%16.0%43.3%23.3%56.2%-1.3%21.9%-275.5K68.1M-1.6M0.472.7534,45216,029906,607464,475
2023-09-22$8.77$10.0062.9%15.4%43.6%26.9%55.5%0.6%23.7%-77.8K59.8M-1.6M0.542.3422,38812,198921,044465,748
2023-09-25$8.59$10.0074.8%15.9%44.0%43.6%54.6%1.5%-4.6%-403.4K67.9M-1.5M0.592.6725,04214,690887,225453,630
2023-09-26$8.32$10.0079.9%16.3%43.9%50.6%57.5%0.9%-4.0%-786.9K83.5M-1.5M0.981.9224,49424,051898,207461,073
2023-09-27$8.46$10.0081.1%15.7%41.5%52.4%55.1%0.7%-3.6%-386.8K73.4M-1.5M1.352.1322,56630,445905,150464,020
2023-09-28$8.61$10.0081.6%15.5%40.4%53.0%54.2%0.4%-4.1%-335.4K63.0M-1.6M0.553.3631,77117,504911,458466,548
2023-09-29$8.77$10.0080.7%15.0%39.6%51.8%52.9%0.5%-4.4%-102.7K43.5M-1.6M0.512.3339,62820,397922,118469,708