SNAP Options History — July 2024

In July 2024, SNAP traded between $12.96 and $16.95. ATM implied volatility averaged 93.1%, placing in the 69.5% IV rank vs the trailing year. The 30-day expected move averaged 26.3%. IV traded above realized volatility by 46.9% (HV 20d: 46.1%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 0 of 22 days. Put/call ratio averaged 0.58.

Notable Days

2024-07-31: Highest Volume — 147,532 contracts
2024-07-30: Largest IV spike — 8.6% change
2024-07-30: Highest IV Rank — 85.0%
2024-07-31: Largest Expected Move — 38.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.11	$12.96	$16.95	$16.02	$13.36
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	93.1%	83.8%	105.1%	85.9%	101.3%
Expected Move	26.3%	12.2%	38.8%	12.7%	38.8%
HV 20d	46.1%	37.7%	55.0%	38.8%	52.7%
HV 60d	58.4%	42.8%	65.1%	64.0%	43.4%
IV Rank	69.5%	57.5%	85.0%	60.3%	80.1%
IV Percentile	84.7%	71.4%	97.6%	75.4%	96.4%
Term Structure	-7.7%	-23.7%	-2.9%	-6.0%	-3.8%
VWIV	93.2%	42.8%	137.3%	45.2%	137.3%
Skew 25d	-0.7%	-4.7%	10.0%	-0.9%	10.0%
Skew 10d	0.2%	-3.4%	6.2%	2.2%	-3.4%
Call IV 25d	94.8%	85.9%	104.5%	85.9%	104.5%
Put IV 25d	94.1%	85.0%	114.6%	85.0%	114.6%
Bid-Ask Spread %	8.89	4.15	33.15	17.13	6.10
Gamma HHI	0.09	0.07	0.11	0.10	0.09
Net GEX	5.7M	1.7M	10.2M	6.7M	4.0M
Net DEX	-290.5M	-525.9M	-100.3M	-384.4M	-154.2M
Net VEX	-3.0M	-3.3M	-2.6M	-3.2M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.58	0.31	1.08	0.55	0.53
Total Volume	76,456.273	18,886	147,532	61,387	147,532
Total OI	1,275,786.227	1,180,506	1,421,251	1,180,506	1,421,251

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
2024-07-01	$16.02	$15.00	85.9%	12.7%	38.8%	60.3%	45.2%	-0.9%	-6.0%	6.7M	-384.4M	-3.2M	0.55	17.13	39,522	21,865	695,482	485,024
2024-07-02	$16.21	$15.00	83.8%	12.2%	38.7%	57.5%	43.0%	-0.9%	-23.7%	7.7M	-415.4M	-3.3M	0.67	21.26	42,016	28,332	703,495	489,468
2024-07-03	$15.75	$15.00	86.8%	12.2%	38.8%	61.5%	42.8%	0.1%	-6.3%	6.4M	-351.5M	-3.3M	0.60	33.15	11,792	7,094	722,450	502,533
2024-07-05	$16.32	$15.00	87.2%	22.4%	39.7%	61.9%	78.3%	0.2%	-7.9%	7.8M	-434.0M	-3.3M	0.41	4.94	32,325	13,226	727,032	502,719
2024-07-08	$16.51	$15.00	91.8%	24.1%	39.6%	67.9%	84.4%	0.6%	-5.4%	8.1M	-455.5M	-3.3M	0.52	5.41	36,160	18,681	710,105	499,172
2024-07-09	$16.70	$15.00	90.6%	23.5%	38.8%	66.4%	82.7%	-0.4%	-7.5%	9.6M	-489.0M	-3.3M	0.40	4.79	30,118	12,064	727,966	506,928
2024-07-10	$16.95	$15.00	91.8%	24.4%	37.7%	68.0%	85.5%	-1.6%	-6.5%	10.2M	-525.9M	-3.3M	0.36	4.72	67,374	24,572	732,390	509,899
2024-07-11	$16.31	$15.00	91.1%	23.9%	40.2%	67.0%	84.2%	-1.4%	-8.5%	8.5M	-427.9M	-3.3M	0.52	9.16	46,333	24,279	743,996	521,775
2024-07-12	$16.20	$15.00	90.5%	24.3%	40.1%	66.3%	85.3%	-1.1%	-8.5%	8.3M	-415.0M	-3.3M	1.00	9.48	19,504	19,535	754,567	526,003
2024-07-15	$16.23	$15.00	93.1%	26.0%	40.1%	69.6%	91.4%	-0.4%	-7.2%	7.8M	-414.1M	-3.2M	1.00	4.30	23,507	23,537	735,039	523,076
2024-07-16	$16.23	$15.00	91.5%	25.8%	39.7%	67.5%	90.5%	0.6%	-10.3%	8.0M	-402.8M	-3.2M	0.38	4.15	34,470	13,266	738,416	530,527
2024-07-17	$14.55	$15.00	94.6%	27.1%	55.0%	71.5%	95.1%	-0.1%	-8.7%	2.3M	-181.4M	-2.9M	1.08	6.28	68,295	73,803	742,702	533,805
2024-07-18	$14.59	$15.00	93.9%	27.3%	55.0%	70.6%	97.8%	-4.7%	-7.3%	1.7M	-177.7M	-2.9M	0.69	6.21	56,292	38,880	770,689	564,727
2024-07-19	$14.43	$15.00	94.3%	27.7%	53.8%	71.1%	100.6%	-4.7%	-6.5%	3.5M	-168.2M	-2.9M	0.39	5.28	50,954	19,743	794,577	566,894
2024-07-22	$14.73	$15.00	93.3%	29.0%	54.4%	69.9%	103.2%	-2.1%	-5.6%	4.7M	-228.8M	-3.0M	0.57	9.78	44,836	25,567	713,196	503,874
2024-07-23	$14.46	$15.00	96.2%	30.2%	53.5%	73.5%	107.3%	-2.9%	-6.8%	4.2M	-202.2M	-2.9M	0.31	13.00	70,098	21,575	732,113	516,472
2024-07-24	$13.63	$15.00	93.1%	29.8%	52.1%	69.6%	106.1%	-1.3%	-4.2%	2.5M	-107.6M	-2.8M	0.73	9.22	63,070	46,101	763,664	528,198
2024-07-25	$13.61	$15.00	96.5%	31.6%	51.7%	74.0%	112.3%	-2.2%	-8.3%	2.7M	-120.4M	-2.8M	0.38	5.76	50,980	19,275	781,102	538,108
2024-07-26	$13.36	$15.00	98.4%	32.0%	51.8%	76.4%	115.1%	-1.5%	-8.3%	3.0M	-100.3M	-2.7M	0.53	5.88	63,330	33,738	803,223	541,776
2024-07-29	$13.39	$15.00	96.7%	35.0%	51.7%	74.3%	124.6%	0.8%	-2.9%	3.4M	-129.3M	-2.7M	0.67	4.90	45,996	30,657	769,550	540,102
2024-07-30	$12.96	$15.00	105.1%	38.5%	51.2%	85.0%	136.8%	-1.9%	-8.7%	3.1M	-105.7M	-2.6M	0.53	4.69	79,599	42,145	795,210	558,002
2024-07-31	$13.36	$15.00	101.3%	38.8%	52.7%	80.1%	137.3%	10.0%	-3.8%	4.0M	-154.2M	-2.8M	0.53	6.10	96,204	51,328	836,465	584,786