SNAP Options History — December 2023

In December 2023, SNAP traded between $14.04 and $17.21. ATM implied volatility averaged 46.6%, placing in the 7.6% IV rank vs the trailing year. The 30-day expected move averaged 13.1%. IV traded above realized volatility by 14.7% (HV 20d: 31.9%). Max pain ranged from $10.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.78.

Notable Days

  • 2023-12-19: Highest Volume — 430,459 contracts
  • 2023-12-28: Largest IV spike — 7.5% change
  • 2023-12-29: Highest IV Rank — 17.4%
  • 2023-12-21: Largest Expected Move — 14.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.12$14.04$17.21$14.04$16.96
Max Pain$11.85$10.00$12.00$10.00$12.00
ATM IV46.6%42.0%53.9%42.0%53.9%
Expected Move13.1%12.4%14.1%12.7%12.6%
HV 20d31.9%27.7%34.9%33.1%28.3%
HV 60d42.7%41.5%44.0%44.0%41.6%
IV Rank7.6%1.4%17.4%1.4%17.4%
IV Percentile15.8%1.6%36.9%1.6%36.9%
Term Structure4.2%-0.7%21.2%-0.4%21.2%
VWIV47.0%44.7%49.8%45.4%45.3%
Skew 25d-1.0%-2.2%0.3%-0.7%-0.7%
Skew 10d-1.6%-4.2%0.3%0.2%-1.7%
Call IV 25d48.1%44.1%51.5%44.1%47.8%
Put IV 25d47.1%43.4%50.3%43.4%47.1%
Bid-Ask Spread %1.571.202.682.681.66
Gamma HHI0.140.110.420.150.13
Net GEX7.7M3.2M15.6M10.2M3.2M
Net DEX-792.0M-964.5M-613.6M-615.1M-895.9M
Net VEX-2.6M-3.0M-2.3M-2.3M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.780.401.370.510.87
Total Volume123,586.143,910430,459125,50461,798
Total OI1,725,001.91,482,8501,945,3981,627,7021,920,916

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2023-12-01$14.04$10.0042.0%12.7%33.1%1.4%45.4%-0.7%-0.4%10.2M-615.1M-2.3M0.512.6882,89642,6081,077,155550,547
2023-12-04$14.34$11.0044.1%12.8%33.0%4.2%45.3%0.3%0.1%7.7M-613.6M-2.3M0.601.2849,49129,8751,042,991541,341
2023-12-05$14.57$12.0043.9%12.7%32.5%4.0%45.7%-0.6%0.6%8.1M-644.6M-2.3M0.871.2038,60233,4091,051,123545,504
2023-12-06$14.82$12.0045.0%12.9%32.3%5.5%46.5%-0.8%0.1%8.1M-688.2M-2.3M0.531.46109,12258,3301,057,668553,474
2023-12-07$14.68$12.0044.1%12.7%33.4%4.3%45.6%-0.3%0.5%10.7M-665.3M-2.4M0.581.2150,43129,3631,086,847571,896
2023-12-08$15.09$12.0043.5%12.6%33.6%3.5%45.0%-0.5%0.5%6.4M-748.5M-2.4M0.401.3863,54425,1201,085,680577,260
2023-12-11$15.77$12.0046.2%13.0%34.9%7.1%47.0%-2.2%-0.6%7.1M-775.2M-2.4M0.421.2094,57639,5111,042,902550,692
2023-12-12$15.86$12.0043.7%12.4%34.8%3.7%44.7%-1.3%-0.4%8.4M-794.4M-2.4M0.991.4941,59141,1181,072,880569,711
2023-12-13$16.51$12.0044.3%12.6%31.0%4.5%44.8%-1.2%-0.1%8.8M-887.2M-2.5M0.801.3083,48367,0961,085,099587,254
2023-12-14$16.91$12.0047.1%13.3%31.1%8.3%48.6%-2.2%-0.7%9.0M-964.5M-2.4M0.581.30130,08575,3491,099,371608,957
2023-12-15$16.88$12.0046.9%13.3%30.0%8.1%48.4%-1.5%-0.7%15.6M-915.3M-2.5M0.871.4261,73853,4151,112,479641,206
2023-12-18$16.98$12.0048.4%13.8%27.7%10.0%49.4%-2.2%0.1%6.8M-675.4M-2.5M0.821.84111,43191,371948,900533,950
2023-12-19$17.21$12.0047.6%13.6%27.7%9.0%48.5%-1.9%0.4%7.2M-696.2M-2.6M0.921.81224,558205,901978,877578,673
2023-12-20$16.73$12.0048.8%14.0%31.3%10.6%49.7%-1.7%0.2%6.3M-820.9M-2.9M1.141.7255,36662,8961,146,625742,317
2023-12-21$17.16$12.0049.4%14.1%31.4%11.4%49.8%-1.2%0.3%8.1M-908.5M-3.0M0.791.6666,95052,7631,156,845763,473
2023-12-22$17.06$12.0047.6%13.6%32.4%9.0%48.3%-0.5%0.8%6.4M-906.8M-2.9M0.901.7741,32337,0611,169,213776,185
2023-12-26$16.87$12.0047.8%13.5%33.5%9.3%48.2%-0.3%20.5%5.4M-846.8M-2.8M0.921.8628,73226,3521,128,465743,267
2023-12-27$16.96$12.0047.0%13.1%33.4%8.2%47.2%-0.2%20.6%5.0M-874.7M-2.8M0.651.5936,64423,9131,134,558753,112
2023-12-28$17.05$12.0050.6%12.9%33.5%13.0%46.3%-0.3%21.1%5.1M-904.0M-2.9M1.371.5218,52025,3901,153,013759,612
2023-12-29$16.96$12.0053.9%12.6%28.3%17.4%45.3%-0.7%21.2%3.2M-895.9M-2.8M0.871.6632,98828,8101,158,349762,567