SNAP Options History — June 2024

In June 2024, SNAP traded between $14.84 and $16.80. ATM implied volatility averaged 53.2%, placing in the 18.0% IV rank vs the trailing year. The 30-day expected move averaged 12.6%. IV traded above realized volatility by 17.6% (HV 20d: 35.6%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 13 of 19 days. Put/call ratio averaged 0.58.

Notable Days

2024-06-25: Highest Volume — 104,476 contracts
2024-06-24: Largest IV spike — 22.5% change
2024-06-26: Highest IV Rank — 59.3%
2024-06-25: Largest Expected Move — 13.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.71	$14.84	$16.80	$15.25	$16.68
Max Pain	$14.84	$14.00	$15.00	$14.00	$15.00
ATM IV	53.2%	39.2%	85.1%	41.5%	82.8%
Expected Move	12.6%	11.6%	13.6%	12.5%	12.3%
HV 20d	35.6%	30.0%	38.2%	36.9%	35.5%
HV 60d	62.5%	61.8%	63.6%	63.3%	63.3%
IV Rank	18.0%	0.0%	59.3%	2.8%	56.3%
IV Percentile	28.7%	0.0%	73.8%	4.0%	71.0%
Term Structure	7.2%	-6.5%	36.0%	-0.1%	-3.9%
VWIV	44.4%	40.4%	48.4%	44.0%	43.6%
Skew 25d	-0.1%	-1.4%	3.1%	-0.1%	3.1%
Skew 10d	0.3%	-2.8%	5.0%	0.2%	5.0%
Call IV 25d	53.5%	39.7%	87.2%	42.0%	83.8%
Put IV 25d	53.4%	39.0%	86.9%	41.8%	86.9%
Bid-Ask Spread %	25.10	11.98	39.35	25.76	22.33
Gamma HHI	0.12	0.10	0.27	0.12	0.10
Net GEX	7.8M	4.8M	14.6M	7.2M	7.9M
Net DEX	-406.1M	-505.7M	-302.1M	-356.0M	-481.7M
Net VEX	-3.3M	-3.5M	-3.2M	-3.5M	-3.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.29	1.05	0.70	0.49
Total Volume	45,079.368	30,005	104,476	38,811	39,178
Total OI	1,359,418.526	1,118,741	1,449,292	1,420,193	1,204,588

Daily Data (19 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
2024-06-03	$15.25	$14.00	41.5%	12.5%	36.9%	2.8%	44.0%	-0.1%	-0.1%	7.2M	-356.0M	-3.5M	0.70	25.76	22,845	15,966	841,788	578,405
2024-06-04	$14.84	$14.00	40.2%	12.1%	35.4%	1.1%	42.6%	-1.2%	2.4%	5.9M	-302.1M	-3.3M	0.77	21.39	25,897	19,857	851,213	575,585
2024-06-05	$15.23	$14.00	39.9%	11.6%	36.9%	0.7%	42.3%	0.3%	3.1%	8.2M	-359.7M	-3.4M	0.84	29.92	19,207	16,201	860,520	577,895
2024-06-06	$15.11	$15.00	39.3%	12.2%	36.6%	0.0%	42.9%	-1.0%	1.4%	7.3M	-338.4M	-3.3M	1.05	30.25	14,634	15,371	861,174	584,885
2024-06-07	$15.52	$15.00	39.2%	12.3%	38.2%	0.0%	40.4%	-0.7%	2.1%	14.6M	-413.0M	-3.4M	0.43	39.35	38,306	16,552	863,471	585,821
2024-06-10	$15.18	$15.00	39.7%	12.8%	37.2%	0.7%	44.8%	0.9%	4.9%	6.6M	-353.1M	-3.3M	0.64	23.64	23,495	15,129	836,512	570,874
2024-06-11	$15.54	$15.00	41.6%	12.6%	37.6%	3.0%	44.1%	-0.9%	3.9%	7.8M	-410.5M	-3.3M	0.45	25.02	22,490	10,008	843,612	578,565
2024-06-12	$15.73	$15.00	39.8%	12.2%	37.8%	0.8%	42.9%	-0.6%	2.9%	8.5M	-441.7M	-3.3M	0.49	22.92	29,654	14,396	843,296	580,019
2024-06-13	$15.68	$15.00	40.0%	12.4%	34.7%	1.1%	43.4%	-1.2%	3.6%	8.1M	-428.7M	-3.3M	0.49	22.78	22,586	10,990	844,094	582,661
2024-06-14	$15.48	$15.00	41.1%	12.8%	34.7%	2.4%	44.7%	-1.0%	5.1%	7.7M	-395.3M	-3.2M	0.85	26.86	16,812	14,281	848,859	585,939
2024-06-17	$15.91	$15.00	45.1%	13.3%	36.3%	7.6%	46.8%	0.1%	28.9%	8.4M	-455.2M	-3.3M	0.34	27.59	43,616	14,995	830,149	576,148
2024-06-18	$15.86	$15.00	45.9%	13.3%	35.7%	8.7%	46.8%	0.1%	33.2%	9.0M	-451.1M	-3.3M	0.59	29.73	22,495	13,238	841,746	579,812
2024-06-20	$15.29	$15.00	53.5%	13.3%	33.1%	18.5%	46.9%	-0.3%	33.1%	6.6M	-355.2M	-3.2M	0.29	17.95	28,880	8,315	846,566	583,695
2024-06-21	$15.32	$15.00	58.7%	12.8%	32.3%	25.1%	45.1%	-0.4%	36.0%	4.8M	-363.2M	-3.2M	0.90	25.35	17,494	15,757	855,309	584,479
2024-06-24	$15.75	$15.00	71.9%	12.4%	30.0%	42.2%	43.5%	2.7%	-4.0%	5.7M	-350.1M	-3.2M	0.37	21.17	25,039	9,339	657,787	460,954
2024-06-25	$16.64	$15.00	81.4%	13.6%	35.5%	54.5%	48.4%	0.1%	-5.0%	6.9M	-467.7M	-3.3M	0.43	23.72	73,038	31,438	666,701	464,039
2024-06-26	$16.80	$15.00	85.1%	12.7%	35.5%	59.3%	45.4%	-0.7%	-6.5%	8.6M	-505.7M	-3.3M	0.58	29.24	44,609	25,916	695,474	482,076
2024-06-27	$16.61	$15.00	83.2%	12.6%	35.8%	56.8%	45.9%	-1.4%	-4.1%	9.1M	-486.8M	-3.4M	0.34	11.98	43,541	14,943	709,834	494,407
2024-06-28	$16.68	$15.00	82.8%	12.3%	35.5%	56.3%	43.6%	3.1%	-3.9%	7.9M	-481.7M	-3.4M	0.49	22.33	26,324	12,854	707,051	497,537