SNAP Options History — October 2023 In October 2023, SNAP traded between $8.52 and $10.04. ATM implied volatility averaged 85.7%, placing in the 58.8% IV rank vs the trailing year. The 30-day expected move averaged 23.1%. IV traded above realized volatility by 41.4% (HV 20d: 44.3%). Max pain ranged from $9.00 to $10.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.46.
Notable Days 2023-10-24 : Highest Volume — 547,997 contracts2023-10-25 : Largest IV drop — 42.2% change2023-10-20 : Highest IV Rank — 80.1%2023-10-23 : Largest Expected Move — 30.7%Monthly Statistics Metric Avg Min Max Open Close Price $9.21 $8.52 $10.04 $8.71 $10.04 Max Pain $9.27 $9.00 $10.00 $10.00 $9.50 ATM IV 85.7% 50.3% 101.0% 85.3% 50.3% Expected Move 23.1% 15.3% 30.7% 16.5% 15.3% HV 20d 44.3% 29.2% 57.1% 39.3% 56.7% HV 60d 49.1% 42.4% 56.4% 54.4% 45.4% IV Rank 58.8% 9.4% 80.1% 58.2% 9.4% IV Percentile 69.7% 13.5% 90.1% 73.4% 13.5% Term Structure -5.0% -8.7% 0.7% -3.4% 0.5% VWIV 81.9% 53.9% 108.2% 58.3% 53.9% Skew 25d -0.4% -3.1% 2.8% -1.1% 2.8% Skew 10d -0.9% -3.9% 7.6% -2.9% 5.7% Call IV 25d 87.7% 50.7% 107.2% 86.0% 50.7% Put IV 25d 87.3% 53.4% 105.0% 84.9% 53.4% Bid-Ask Spread % 2.52 1.81 5.11 2.18 2.37 Gamma HHI 0.10 0.08 0.14 0.13 0.12 Net GEX 2.3M -84.8K 6.0M -84.8K 6.0M Net DEX -34.1M -120.6M 52.3M 47.8M -110.3M Net VEX -1.8M -2.0M -1.6M -1.6M -1.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.46 0.14 0.95 0.14 0.41 Total Volume 120,068.318 28,055 547,997 78,385 67,967 Total OI 1,568,777.409 1,362,179 1,864,904 1,362,179 1,591,516
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 2023-10-02 $8.71 $10.00 85.3% 16.5% 39.3% 58.2% 58.3% -1.1% -3.4% -84.8K 47.8M -1.6M 0.14 2.18 68,826 9,559 899,395 462,784 2023-10-03 $8.52 $10.00 88.3% 17.1% 39.4% 62.3% 61.0% -0.4% -4.6% 231.1K 52.3M -1.6M 0.39 5.11 36,503 14,320 942,262 464,720 2023-10-04 $8.66 $10.00 87.2% 15.9% 30.1% 60.8% 56.9% -0.5% -4.9% 841.6K 34.6M -1.6M 0.25 2.81 37,160 9,161 963,676 465,645 2023-10-05 $8.77 $9.00 87.9% 23.1% 30.4% 61.9% 81.5% -0.4% -5.2% 1.4M 20.1M -1.7M 0.49 2.73 18,810 9,245 986,046 468,257 2023-10-06 $8.61 $9.00 91.4% 23.8% 29.4% 66.7% 85.0% -1.7% -5.9% 279.2K 35.2M -1.6M 0.52 2.51 34,263 17,783 990,600 471,747 2023-10-09 $8.59 $9.00 93.3% 24.5% 29.2% 69.5% 88.2% -0.9% -6.4% 506.2K 35.2M -1.6M 0.25 2.52 50,400 12,804 973,719 466,943 2023-10-10 $8.84 $9.00 99.0% 26.0% 31.4% 77.3% 92.4% -1.2% -7.1% 1.6M -2.3M -1.7M 0.42 2.28 99,957 41,846 1,002,921 469,077 2023-10-11 $9.09 $9.00 100.2% 26.5% 32.5% 79.0% 93.4% 0.7% -8.2% 2.9M -45.4M -1.8M 0.37 2.47 29,504 10,853 1,036,629 474,786 2023-10-12 $9.18 $9.00 99.2% 26.5% 32.5% 77.5% 93.9% 0.3% -8.1% 3.5M -59.7M -1.8M 0.45 2.43 54,542 24,601 1,044,296 479,189 2023-10-13 $8.71 $9.00 100.2% 27.1% 37.2% 79.1% 96.4% -1.3% -8.7% 1.0M 3.6M -1.7M 0.30 2.33 42,009 12,810 1,052,673 489,612 2023-10-16 $9.71 $9.00 98.1% 27.4% 53.2% 76.0% 96.7% -0.7% -6.9% 3.4M -107.4M -1.8M 0.59 1.81 150,512 89,424 1,024,570 488,342 2023-10-17 $9.64 $9.00 96.6% 27.4% 53.3% 73.9% 95.4% -0.3% -7.0% 3.7M -106.0M -1.9M 0.44 2.10 89,004 39,127 1,079,366 542,651 2023-10-18 $9.55 $9.00 95.3% 27.3% 53.5% 72.1% 96.2% -1.3% -6.4% 3.2M -89.9M -1.9M 0.78 2.25 26,828 20,982 1,088,090 558,650 2023-10-19 $9.61 $9.00 95.3% 27.6% 51.2% 72.2% 97.6% -0.5% -6.4% 3.9M -98.4M -1.9M 0.46 2.55 34,150 15,550 1,093,180 559,395 2023-10-20 $9.46 $9.00 101.0% 29.7% 51.6% 80.1% 105.9% -3.1% -8.0% 2.2M -74.8M -1.9M 0.61 2.08 96,576 58,564 1,092,479 560,974 2023-10-23 $9.52 $9.00 99.6% 30.7% 50.8% 78.2% 108.2% -0.4% -7.1% 2.6M -86.0M -1.9M 0.95 2.45 64,197 60,988 1,023,719 488,436 2023-10-24 $9.82 $9.00 98.1% 30.6% 49.6% 76.1% 107.7% -2.8% -7.0% 3.0M -120.6M -2.0M 0.53 2.70 359,019 188,978 1,054,028 526,614 2023-10-25 $9.21 $10.00 56.7% 17.3% 55.7% 18.4% 62.5% 0.5% -0.5% 1.5M 6.4M -1.7M 0.56 2.66 234,954 132,686 1,189,220 651,111 2023-10-26 $9.32 $9.50 55.3% 16.7% 55.6% 16.4% 59.0% 0.4% -0.8% 2.4M -10.0M -1.8M 0.55 2.55 78,148 42,907 1,210,691 645,992 2023-10-27 $9.32 $9.50 53.9% 16.3% 55.3% 14.5% 57.7% 0.5% 0.0% 2.7M -8.2M -1.7M 0.42 2.38 50,237 21,048 1,220,110 644,794 2023-10-30 $9.75 $9.50 52.7% 15.8% 57.1% 12.8% 54.6% 2.3% 0.7% 4.6M -65.6M -1.8M 0.29 2.26 65,573 19,128 1,077,643 496,555 2023-10-31 $10.04 $9.50 50.3% 15.3% 56.7% 9.4% 53.9% 2.8% 0.5% 6.0M -110.3M -1.9M 0.41 2.37 48,079 19,888 1,093,216 498,300
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