SNAP Options History — November 2024

In November 2024, SNAP traded between $10.52 and $12.61. ATM implied volatility averaged 51.1%, placing in the 15.4% IV rank vs the trailing year. The 30-day expected move averaged 14.8%. IV traded below realized volatility by 20.2% (HV 20d: 71.3%). Max pain ranged from $10.00 to $11.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 0.39.

Notable Days

  • 2024-11-01: Highest Volume — 172,824 contracts
  • 2024-11-06: Largest IV drop — 12.8% change
  • 2024-11-04: Highest IV Rank — 24.1%
  • 2024-11-01: Largest Expected Move — 16.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$11.46$10.52$12.61$12.61$11.80
Max Pain$10.95$10.00$11.00$10.00$11.00
ATM IV51.1%47.7%57.9%53.8%49.7%
Expected Move14.8%13.7%16.5%16.5%15.3%
HV 20d71.3%53.8%77.9%65.9%53.8%
HV 60d52.0%48.3%54.3%48.3%53.1%
IV Rank15.4%11.0%24.1%18.9%13.6%
IV Percentile40.7%26.6%56.3%49.2%35.7%
Term Structure-1.2%-10.3%1.0%-1.1%-0.2%
VWIV52.9%48.5%58.2%58.2%56.2%
Skew 25d-2.3%-3.5%-0.7%-3.1%-3.0%
Skew 10d-3.8%-7.7%7.7%-6.4%-7.7%
Call IV 25d53.0%49.6%61.1%55.5%52.0%
Put IV 25d50.8%47.7%57.9%52.3%48.9%
Bid-Ask Spread %20.7714.1429.2925.3826.49
Gamma HHI0.120.090.160.110.12
Net GEX5.6M1.7M10.0M7.8M8.2M
Net DEX-155.2M-369.2M-27.8M-369.2M-222.0M
Net VEX-1.9M-2.1M-1.6M-2.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.060.780.280.26
Total Volume70,444.629,872172,824172,82432,586
Total OI1,367,788.951,185,7201,613,2191,613,2191,342,038

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2024-11-01$12.61$10.0053.8%16.5%65.9%18.9%58.2%-3.1%-1.1%7.8M-369.2M-2.1M0.2825.38134,93737,8871,027,053586,166
2024-11-04$12.11$11.0057.9%16.1%66.9%24.1%57.1%-3.2%-0.1%6.8M-221.6M-2.0M0.2715.8876,82120,979877,172480,923
2024-11-05$12.21$11.0057.4%15.7%66.8%23.5%55.7%-1.3%-10.3%8.4M-244.7M-2.1M0.4820.8750,72724,451921,016488,478
2024-11-06$11.73$11.0050.0%14.0%68.9%14.0%50.1%-0.7%-0.8%6.3M-159.7M-1.9M0.2814.3473,53520,254938,095502,551
2024-11-07$12.48$11.0049.5%14.2%71.7%13.3%50.2%-2.3%0.5%10.0M-278.1M-2.1M0.2915.0671,23920,557933,458506,241
2024-11-08$12.00$11.0049.9%14.9%72.3%13.8%52.4%-0.9%-0.1%3.8M-202.6M-2.0M0.4714.3846,40722,024948,507512,414
2024-11-11$11.96$11.0051.5%14.8%72.3%15.9%52.4%-3.4%0.2%6.8M-202.1M-2.0M0.2014.1451,31310,050896,872487,551
2024-11-12$11.25$11.0051.8%14.7%75.9%16.2%52.2%-2.8%-0.4%4.8M-113.3M-1.8M0.6525.1648,46031,380919,069492,665
2024-11-13$11.16$11.0051.8%14.4%75.5%16.3%51.8%-1.8%-2.9%4.2M-96.2M-1.8M0.3625.2935,17912,819927,998498,740
2024-11-14$10.73$11.0049.7%14.5%75.3%13.6%51.4%-3.0%0.5%3.1M-44.9M-1.7M0.7214.7625,56218,359934,766499,716
2024-11-15$10.59$11.0048.9%14.2%75.3%12.6%50.5%-1.9%1.0%1.7M-27.8M-1.6M0.7725.5731,49424,225941,485500,264
2024-11-18$10.54$11.0047.9%13.7%75.0%11.3%48.5%-1.9%-1.1%2.1M-28.7M-1.6M0.5715.7627,24015,534778,252407,468
2024-11-19$10.52$11.0048.0%13.8%74.2%11.3%49.3%-1.7%-2.2%2.4M-29.4M-1.6M0.3122.6827,9608,531799,003416,358
2024-11-20$10.61$11.0053.4%15.3%74.2%18.3%54.3%-2.0%-2.1%2.7M-46.6M-1.7M0.0615.6993,3865,655814,470420,530
2024-11-21$10.64$11.0050.1%14.5%74.1%14.1%52.5%-1.3%-2.1%4.1M-67.3M-1.8M0.1727.5039,2636,595876,882422,480
2024-11-22$11.41$11.0050.6%14.6%77.8%14.7%52.9%-3.3%-2.1%7.8M-175.1M-2.0M0.1926.08101,19319,336892,904423,138
2024-11-25$11.68$11.0052.6%15.6%77.7%17.2%56.4%-2.7%-0.7%7.2M-208.1M-2.1M0.2318.7165,48514,931882,930414,460
2024-11-26$11.52$11.0050.0%15.1%77.9%13.9%53.6%-3.5%-0.3%6.9M-179.2M-2.0M0.7829.2918,35714,309894,326420,933
2024-11-27$11.57$11.0047.7%14.6%54.9%11.0%51.9%-2.1%0.3%7.6M-187.5M-2.0M0.5122.3419,74610,126901,675426,732
2024-11-29$11.80$11.0049.7%15.3%53.8%13.6%56.2%-3.0%-0.2%8.2M-222.0M-2.1M0.2626.4925,7836,803908,981433,057