SNAP Options History — December 2024

In December 2024, SNAP traded between $10.77 and $12.77. ATM implied volatility averaged 60.1%, placing in the 27.0% IV rank vs the trailing year. The 30-day expected move averaged 17.1%. IV traded above realized volatility by 12.5% (HV 20d: 47.7%). Max pain ranged from $11.00 to $11.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 16 of 21 days. Put/call ratio averaged 0.41.

Notable Days

2024-12-18: Highest Volume — 215,095 contracts
2024-12-18: Largest IV spike — 29.2% change
2024-12-19: Highest IV Rank — 41.7%
2024-12-20: Largest Expected Move — 20.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$11.65	$10.77	$12.77	$12.00	$10.77
Max Pain	$11.00	$11.00	$11.00	$11.00	$11.00
ATM IV	60.1%	51.1%	71.5%	51.1%	71.4%
Expected Move	17.1%	14.8%	20.5%	16.7%	18.5%
HV 20d	47.7%	41.8%	55.5%	52.2%	41.8%
HV 60d	54.1%	52.8%	54.8%	52.8%	54.0%
IV Rank	27.0%	15.3%	41.7%	15.3%	41.5%
IV Percentile	51.2%	40.5%	59.5%	40.5%	59.1%
Term Structure	2.2%	-1.0%	14.0%	0.7%	12.1%
VWIV	62.2%	52.9%	77.6%	58.9%	68.8%
Skew 25d	-3.7%	-8.6%	-1.4%	-3.8%	-1.4%
Skew 10d	-6.7%	-15.6%	-1.6%	-8.9%	-7.8%
Call IV 25d	63.6%	53.5%	78.8%	53.5%	72.2%
Put IV 25d	59.9%	49.7%	72.3%	49.7%	70.8%
Bid-Ask Spread %	5.53	1.64	31.92	31.92	2.69
Gamma HHI	0.12	0.07	0.28	0.12	0.07
Net GEX	6.1M	2.8M	17.1M	7.5M	2.8M
Net DEX	-173.2M	-349.1M	-53.3M	-232.9M	-53.3M
Net VEX	-2.0M	-2.2M	-1.8M	-2.1M	-1.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.12	1.05	0.24	0.41
Total Volume	83,230.333	17,050	215,095	99,711	34,884
Total OI	1,403,993.19	1,301,163	1,581,132	1,301,163	1,405,168

Daily Data (21 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
2024-12-02	$12.00	$11.00	51.1%	16.7%	52.2%	15.3%	58.9%	-3.8%	0.7%	7.5M	-232.9M	-2.1M	0.24	31.92	80,383	19,328	877,735	423,428
2024-12-03	$12.77	$11.00	55.2%	18.0%	54.9%	20.6%	64.1%	-4.8%	0.1%	9.4M	-349.1M	-2.2M	0.31	20.40	148,566	45,804	901,826	433,235
2024-12-04	$12.63	$11.00	54.0%	17.7%	55.1%	19.1%	65.1%	-4.7%	0.6%	9.5M	-325.0M	-2.2M	0.40	19.16	41,903	16,783	923,564	455,140
2024-12-05	$12.09	$11.00	57.5%	16.2%	55.5%	23.6%	58.5%	-3.4%	-0.8%	8.0M	-240.5M	-2.2M	0.39	2.06	98,258	38,355	930,293	460,350
2024-12-06	$12.48	$11.00	52.2%	15.3%	52.0%	16.8%	55.2%	-3.7%	0.5%	17.1M	-306.1M	-2.2M	0.34	2.89	105,050	35,581	959,844	470,976
2024-12-09	$12.48	$11.00	53.0%	15.0%	49.9%	17.8%	54.2%	-3.9%	-1.0%	8.5M	-274.7M	-2.1M	0.34	2.00	34,104	11,716	895,511	441,857
2024-12-10	$12.15	$11.00	52.3%	15.0%	50.9%	16.9%	56.4%	-3.2%	0.4%	7.6M	-223.2M	-2.0M	0.14	2.91	56,745	7,958	907,918	446,879
2024-12-11	$12.14	$11.00	52.0%	14.8%	45.4%	16.5%	52.9%	-4.7%	-0.0%	7.6M	-225.4M	-2.1M	0.28	2.65	57,563	16,393	942,240	452,309
2024-12-12	$11.59	$11.00	52.4%	15.3%	48.6%	17.0%	54.7%	-3.0%	1.1%	5.4M	-139.3M	-2.0M	0.32	2.31	64,366	20,894	940,278	455,217
2024-12-13	$11.39	$11.00	52.1%	15.0%	46.8%	16.7%	54.5%	-2.8%	0.3%	4.9M	-114.1M	-1.9M	1.04	2.19	28,415	29,476	967,904	461,696
2024-12-16	$11.39	$11.00	53.8%	15.4%	46.4%	18.8%	55.9%	-2.7%	0.4%	5.1M	-125.7M	-1.9M	0.66	1.64	27,747	18,341	930,529	450,801
2024-12-17	$11.23	$11.00	54.8%	15.7%	46.7%	20.1%	57.3%	-2.5%	-0.7%	4.1M	-99.8M	-1.9M	1.05	2.23	28,750	30,141	940,216	460,126
2024-12-18	$11.13	$11.00	70.8%	20.3%	46.9%	40.7%	77.6%	-8.6%	2.0%	3.7M	-108.7M	-2.0M	0.47	2.34	145,962	69,133	951,462	482,118
2024-12-19	$11.36	$11.00	71.5%	20.5%	47.3%	41.7%	73.5%	-5.0%	0.2%	4.4M	-132.4M	-2.0M	0.32	2.83	100,930	32,564	996,737	506,004
2024-12-20	$11.61	$11.00	71.2%	20.5%	47.7%	41.3%	72.2%	-2.0%	-0.9%	5.7M	-200.4M	-2.1M	0.31	2.02	62,425	19,076	1,065,930	515,202
2024-12-23	$11.21	$11.00	67.2%	18.4%	42.9%	36.1%	65.9%	-2.6%	2.4%	3.6M	-115.8M	-2.0M	0.38	3.45	39,626	15,072	942,110	439,600
2024-12-24	$11.16	$11.00	65.4%	17.5%	42.0%	33.8%	63.4%	-4.0%	4.9%	3.3M	-108.8M	-2.0M	0.29	2.36	13,248	3,802	962,971	450,353
2024-12-26	$11.31	$11.00	67.5%	17.6%	42.1%	36.5%	63.6%	-3.5%	5.2%	3.6M	-121.3M	-2.0M	0.27	2.83	17,681	4,808	969,648	453,486
2024-12-27	$10.98	$11.00	66.6%	17.9%	43.2%	35.4%	65.0%	-2.8%	4.6%	3.3M	-78.9M	-1.9M	0.47	2.71	35,716	16,680	971,925	453,854
2024-12-30	$10.84	$11.00	71.3%	18.9%	42.5%	41.5%	68.6%	-4.4%	14.0%	2.9M	-61.3M	-1.8M	0.12	2.48	66,002	7,608	949,630	437,787
2024-12-31	$10.77	$11.00	71.4%	18.5%	41.8%	41.5%	68.8%	-1.4%	12.1%	2.8M	-53.3M	-1.8M	0.41	2.69	24,682	10,202	964,816	440,352