SNAP Options History — November 2023

In November 2023, SNAP traded between $10.00 and $13.86. ATM implied volatility averaged 44.4%, placing in the 2.1% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded below realized volatility by 0.8% (HV 20d: 45.2%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.57.

Notable Days

2023-11-14: Highest Volume — 209,768 contracts
2023-11-30: Largest IV spike — 5.9% change
2023-11-01: Highest IV Rank — 6.6%
2023-11-01: Largest Expected Move — 14.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.79	$10.00	$13.86	$10.00	$13.86
Max Pain	$9.98	$9.50	$10.00	$9.50	$10.00
ATM IV	44.4%	40.9%	48.3%	48.3%	43.4%
Expected Move	13.0%	12.1%	14.2%	14.2%	13.3%
HV 20d	45.2%	30.8%	58.5%	56.8%	35.0%
HV 60d	45.8%	43.9%	46.6%	45.4%	43.9%
IV Rank	2.1%	0.0%	6.6%	6.6%	3.3%
IV Percentile	3.6%	0.0%	11.5%	11.5%	2.0%
Term Structure	0.0%	-1.3%	2.0%	0.3%	-0.4%
VWIV	46.7%	42.8%	50.7%	50.7%	47.2%
Skew 25d	1.2%	-0.0%	2.8%	2.1%	0.6%
Skew 10d	2.7%	-0.5%	4.8%	4.7%	-0.5%
Call IV 25d	45.2%	41.4%	48.7%	48.7%	44.6%
Put IV 25d	46.5%	42.2%	50.8%	50.8%	45.2%
Bid-Ask Spread %	2.42	1.86	3.24	2.54	3.05
Gamma HHI	0.19	0.11	0.40	0.13	0.11
Net GEX	9.4M	6.3M	14.8M	6.8M	8.8M
Net DEX	-333.5M	-583.6M	-106.8M	-106.8M	-583.6M
Net VEX	-2.1M	-2.3M	-1.8M	-1.8M	-2.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.25	1.63	0.37	0.49
Total Volume	84,003.667	28,214	209,768	58,781	187,903
Total OI	1,605,537.571	1,462,573	1,736,256	1,615,100	1,567,269

Daily Data (21 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
2023-11-01	$10.00	$9.50	48.3%	14.2%	56.8%	6.6%	50.7%	2.1%	0.3%	6.8M	-106.8M	-1.8M	0.37	2.54	43,020	15,761	1,109,939	505,161
2023-11-02	$10.48	$10.00	45.8%	13.8%	58.5%	3.2%	47.8%	0.6%	0.7%	8.8M	-190.2M	-1.9M	0.33	2.05	109,005	36,433	1,122,991	509,915
2023-11-03	$10.73	$10.00	45.8%	13.3%	57.8%	3.2%	48.1%	0.7%	0.5%	7.8M	-238.9M	-2.0M	0.25	2.64	126,226	31,617	1,139,976	518,171
2023-11-06	$10.71	$10.00	46.0%	13.4%	57.8%	3.4%	47.6%	1.4%	0.6%	8.0M	-193.6M	-2.0M	0.46	2.45	30,910	14,208	1,114,309	499,138
2023-11-07	$10.98	$10.00	45.1%	13.3%	57.7%	2.1%	47.9%	2.8%	1.5%	9.2M	-234.9M	-2.0M	0.55	2.66	34,101	18,831	1,116,028	502,367
2023-11-08	$11.16	$10.00	43.9%	13.0%	57.4%	0.5%	46.4%	1.6%	2.0%	10.5M	-269.4M	-2.0M	0.36	2.45	62,058	22,203	1,126,501	507,330
2023-11-09	$11.23	$10.00	46.3%	13.4%	57.4%	3.9%	47.6%	0.9%	0.6%	10.9M	-296.0M	-2.1M	0.46	1.91	66,777	30,986	1,138,163	517,615
2023-11-10	$11.27	$10.00	45.1%	13.3%	52.5%	2.2%	47.2%	2.3%	2.0%	10.2M	-298.7M	-2.1M	0.62	1.86	68,947	42,764	1,148,953	525,475
2023-11-13	$11.32	$10.00	46.0%	13.3%	38.4%	3.4%	47.4%	1.8%	-1.3%	11.5M	-307.7M	-2.1M	0.37	2.34	36,863	13,720	1,153,163	527,430
2023-11-14	$12.09	$10.00	45.1%	13.0%	43.1%	2.2%	46.2%	-0.0%	-0.9%	14.8M	-476.6M	-2.1M	0.34	3.01	157,044	52,724	1,154,568	533,124
2023-11-15	$12.23	$10.00	46.0%	13.2%	42.4%	3.4%	46.8%	0.7%	-1.2%	10.8M	-475.4M	-2.2M	0.63	2.09	31,310	19,724	1,146,283	562,144
2023-11-16	$12.07	$10.00	45.1%	13.0%	43.3%	2.2%	45.6%	0.6%	-0.5%	11.4M	-435.6M	-2.2M	0.40	2.23	53,561	21,563	1,147,722	567,595
2023-11-17	$11.88	$10.00	45.2%	13.0%	43.4%	2.3%	50.7%	2.1%	-0.5%	6.3M	-373.3M	-2.1M	0.87	3.24	39,735	34,510	1,164,260	571,996
2023-11-20	$12.16	$10.00	44.6%	12.8%	43.5%	1.5%	45.5%	0.5%	-0.6%	7.4M	-304.4M	-2.1M	0.38	2.30	46,286	17,474	987,833	474,740
2023-11-21	$12.11	$10.00	43.8%	12.7%	43.3%	0.4%	44.9%	1.8%	-0.9%	7.9M	-292.8M	-2.1M	0.35	2.51	21,293	7,500	1,008,869	482,174
2023-11-22	$12.25	$10.00	42.5%	12.2%	33.1%	0.0%	42.8%	1.0%	-0.5%	9.3M	-321.0M	-2.1M	1.37	2.37	11,926	16,288	1,019,803	483,942
2023-11-24	$12.46	$10.00	41.8%	12.1%	33.1%	0.0%	46.7%	0.5%	-0.6%	11.0M	-355.4M	-2.1M	0.87	2.18	26,084	22,764	1,022,214	491,345
2023-11-27	$12.79	$10.00	41.4%	12.4%	32.9%	0.0%	44.1%	0.4%	0.0%	8.7M	-401.2M	-2.1M	1.63	2.23	22,579	36,782	1,006,587	485,407
2023-11-28	$12.82	$10.00	41.2%	12.4%	31.3%	0.0%	44.7%	2.4%	-0.2%	8.9M	-408.5M	-2.2M	0.59	2.35	33,353	19,530	1,014,381	502,901
2023-11-29	$13.00	$10.00	40.9%	12.3%	30.8%	0.0%	44.4%	0.8%	-0.3%	9.0M	-438.7M	-2.2M	0.25	2.40	63,838	15,876	1,026,198	512,309
2023-11-30	$13.86	$10.00	43.4%	13.3%	35.0%	3.3%	47.2%	0.6%	-0.4%	8.8M	-583.6M	-2.3M	0.49	3.05	125,785	62,118	1,048,648	518,621