SNAP Options History — March 2024

In March 2024, SNAP traded between $11.02 and $12.41. ATM implied volatility averaged 59.5%, placing in the 24.9% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 7.7% (HV 20d: 67.1%). Max pain ranged from $12.00 to $12.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.36.

Notable Days

2024-03-08: Highest Volume — 254,217 contracts
2024-03-25: Largest IV spike — 24.9% change
2024-03-27: Highest IV Rank — 65.1%
2024-03-08: Largest Expected Move — 16.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.44	$11.02	$12.41	$11.21	$11.50
Max Pain	$12.00	$12.00	$12.00	$12.00	$12.00
ATM IV	59.5%	44.1%	89.3%	44.1%	89.1%
Expected Move	15.1%	12.3%	16.9%	12.3%	14.1%
HV 20d	67.1%	42.2%	160.9%	160.9%	42.2%
HV 60d	99.0%	98.2%	99.6%	98.2%	98.5%
IV Rank	24.9%	4.2%	65.1%	4.2%	64.8%
IV Percentile	48.8%	5.6%	86.1%	5.6%	85.3%
Term Structure	8.3%	-7.9%	34.4%	0.2%	-4.1%
VWIV	55.4%	45.2%	62.3%	45.2%	54.6%
Skew 25d	-3.6%	-8.6%	-0.4%	-2.4%	-6.3%
Skew 10d	-7.0%	-12.8%	-2.5%	-3.4%	-12.5%
Call IV 25d	62.4%	46.6%	96.1%	46.6%	94.0%
Put IV 25d	58.8%	44.2%	88.3%	44.2%	87.7%
Bid-Ask Spread %	25.49	10.59	36.54	16.29	34.66
Gamma HHI	0.11	0.09	0.19	0.11	0.19
Net GEX	6.7M	4.3M	12.5M	5.2M	11.3M
Net DEX	-157.9M	-356.3M	-69.0M	-103.2M	-177.2M
Net VEX	-2.9M	-3.3M	-2.7M	-2.8M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.36	0.14	0.88	0.63	0.14
Total Volume	92,160.8	34,999	254,217	74,150	130,512
Total OI	1,501,077.55	1,359,110	1,639,917	1,526,429	1,465,884

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
2024-03-01	$11.21	$12.00	44.1%	12.3%	160.9%	4.2%	45.2%	-2.4%	0.2%	5.2M	-103.2M	-2.8M	0.63	16.29	45,526	28,624	1,036,516	489,913
2024-03-04	$11.02	$12.00	46.5%	14.4%	157.7%	7.5%	52.0%	-2.2%	0.4%	4.6M	-69.0M	-2.7M	0.28	10.59	39,443	11,078	1,000,660	491,130
2024-03-05	$11.43	$12.00	49.1%	15.1%	159.0%	11.1%	54.6%	-1.5%	4.4%	6.5M	-140.0M	-2.9M	0.21	29.99	172,827	35,502	1,015,044	494,384
2024-03-06	$11.16	$12.00	49.1%	15.4%	157.4%	11.0%	57.7%	-2.8%	0.2%	6.5M	-105.5M	-2.8M	0.49	25.33	47,622	23,265	1,050,347	503,042
2024-03-07	$11.86	$12.00	52.4%	15.8%	46.6%	15.5%	57.3%	-2.6%	0.3%	9.1M	-233.5M	-3.1M	0.24	18.13	154,872	36,438	1,060,403	504,516
2024-03-08	$12.41	$12.00	57.4%	16.9%	48.0%	22.1%	62.3%	-6.8%	-2.4%	12.5M	-356.3M	-3.3M	0.17	27.20	218,132	36,085	1,087,342	512,524
2024-03-11	$11.84	$12.00	55.2%	16.7%	51.5%	19.2%	59.9%	-4.2%	3.4%	8.1M	-213.1M	-3.1M	0.43	21.30	59,662	25,373	1,067,460	502,111
2024-03-12	$11.80	$12.00	54.1%	16.5%	47.2%	17.7%	58.9%	-0.4%	5.7%	8.5M	-202.7M	-3.0M	0.36	21.89	36,755	13,235	1,083,255	513,078
2024-03-13	$11.91	$12.00	54.4%	16.4%	42.9%	18.2%	59.3%	-4.9%	2.5%	9.4M	-224.3M	-3.1M	0.23	22.54	118,737	27,544	1,092,868	517,831
2024-03-14	$11.41	$12.00	52.7%	15.9%	45.0%	15.8%	58.5%	-3.1%	3.1%	6.3M	-123.5M	-2.9M	0.17	21.21	60,373	10,057	1,106,789	522,401
2024-03-15	$11.16	$12.00	51.7%	15.7%	45.2%	14.5%	56.8%	-3.5%	4.5%	4.3M	-85.5M	-2.8M	0.49	20.75	38,315	18,645	1,114,572	525,345
2024-03-18	$11.11	$12.00	52.2%	15.2%	43.0%	15.2%	54.8%	-1.2%	30.1%	4.4M	-113.9M	-2.7M	0.29	20.90	43,976	12,750	905,155	453,955
2024-03-19	$11.09	$12.00	51.1%	14.8%	42.6%	13.7%	54.5%	-0.5%	31.8%	4.5M	-113.3M	-2.7M	0.28	26.79	44,578	12,501	926,815	456,658
2024-03-20	$11.25	$12.00	50.8%	14.6%	42.2%	13.3%	52.7%	-3.3%	32.1%	5.3M	-141.8M	-2.8M	0.34	36.54	48,685	16,622	949,329	460,774
2024-03-21	$11.18	$12.00	57.7%	14.4%	42.3%	22.6%	53.3%	-4.1%	34.3%	5.0M	-132.7M	-2.8M	0.29	30.62	47,145	13,654	963,041	466,646
2024-03-22	$11.36	$12.00	64.9%	14.7%	42.6%	32.3%	52.6%	-2.5%	34.4%	5.6M	-155.1M	-2.8M	0.61	32.61	21,754	13,245	978,792	470,707
2024-03-25	$11.32	$12.00	81.1%	14.9%	42.5%	54.1%	54.3%	-5.4%	-2.4%	5.4M	-148.2M	-2.8M	0.88	30.99	25,484	22,346	930,805	454,479
2024-03-26	$11.39	$12.00	86.1%	14.7%	42.2%	60.8%	57.6%	-8.6%	-7.9%	5.7M	-164.9M	-2.8M	0.33	25.49	58,880	19,693	940,879	467,299
2024-03-27	$11.41	$12.00	89.3%	14.2%	42.2%	65.1%	50.3%	-5.5%	-4.2%	6.4M	-155.1M	-2.8M	0.36	35.99	39,314	13,967	964,318	474,484
2024-03-28	$11.50	$12.00	89.1%	14.1%	42.2%	64.8%	54.6%	-6.3%	-4.1%	11.3M	-177.2M	-2.9M	0.14	34.66	114,405	16,107	984,213	481,671