SNAP Options History — February 2024

In February 2024, SNAP traded between $10.71 and $17.30. ATM implied volatility averaged 58.3%, placing in the 23.3% IV rank vs the trailing year. The 30-day expected move averaged 16.1%. IV traded below realized volatility by 80.1% (HV 20d: 138.3%). Max pain ranged from $12.00 to $15.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.48.

Notable Days

2024-02-07: Highest Volume — 878,100 contracts
2024-02-07: Largest IV drop — 49.2% change
2024-02-06: Highest IV Rank — 83.3%
2024-02-06: Largest Expected Move — 27.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$12.19	$10.71	$17.30	$15.84	$11.02
Max Pain	$14.10	$12.00	$15.00	$15.00	$12.00
ATM IV	58.3%	44.8%	102.8%	94.8%	44.8%
Expected Move	16.1%	12.7%	27.0%	23.6%	12.7%
HV 20d	138.3%	44.1%	162.7%	44.1%	160.4%
HV 60d	87.4%	39.1%	99.5%	39.1%	98.3%
IV Rank	23.3%	5.2%	83.3%	72.5%	5.2%
IV Percentile	38.2%	7.9%	98.4%	91.7%	7.9%
Term Structure	-1.5%	-8.3%	1.4%	-8.3%	0.3%
VWIV	57.2%	45.2%	95.8%	83.0%	45.2%
Skew 25d	-1.8%	-3.5%	0.1%	-1.8%	-2.3%
Skew 10d	-2.8%	-6.1%	-0.0%	-4.1%	-3.7%
Call IV 25d	60.4%	46.8%	104.5%	98.1%	46.8%
Put IV 25d	58.7%	44.5%	101.0%	96.4%	44.5%
Bid-Ask Spread %	9.66	1.74	26.82	3.11	26.05
Gamma HHI	0.12	0.08	0.41	0.08	0.10
Net GEX	4.7M	-2.6M	16.3M	6.0M	5.8M
Net DEX	-75.8M	-546.7M	262.8M	-331.8M	-75.3M
Net VEX	-2.6M	-3.4M	-1.9M	-3.1M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.48	0.13	1.42	0.32	0.41
Total Volume	209,400.3	51,925	878,100	59,731	56,168
Total OI	1,516,231.25	1,205,731	1,899,059	1,231,116	1,520,698

Daily Data (20 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
2024-02-01	$15.84	$15.00	94.8%	23.6%	44.1%	72.5%	83.0%	-1.8%	-8.3%	6.0M	-331.8M	-3.1M	0.32	3.11	45,395	14,336	750,461	480,655
2024-02-02	$16.95	$15.00	95.9%	24.0%	49.4%	74.0%	84.5%	-1.5%	-7.1%	16.3M	-517.0M	-3.2M	0.53	3.42	121,779	64,868	763,333	486,626
2024-02-05	$16.59	$15.00	98.1%	25.5%	49.7%	77.0%	89.3%	-1.3%	-6.4%	5.3M	-430.6M	-3.2M	0.72	3.80	104,117	75,144	724,256	481,475
2024-02-06	$17.30	$15.00	102.8%	27.0%	49.6%	83.3%	95.8%	-3.5%	-7.1%	6.6M	-546.7M	-3.4M	0.57	9.35	291,014	165,096	783,754	522,039
2024-02-07	$11.27	$15.00	52.3%	14.9%	160.2%	15.3%	53.4%	-1.6%	0.1%	-2.6M	262.8M	-1.9M	0.70	1.99	517,970	360,130	943,277	617,303
2024-02-08	$11.02	$15.00	50.4%	14.4%	159.6%	12.7%	52.1%	-2.3%	-0.0%	1.2M	152.5M	-2.1M	0.49	1.76	305,084	148,352	1,174,893	605,634
2024-02-09	$11.04	$15.00	49.9%	14.3%	159.8%	12.1%	52.0%	-1.3%	-0.5%	756.0K	103.5M	-2.3M	0.40	1.82	173,754	69,838	1,287,936	611,123
2024-02-12	$11.71	$15.00	49.7%	14.2%	162.2%	11.8%	50.2%	-2.2%	-0.5%	7.6M	-58.6M	-2.6M	0.36	1.77	284,744	103,547	1,102,279	537,385
2024-02-13	$11.11	$15.00	51.1%	14.5%	162.0%	13.6%	52.4%	-1.8%	0.6%	3.5M	55.6M	-2.4M	0.34	2.08	143,580	48,797	1,098,818	560,343
2024-02-14	$11.41	$15.00	48.1%	13.8%	162.7%	9.7%	49.0%	-1.3%	0.2%	6.1M	-4.6M	-2.5M	0.83	1.95	68,038	56,728	1,124,686	560,072
2024-02-15	$11.59	$15.00	48.3%	13.9%	161.4%	9.9%	49.0%	-2.3%	-2.8%	7.4M	-50.5M	-2.6M	0.37	2.06	75,384	28,048	1,133,290	552,320
2024-02-16	$11.14	$15.00	48.0%	13.7%	161.2%	9.5%	49.0%	-1.9%	1.4%	3.1M	34.8M	-2.5M	0.45	1.74	114,947	51,146	1,143,340	564,684
2024-02-20	$10.96	$15.00	50.3%	14.4%	160.8%	12.6%	51.1%	-0.7%	-0.4%	3.3M	21.9M	-2.4M	0.23	16.07	93,592	21,508	904,242	496,105
2024-02-21	$10.75	$15.00	48.6%	14.0%	160.8%	10.3%	49.7%	0.1%	0.3%	2.9M	35.6M	-2.4M	0.63	18.93	64,569	40,580	919,855	499,124
2024-02-22	$10.77	$12.00	47.5%	13.6%	160.8%	8.9%	49.3%	-2.6%	-0.5%	3.3M	-130.9K	-2.4M	0.13	19.88	132,452	17,194	940,140	482,368
2024-02-23	$10.77	$12.00	46.4%	13.2%	160.9%	7.4%	47.8%	-1.4%	-0.2%	3.5M	-13.6M	-2.5M	0.27	26.82	94,081	24,935	1,011,835	485,149
2024-02-26	$10.71	$12.00	46.7%	13.9%	160.8%	7.8%	49.0%	-1.1%	0.6%	3.8M	-27.4M	-2.5M	0.17	22.79	73,836	12,713	978,169	474,205
2024-02-27	$10.89	$12.00	46.1%	13.3%	160.0%	6.9%	46.9%	-2.0%	-0.1%	4.9M	-56.9M	-2.7M	0.29	4.13	40,389	11,536	1,014,346	479,311
2024-02-28	$10.98	$12.00	45.7%	13.1%	160.3%	6.4%	46.2%	-3.0%	0.3%	5.4M	-69.7M	-2.7M	1.42	23.63	30,011	42,606	1,025,944	483,152
2024-02-29	$11.02	$12.00	44.8%	12.7%	160.4%	5.2%	45.2%	-2.3%	0.3%	5.8M	-75.3M	-2.7M	0.41	26.05	39,808	16,360	1,034,532	486,166