SNAP Options History — September 2024

In September 2024, SNAP traded between $8.52 and $10.82. ATM implied volatility averaged 63.0%, placing in the 30.7% IV rank vs the trailing year. The 30-day expected move averaged 15.6%. IV traded above realized volatility by 21.9% (HV 20d: 41.0%). Max pain ranged from $9.00 to $9.50. Net GEX was positive for 16 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2024-09-19: Highest Volume — 119,147 contracts
2024-09-23: Largest IV spike — 15.0% change
2024-09-30: Highest IV Rank — 68.3%
2024-09-17: Largest Expected Move — 17.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$9.64	$8.52	$10.82	$8.84	$10.71
Max Pain	$9.07	$9.00	$9.50	$9.50	$9.50
ATM IV	63.0%	51.2%	92.1%	51.7%	92.1%
Expected Move	15.6%	14.1%	17.8%	14.9%	15.4%
HV 20d	41.0%	36.6%	45.2%	45.2%	41.9%
HV 60d	79.0%	78.1%	79.8%	78.7%	79.0%
IV Rank	30.7%	15.4%	68.3%	16.1%	68.3%
IV Percentile	58.6%	47.6%	80.2%	50.0%	80.2%
Term Structure	6.9%	-10.5%	26.1%	-5.6%	-3.8%
VWIV	55.9%	51.0%	62.9%	52.1%	55.7%
Skew 25d	1.1%	-2.7%	8.7%	1.9%	-1.5%
Skew 10d	0.9%	-4.6%	5.2%	1.7%	-4.2%
Call IV 25d	62.4%	52.1%	96.5%	52.1%	96.5%
Put IV 25d	63.5%	52.1%	95.0%	54.1%	95.0%
Bid-Ask Spread %	12.85	1.74	32.25	32.25	17.57
Gamma HHI	0.15	0.08	0.32	0.12	0.08
Net GEX	3.0M	-1.1M	6.9M	106.9K	3.2M
Net DEX	-51.2M	-153.5M	55.1M	55.1M	-120.3M
Net VEX	-1.7M	-2.0M	-1.4M	-1.5M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.22	2.30	0.83	0.28
Total Volume	67,403.2	30,242	119,147	77,788	49,327
Total OI	1,314,752.15	1,204,747	1,441,775	1,251,106	1,214,973

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
2024-09-03	$8.84	$9.50	51.7%	14.9%	45.2%	16.1%	52.1%	1.9%	-5.6%	106.9K	55.1M	-1.5M	0.83	32.25	42,501	35,287	790,360	460,746
2024-09-04	$8.80	$9.50	52.6%	14.6%	45.2%	17.3%	51.8%	1.0%	-2.0%	-1.0M	48.3M	-1.5M	0.50	31.16	24,309	12,175	814,199	470,474
2024-09-05	$8.86	$9.00	53.0%	15.5%	43.5%	17.8%	54.1%	2.6%	-0.5%	-1.1M	37.6M	-1.6M	0.83	9.69	17,077	14,142	824,263	476,118
2024-09-06	$8.63	$9.00	54.9%	15.6%	36.6%	20.3%	56.1%	1.3%	-1.1%	-1.7K	55.1M	-1.5M	0.62	10.60	26,103	16,220	830,916	470,392
2024-09-09	$8.52	$9.00	54.4%	16.1%	36.7%	19.6%	57.8%	2.4%	1.8%	40.1K	49.1M	-1.4M	2.30	9.24	35,378	81,395	806,332	439,286
2024-09-10	$8.64	$9.00	54.3%	16.4%	37.0%	19.5%	59.0%	1.3%	2.9%	-59.3K	48.1M	-1.5M	1.11	8.83	26,315	29,171	824,664	506,157
2024-09-11	$8.91	$9.00	51.2%	15.6%	38.1%	15.4%	58.6%	-0.1%	3.1%	1.2M	15.4M	-1.6M	0.64	10.42	36,776	23,454	836,399	525,383
2024-09-12	$9.38	$9.00	54.7%	16.1%	41.2%	19.9%	57.0%	0.0%	1.8%	4.1M	-40.1M	-1.7M	0.49	1.74	75,297	37,195	846,257	531,035
2024-09-13	$9.57	$9.00	55.5%	16.0%	39.5%	21.1%	57.9%	1.2%	0.2%	6.3M	-79.5M	-1.8M	0.22	14.95	84,588	18,893	871,618	546,612
2024-09-16	$9.73	$9.00	58.3%	16.7%	39.2%	24.7%	60.1%	0.4%	26.1%	4.0M	-80.7M	-1.8M	0.27	2.65	64,731	17,397	853,556	517,047
2024-09-17	$9.45	$9.00	61.5%	17.8%	39.4%	28.8%	62.9%	-0.2%	17.9%	4.3M	-53.3M	-1.7M	0.24	5.32	43,848	10,662	877,301	525,393
2024-09-18	$9.66	$9.00	56.6%	16.2%	40.1%	22.5%	59.5%	0.8%	24.2%	5.7M	-78.7M	-1.8M	0.59	11.06	62,331	36,927	882,578	530,832
2024-09-19	$10.11	$9.00	59.9%	15.8%	43.1%	26.7%	57.1%	-2.7%	21.1%	6.8M	-140.4M	-1.8M	0.34	3.23	89,100	30,047	885,670	530,286
2024-09-20	$10.07	$9.00	63.0%	15.3%	42.0%	30.7%	54.9%	-2.3%	24.4%	6.9M	-145.0M	-1.8M	0.45	3.51	26,188	11,663	900,055	541,720
2024-09-23	$10.21	$9.00	72.4%	14.8%	41.8%	42.9%	52.8%	1.7%	-10.5%	3.1M	-77.5M	-1.8M	0.62	14.81	26,448	16,400	752,018	452,729
2024-09-24	$10.64	$9.00	75.0%	15.2%	43.8%	46.2%	53.2%	8.7%	6.9%	3.8M	-120.6M	-1.9M	0.30	13.34	53,375	15,766	760,701	457,045
2024-09-25	$10.61	$9.00	72.0%	14.1%	43.9%	42.3%	51.0%	-2.4%	14.8%	4.2M	-120.4M	-1.9M	0.30	21.13	23,180	7,062	768,338	464,704
2024-09-26	$10.63	$9.00	81.8%	14.8%	41.4%	55.0%	53.1%	5.6%	8.4%	4.3M	-122.6M	-1.9M	0.49	16.74	37,869	18,468	772,951	466,221
2024-09-27	$10.82	$9.00	84.7%	15.0%	41.5%	58.8%	53.3%	2.9%	8.7%	3.4M	-153.5M	-2.0M	0.28	18.83	55,421	15,578	792,725	476,989
2024-09-30	$10.71	$9.50	92.1%	15.4%	41.9%	68.3%	55.7%	-1.5%	-3.8%	3.2M	-120.3M	-2.0M	0.28	17.57	38,564	10,763	759,872	455,101