SNAP Options History — August 2024

In August 2024, SNAP traded between $8.34 and $12.80. ATM implied volatility averaged 51.5%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 15.3%. IV traded below realized volatility by 61.3% (HV 20d: 112.8%). Max pain ranged from $9.50 to $15.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.81.

Notable Days

2024-08-01: Highest Volume — 387,322 contracts
2024-08-02: Largest IV drop — 45.1% change
2024-08-01: Highest IV Rank — 85.2%
2024-08-01: Largest Expected Move — 40.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.33	$8.34	$12.80	$12.80	$9.34
Max Pain	$11.02	$9.50	$15.00	$15.00	$9.50
ATM IV	51.5%	43.1%	105.2%	105.2%	44.9%
Expected Move	15.3%	12.5%	40.5%	40.5%	12.7%
HV 20d	112.8%	53.6%	121.4%	53.6%	54.1%
HV 60d	76.3%	43.5%	78.7%	43.5%	78.1%
IV Rank	15.8%	5.1%	85.2%	85.2%	7.3%
IV Percentile	39.0%	12.3%	97.6%	97.6%	21.8%
Term Structure	0.8%	-1.6%	8.3%	-0.8%	1.7%
VWIV	53.5%	44.3%	138.7%	138.7%	46.0%
Skew 25d	2.1%	-1.2%	6.4%	2.4%	0.6%
Skew 10d	2.8%	-4.4%	9.6%	-2.5%	2.2%
Call IV 25d	51.5%	43.6%	106.7%	106.7%	45.5%
Put IV 25d	53.6%	44.2%	109.1%	109.1%	46.1%
Bid-Ask Spread %	19.63	7.17	37.83	14.51	25.47
Gamma HHI	0.15	0.08	0.37	0.08	0.14
Net GEX	394.8K	-7.2M	3.4M	3.4M	2.1M
Net DEX	72.0M	-93.8M	278.8M	-93.8M	12.1M
Net VEX	-1.6M	-2.7M	-1.3M	-2.7M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.81	0.37	2.35	0.56	0.70
Total Volume	108,013	31,566	387,322	387,322	33,479
Total OI	1,455,934.091	1,186,408	1,707,179	1,501,639	1,339,126

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
2024-08-01	$12.80	$15.00	105.2%	40.5%	53.6%	85.2%	138.7%	2.4%	-0.8%	3.4M	-93.8M	-2.7M	0.56	14.51	247,831	139,491	888,123	613,516
2024-08-02	$9.48	$15.00	57.8%	17.9%	114.0%	24.0%	63.5%	-0.6%	-0.8%	-7.2M	278.8M	-1.5M	0.95	7.17	170,598	161,753	1,029,503	677,676
2024-08-05	$8.59	$13.00	64.9%	18.3%	115.7%	33.2%	64.0%	6.0%	8.3%	-1.5M	213.5M	-1.3M	0.90	14.29	96,330	86,436	961,903	576,397
2024-08-06	$8.61	$13.00	56.8%	15.5%	115.3%	22.7%	55.5%	5.4%	0.1%	-1.7M	201.1M	-1.3M	0.60	8.82	81,035	48,554	1,006,637	583,798
2024-08-07	$8.34	$11.00	56.1%	16.1%	113.9%	21.8%	55.6%	3.7%	-1.6%	-1.8M	187.8M	-1.3M	0.42	8.52	58,530	24,395	1,055,585	580,731
2024-08-08	$8.95	$11.00	51.0%	14.7%	119.9%	15.2%	52.0%	6.4%	1.4%	-288.1K	127.3M	-1.5M	1.54	12.47	59,942	92,558	1,073,386	568,226
2024-08-09	$9.00	$11.00	49.2%	14.1%	120.3%	12.9%	49.8%	4.6%	-0.1%	289.3K	118.6M	-1.4M	1.00	13.73	46,892	47,128	1,091,042	561,656
2024-08-12	$9.07	$11.00	49.5%	14.2%	120.5%	13.3%	49.1%	4.3%	-0.0%	-242.9K	107.3M	-1.4M	0.64	14.16	41,687	26,693	1,037,716	517,289
2024-08-13	$9.25	$11.00	48.0%	13.9%	121.4%	11.3%	48.5%	2.9%	0.8%	233.2K	81.1M	-1.5M	0.39	14.72	60,270	23,621	1,057,850	515,989
2024-08-14	$9.00	$11.00	46.4%	13.6%	117.5%	9.3%	48.2%	2.6%	1.3%	-315.9K	105.6M	-1.4M	0.78	8.66	44,249	34,528	1,068,344	520,923
2024-08-15	$9.36	$11.00	43.1%	12.7%	119.3%	5.1%	44.3%	0.2%	1.1%	1.7M	58.4M	-1.5M	1.11	35.30	53,650	59,778	1,087,130	523,930
2024-08-16	$9.20	$11.00	44.1%	13.0%	119.3%	6.4%	45.5%	1.8%	1.9%	769.7K	64.4M	-1.5M	0.45	18.96	55,829	25,360	1,103,474	518,988
2024-08-19	$9.48	$11.00	44.9%	13.0%	119.8%	7.4%	44.5%	2.8%	-0.2%	1.8M	11.0M	-1.6M	0.62	7.92	41,390	25,503	759,906	426,502
2024-08-20	$9.46	$10.00	44.4%	12.7%	120.0%	6.7%	45.5%	0.2%	1.5%	2.2M	6.0M	-1.6M	0.67	18.65	39,015	26,299	777,485	439,535
2024-08-21	$9.43	$10.00	43.5%	12.5%	119.3%	5.6%	44.5%	1.2%	1.7%	1.6M	13.0M	-1.6M	0.95	26.63	34,343	32,751	789,054	464,080
2024-08-22	$9.21	$10.00	45.3%	13.0%	119.1%	7.9%	45.9%	-1.2%	1.0%	-855.5K	34.7M	-1.6M	0.83	29.77	51,385	42,768	803,344	490,975
2024-08-23	$9.39	$10.00	45.8%	13.1%	119.9%	8.5%	45.7%	-0.9%	0.4%	2.1M	8.1M	-1.6M	0.37	22.02	38,822	14,313	834,565	506,980
2024-08-26	$9.43	$9.50	47.9%	13.7%	120.0%	11.3%	47.8%	1.4%	1.3%	2.7M	-636.0K	-1.6M	0.70	23.83	41,448	28,945	792,339	459,091
2024-08-27	$9.50	$9.50	47.9%	13.2%	120.1%	11.3%	46.5%	1.5%	-0.0%	3.0M	-8.1M	-1.7M	0.71	33.45	18,513	13,053	811,541	481,149
2024-08-28	$9.18	$9.50	48.4%	13.9%	119.0%	11.9%	48.4%	1.1%	0.2%	399.3K	30.5M	-1.6M	0.59	37.83	28,805	17,015	817,280	490,553
2024-08-29	$9.20	$9.50	46.9%	13.4%	118.9%	9.9%	48.1%	0.9%	-0.4%	105.8K	27.2M	-1.6M	2.35	35.06	18,320	42,981	828,995	498,238
2024-08-30	$9.34	$9.50	44.9%	12.7%	54.1%	7.3%	46.0%	0.6%	1.7%	2.1M	12.1M	-1.6M	0.70	25.47	19,661	13,818	833,033	506,093