SNAP Options History — January 2024 In January 2024, SNAP traded between $15.39 and $17.29. ATM implied volatility averaged 85.0%, placing in the 59.3% IV rank vs the trailing year. The 30-day expected move averaged 25.1%. IV traded above realized volatility by 42.6% (HV 20d: 42.4%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 4 of 21 days. Put/call ratio averaged 0.52.
Notable Days 2024-01-16 : Highest Volume — 141,741 contracts2024-01-08 : Largest IV spike — 7.5% change2024-01-31 : Highest IV Rank — 72.9%2024-01-31 : Largest Expected Move — 35.6%Monthly Statistics Metric Avg Min Max Open Close Price $16.38 $15.39 $17.29 $15.98 $15.93 Max Pain $14.71 $12.00 $15.00 $12.00 $15.00 ATM IV 85.0% 69.2% 95.1% 69.2% 95.1% Expected Move 25.1% 13.5% 35.6% 13.5% 35.6% HV 20d 42.4% 37.5% 47.5% 37.5% 44.3% HV 60d 41.0% 37.8% 44.5% 44.0% 39.1% IV Rank 59.3% 38.1% 72.9% 38.1% 72.9% IV Percentile 77.6% 61.9% 91.7% 61.9% 91.7% Term Structure -3.7% -7.3% 7.3% 5.8% -7.3% VWIV 89.6% 48.5% 124.9% 49.1% 124.9% Skew 25d -2.0% -5.2% 0.7% 0.4% -2.5% Skew 10d -4.2% -9.0% 0.7% -0.6% -5.6% Call IV 25d 88.1% 73.1% 97.5% 73.1% 97.5% Put IV 25d 86.1% 73.5% 94.9% 73.5% 94.9% Bid-Ask Spread % 2.59 1.41 3.83 1.41 3.29 Gamma HHI 0.12 0.09 0.19 0.10 0.09 Net GEX 6.3M 3.3M 8.9M 3.7M 5.7M Net DEX -559.1M -878.5M -350.1M -718.9M -350.1M Net VEX -2.9M -3.2M -2.7M -2.8M -3.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.52 0.19 0.97 0.97 0.58 Total Volume 90,364.571 38,009 141,741 127,086 99,672 Total OI 1,512,601.619 1,003,027 1,954,741 1,880,331 1,203,706
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 2024-01-02 $15.98 $12.00 69.2% 13.5% 37.5% 38.1% 49.1% 0.4% 5.8% 3.7M -718.9M -2.8M 0.97 1.41 64,515 62,571 1,135,239 745,092 2024-01-03 $15.79 $12.00 73.5% 13.7% 37.6% 43.8% 48.5% -0.6% 7.1% 5.2M -696.6M -2.8M 0.77 1.71 59,334 45,575 1,166,891 753,566 2024-01-04 $16.23 $15.00 75.7% 22.3% 38.3% 46.8% 78.9% -0.4% 7.3% 7.3M -812.2M -2.8M 0.49 1.94 41,740 20,447 1,188,999 757,795 2024-01-05 $16.55 $15.00 76.1% 22.1% 38.4% 47.3% 77.7% 0.7% 6.8% 7.4M -878.5M -2.8M 0.48 1.98 57,147 27,567 1,193,688 761,053 2024-01-08 $17.27 $15.00 81.8% 22.6% 40.1% 55.0% 80.5% -0.2% -4.4% 7.2M -714.0M -2.8M 0.67 2.18 52,114 35,004 1,016,590 587,773 2024-01-09 $17.01 $15.00 84.3% 22.9% 40.3% 58.4% 81.1% -0.2% -5.2% 7.6M -678.0M -2.8M 0.28 1.97 88,209 24,354 1,035,671 601,790 2024-01-10 $17.29 $15.00 85.0% 22.5% 37.9% 59.4% 79.1% -0.6% -6.4% 8.9M -725.7M -2.8M 0.71 2.14 39,121 27,719 1,052,252 608,712 2024-01-11 $17.02 $15.00 83.8% 22.5% 38.6% 57.7% 79.1% 0.2% -6.5% 8.7M -680.2M -2.8M 0.36 2.17 54,576 19,411 1,054,584 608,171 2024-01-12 $16.41 $15.00 84.0% 22.7% 38.5% 58.0% 80.2% -0.4% -7.0% 6.3M -572.9M -2.7M 0.51 1.93 86,144 43,633 1,059,832 613,185 2024-01-16 $15.48 $15.00 85.5% 24.2% 42.5% 60.0% 88.5% -3.9% -5.8% 3.3M -438.3M -2.7M 0.47 2.90 96,643 45,098 1,041,097 599,072 2024-01-17 $15.39 $15.00 86.7% 24.8% 42.5% 61.5% 93.9% -4.4% -6.0% 4.1M -440.7M -2.7M 0.30 2.12 83,962 25,402 1,085,302 605,902 2024-01-18 $16.16 $15.00 85.9% 24.9% 46.5% 60.5% 90.3% -5.2% -6.8% 6.7M -580.5M -2.8M 0.34 2.13 60,564 20,873 1,127,398 606,622 2024-01-19 $16.38 $15.00 85.8% 25.2% 46.5% 60.3% 92.7% -5.1% -6.4% 7.6M -615.5M -2.9M 0.19 3.73 63,945 11,851 1,145,283 609,151 2024-01-22 $16.56 $15.00 89.1% 27.4% 45.7% 64.8% 97.4% -3.4% -5.1% 5.3M -394.5M -2.9M 0.27 3.72 68,980 18,947 615,131 387,896 2024-01-23 $16.29 $15.00 88.3% 27.6% 44.9% 63.8% 99.1% -3.2% -5.2% 6.0M -376.7M -2.9M 0.73 3.03 49,788 36,359 655,608 397,078 2024-01-24 $16.38 $15.00 88.9% 28.4% 45.0% 64.5% 102.0% -3.3% -6.0% 6.5M -403.4M -3.0M 0.66 3.04 37,186 24,367 685,806 423,719 2024-01-25 $16.23 $15.00 89.5% 28.8% 44.9% 65.4% 100.6% -3.5% -6.4% 5.9M -386.3M -3.1M 0.48 3.53 48,205 23,258 701,630 435,414 2024-01-26 $16.26 $15.00 89.3% 29.4% 44.9% 65.1% 104.3% -3.5% -7.2% 5.9M -387.9M -3.1M 0.44 3.83 64,585 28,583 719,097 448,825 2024-01-29 $16.87 $15.00 92.7% 32.5% 46.9% 69.7% 114.7% -2.0% -6.0% 7.0M -461.4M -3.2M 0.56 3.08 65,672 36,526 695,716 443,283 2024-01-30 $16.52 $15.00 93.8% 33.8% 47.5% 71.2% 118.7% -1.3% -6.6% 6.9M -428.1M -3.2M 0.69 2.64 22,522 15,487 728,847 462,168 2024-01-31 $15.93 $15.00 95.1% 35.6% 44.3% 72.9% 124.9% -2.5% -7.3% 5.7M -350.1M -3.1M 0.58 3.29 62,911 36,761 736,171 467,535
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