SNAP Options History — October 2024

In October 2024, SNAP traded between $10.02 and $12.63. ATM implied volatility averaged 97.2%, placing in the 74.9% IV rank vs the trailing year. The 30-day expected move averaged 27.8%. IV traded above realized volatility by 58.6% (HV 20d: 38.6%). Max pain ranged from $9.50 to $10.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 2 of 23 days. Put/call ratio averaged 0.42.

Notable Days

2024-10-30: Highest Volume — 494,058 contracts
2024-10-30: Largest IV drop — 47.4% change
2024-10-29: Highest IV Rank — 91.4%
2024-10-29: Largest Expected Move — 40.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$10.78	$10.02	$12.63	$10.46	$12.13
Max Pain	$9.96	$9.50	$10.00	$9.50	$10.00
ATM IV	97.2%	53.8%	110.0%	94.1%	53.8%
Expected Move	27.8%	15.5%	40.0%	15.7%	16.8%
HV 20d	38.6%	34.0%	64.8%	36.9%	64.8%
HV 60d	72.0%	39.1%	79.4%	78.9%	49.7%
IV Rank	74.9%	18.8%	91.4%	70.9%	18.8%
IV Percentile	90.5%	49.2%	99.2%	85.7%	49.2%
Term Structure	-6.5%	-10.3%	6.2%	-5.5%	2.3%
VWIV	97.3%	55.2%	137.8%	56.7%	59.2%
Skew 25d	-1.1%	-6.6%	2.2%	-1.7%	-3.1%
Skew 10d	-4.1%	-47.6%	4.1%	-2.1%	-4.9%
Call IV 25d	98.4%	56.4%	108.7%	97.8%	56.4%
Put IV 25d	97.3%	53.2%	108.0%	96.1%	53.2%
Bid-Ask Spread %	12.80	4.21	29.97	22.27	17.99
Gamma HHI	0.09	0.06	0.12	0.09	0.11
Net GEX	3.5M	1.5M	9.3M	2.9M	7.9M
Net DEX	-131.0M	-399.7M	-50.4M	-94.7M	-286.0M
Net VEX	-1.9M	-2.1M	-1.8M	-1.9M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.20	0.91	0.27	0.46
Total Volume	89,996.87	19,540	494,058	29,205	112,569
Total OI	1,321,262.261	1,233,757	1,616,912	1,233,757	1,616,912

Daily Data (23 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
2024-10-01	$10.46	$9.50	94.1%	15.7%	36.9%	70.9%	56.7%	-1.7%	-5.5%	2.9M	-94.7M	-1.9M	0.27	22.27	23,056	6,149	774,674	459,083
2024-10-02	$10.86	$9.50	97.4%	15.5%	38.0%	75.1%	55.2%	0.1%	-7.5%	3.7M	-132.5M	-2.0M	0.27	23.81	33,222	8,925	776,335	460,449
2024-10-03	$10.73	$10.00	97.2%	24.6%	38.8%	74.9%	88.2%	-0.6%	-5.8%	3.8M	-125.2M	-2.0M	0.50	17.57	22,437	11,200	788,424	461,922
2024-10-04	$10.80	$10.00	95.8%	24.7%	36.4%	73.1%	86.7%	0.8%	-6.6%	3.1M	-129.8M	-2.0M	0.31	18.87	24,368	7,573	792,482	467,853
2024-10-07	$10.50	$10.00	100.8%	26.5%	38.1%	79.6%	92.0%	-0.1%	-6.3%	2.8M	-97.1M	-1.9M	0.72	8.43	20,217	14,517	775,815	458,670
2024-10-08	$10.66	$10.00	98.4%	25.8%	38.2%	76.4%	90.6%	2.2%	-7.5%	3.0M	-108.3M	-1.9M	0.36	8.57	16,783	6,069	782,697	466,637
2024-10-09	$10.66	$10.00	98.8%	26.2%	37.6%	76.9%	91.7%	0.5%	-7.3%	3.1M	-107.5M	-1.9M	0.22	13.24	15,956	3,584	787,140	470,188
2024-10-10	$10.64	$10.00	99.7%	26.7%	34.2%	78.1%	93.1%	0.5%	-8.2%	2.9M	-105.6M	-1.9M	0.36	14.03	18,731	6,745	788,809	470,963
2024-10-11	$11.11	$10.00	101.4%	27.4%	36.3%	80.3%	95.6%	0.3%	-8.9%	4.3M	-155.6M	-2.0M	0.20	9.55	87,451	17,247	789,948	475,382
2024-10-14	$11.14	$10.00	100.4%	28.1%	36.2%	79.0%	98.7%	1.2%	-7.4%	4.2M	-152.9M	-2.0M	0.28	8.56	43,819	12,093	797,571	470,077
2024-10-15	$11.07	$10.00	102.1%	28.9%	34.0%	81.2%	102.4%	-0.4%	-8.1%	4.2M	-153.6M	-2.0M	0.28	7.92	42,020	11,965	811,097	477,691
2024-10-16	$10.84	$10.00	100.9%	28.9%	35.1%	79.6%	102.1%	-1.1%	-6.6%	3.8M	-128.8M	-1.9M	0.35	7.56	41,758	14,653	819,575	482,766
2024-10-17	$10.39	$10.00	99.2%	28.7%	35.7%	77.5%	101.6%	-6.6%	-3.9%	2.3M	-84.1M	-1.8M	0.80	8.81	31,434	25,055	835,356	490,735
2024-10-18	$10.52	$10.00	99.9%	29.4%	35.9%	78.4%	103.3%	-2.7%	-8.0%	1.5M	-97.4M	-1.9M	0.44	8.20	24,805	10,834	846,906	502,234
2024-10-21	$10.30	$10.00	101.0%	31.3%	36.5%	79.8%	110.2%	-1.5%	-7.0%	1.9M	-66.7M	-1.8M	0.29	7.15	53,629	15,632	782,807	458,692
2024-10-22	$10.02	$10.00	104.2%	33.1%	34.4%	83.9%	115.3%	-4.3%	-8.8%	1.8M	-50.4M	-1.8M	0.45	4.21	71,709	32,343	815,784	465,914
2024-10-23	$10.14	$10.00	104.1%	33.2%	34.8%	83.7%	116.2%	-1.9%	-8.4%	2.2M	-66.8M	-1.8M	0.40	10.56	62,121	24,785	840,670	486,825
2024-10-24	$10.27	$10.00	106.7%	35.3%	35.2%	87.1%	121.3%	-1.4%	-10.3%	2.9M	-83.2M	-1.9M	0.91	11.04	28,722	26,245	869,267	499,248
2024-10-25	$10.43	$10.00	103.8%	35.1%	35.1%	83.4%	120.8%	-1.0%	-9.1%	2.9M	-92.2M	-1.9M	0.38	10.92	63,718	23,958	878,242	514,617
2024-10-28	$10.71	$10.00	108.1%	38.7%	36.3%	89.0%	133.4%	-0.9%	-8.1%	3.1M	-134.4M	-2.0M	0.59	10.04	82,090	48,587	863,616	511,227
2024-10-29	$10.86	$10.00	110.0%	40.0%	35.5%	91.4%	137.8%	-0.8%	-7.7%	3.6M	-160.0M	-2.0M	0.55	15.23	210,623	116,473	903,481	527,178
2024-10-30	$12.63	$10.00	57.9%	18.6%	62.9%	24.1%	65.9%	-1.7%	6.2%	9.3M	-399.7M	-2.1M	0.32	29.97	373,235	120,823	993,135	579,938
2024-10-31	$12.13	$10.00	53.8%	16.8%	64.8%	18.8%	59.2%	-3.1%	2.3%	7.9M	-286.0M	-2.0M	0.46	17.99	77,103	35,466	1,030,306	586,606