SNAP Options History — May 2024 In May 2024, SNAP traded between $15.00 and $17.04. ATM implied volatility averaged 42.8%, placing in the 3.2% IV rank vs the trailing year. The 30-day expected move averaged 12.3%. IV traded below realized volatility by 38.6% (HV 20d: 81.4%). Max pain ranged from $12.00 to $14.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 8 of 22 days. Put/call ratio averaged 0.77.
Notable Days 2024-05-01 : Highest Volume — 188,229 contracts2024-05-03 : Largest IV drop — 7.5% change2024-05-01 : Highest IV Rank — 12.7%2024-05-01 : Largest Expected Move — 15.6%Monthly Statistics Metric Avg Min Max Open Close Price $15.91 $15.00 $17.04 $15.84 $15.00 Max Pain $13.68 $12.00 $14.00 $12.00 $14.00 ATM IV 42.8% 39.3% 50.6% 50.6% 41.7% Expected Move 12.3% 11.2% 15.6% 15.6% 12.2% HV 20d 81.4% 36.5% 95.9% 95.9% 36.5% HV 60d 68.2% 62.9% 110.4% 110.4% 64.3% IV Rank 3.2% 0.0% 12.7% 12.7% 3.1% IV Percentile 6.1% 0.0% 36.9% 36.9% 4.0% Term Structure -0.2% -2.5% 1.9% -0.8% -2.5% VWIV 44.1% 39.4% 55.0% 55.0% 42.8% Skew 25d -1.0% -4.0% 0.4% -0.6% -0.9% Skew 10d -1.5% -7.2% 1.7% -1.2% -1.2% Call IV 25d 44.1% 40.0% 51.0% 51.0% 43.5% Put IV 25d 43.0% 39.1% 50.3% 50.3% 42.6% Bid-Ask Spread % 21.50 12.23 35.92 21.88 25.00 Gamma HHI 0.15 0.10 0.37 0.16 0.37 Net GEX 9.5M -5.5M 18.7M 18.7M -5.5M Net DEX -739.4M -1.15B -305.4M -991.2M -305.4M Net VEX -3.6M -3.8M -3.4M -3.7M -3.4M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.77 0.29 1.54 0.80 0.77 Total Volume 88,801.5 31,998 188,229 188,229 58,524 Total OI 1,645,545.136 1,391,128 1,852,841 1,757,835 1,467,349
Daily Data (22 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 2024-05-01 $15.84 $12.00 50.6% 15.6% 95.9% 12.7% 55.0% -0.6% -0.8% 18.7M -991.2M -3.7M 0.80 21.88 104,798 83,431 1,127,671 630,164 2024-05-02 $16.19 $12.00 48.0% 14.6% 95.7% 9.4% 52.1% -0.1% -0.1% 17.4M -1.06B -3.7M 0.67 20.80 69,989 46,704 1,127,172 664,465 2024-05-03 $16.36 $12.00 44.4% 13.2% 95.3% 4.6% 47.5% -0.6% 0.2% 16.7M -1.09B -3.7M 0.78 24.36 52,357 40,581 1,128,645 673,050 2024-05-06 $16.88 $13.00 45.7% 12.8% 95.3% 6.3% 45.2% -1.1% -0.4% 14.1M -1.14B -3.6M 1.28 22.36 45,699 58,452 1,075,414 604,129 2024-05-07 $17.04 $14.00 44.6% 12.8% 95.2% 4.9% 45.8% -0.3% 1.3% 13.9M -1.15B -3.6M 1.42 21.10 63,448 90,392 1,082,741 629,171 2024-05-08 $16.74 $14.00 43.7% 12.5% 94.8% 3.6% 43.7% -0.4% 1.9% 12.5M -1.06B -3.8M 1.46 16.64 38,770 56,547 1,083,679 689,279 2024-05-09 $16.55 $14.00 42.5% 11.9% 95.4% 2.1% 42.4% 0.2% -0.7% 11.1M -1.01B -3.7M 1.54 19.46 39,725 61,366 1,082,902 710,305 2024-05-10 $16.00 $14.00 41.8% 12.1% 95.1% 1.2% 44.4% -1.2% 0.8% 5.1M -880.3M -3.7M 0.80 12.23 65,426 52,548 1,085,209 724,998 2024-05-13 $15.66 $14.00 42.5% 12.2% 92.5% 2.0% 44.8% -0.7% -0.4% 13.1M -810.7M -3.6M 0.71 22.10 42,381 30,073 1,073,022 680,253 2024-05-14 $15.61 $14.00 43.5% 12.5% 92.8% 3.4% 43.9% 0.4% -0.1% 13.8M -795.2M -3.7M 0.58 13.44 56,483 32,802 1,086,559 691,157 2024-05-15 $16.26 $14.00 42.6% 11.7% 91.9% 2.2% 41.7% -0.4% -2.0% 10.3M -968.9M -3.7M 0.43 16.88 69,669 29,995 1,100,886 694,259 2024-05-16 $16.09 $14.00 42.2% 11.9% 91.8% 1.6% 46.0% -1.0% -0.6% 8.6M -954.7M -3.7M 0.33 17.82 47,532 15,606 1,125,841 702,569 2024-05-17 $16.11 $14.00 40.7% 11.6% 89.7% 0.0% 41.3% -1.5% -0.8% 7.8M -963.2M -3.7M 0.41 13.22 40,161 16,585 1,145,611 707,230 2024-05-20 $16.38 $14.00 42.5% 12.0% 89.4% 2.3% 42.6% -4.0% 0.4% 8.0M -540.0M -3.7M 0.35 17.24 114,605 39,635 809,194 581,934 2024-05-21 $15.55 $14.00 39.6% 11.3% 92.9% 0.0% 40.7% -3.0% 1.3% 7.4M -407.3M -3.6M 0.48 27.49 74,395 35,477 856,432 605,737 2024-05-22 $15.86 $14.00 40.1% 11.5% 91.5% 0.6% 41.3% -1.7% 0.2% 8.5M -457.2M -3.7M 0.29 22.01 28,138 8,276 867,145 611,572 2024-05-23 $15.20 $14.00 40.8% 11.7% 93.6% 1.5% 42.4% -1.1% -0.4% 5.2M -336.7M -3.6M 0.51 35.92 44,995 23,154 870,705 612,524 2024-05-24 $15.21 $14.00 39.3% 11.2% 42.9% 0.0% 39.4% -0.3% 1.2% 5.6M -332.5M -3.6M 0.73 23.64 22,397 16,306 871,768 618,377 2024-05-28 $15.30 $14.00 41.2% 11.7% 43.0% 2.5% 41.0% -1.4% -0.9% 5.9M -356.1M -3.5M 0.79 26.82 19,284 15,229 834,779 592,482 2024-05-29 $15.21 $14.00 41.0% 12.0% 41.2% 2.2% 42.5% -1.2% -1.6% 5.6M -347.9M -3.5M 0.46 27.54 21,865 10,133 844,724 592,800 2024-05-30 $15.09 $14.00 42.1% 12.5% 37.6% 3.5% 44.5% -1.8% -1.2% 5.3M -320.9M -3.5M 1.36 24.94 29,557 40,143 845,147 592,943 2024-05-31 $15.00 $14.00 41.7% 12.2% 36.5% 3.1% 42.8% -0.9% -2.5% -5.5M -305.4M -3.4M 0.77 25.00 33,023 25,501 859,669 607,680
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