Update on $SNAP
Last week I wrote a post describing the upcoming Expected Move in $SNAP based on the options 30 day Implied Volatility (IV) number.
I will be following the stock for 30 days and providing weekly updates on both the stock and options price movement. This stock was chosen for analysis because it appeared at the top of the Options IV Template Report in EdgeRater indicating that the IV was the lowest it had been in a year.
As a reminder, here’s the chart from last week
The following points can be noted from the chart:
- Low Implied Volatility in all 12 monitored periods
- Lowest 30 day expected move
- Over the last year SNAP has spent 68% of the time inside the 30 day expected move bands
- Technically running into downward sloping trendline
- Struggling to overcome the tall red candle 8 days prior
Updated Chart (Feb 20th 2020)
Here’s the updated chart for the week (bear in mind there have only been 4 days of trading due to Monday being a market holiday)
The following points can be noted from this chart:
- Implied Volatilities all rising
- 30 day Expected Move increased
- SNAP is still within its 30 day expected move bands
- SNAP has been hugging the lower line of the expected move cone and is now below that line
How did the options do?
Last week I mentioned that options were the cheapest they had been in a year, so was it possible to make money buying puts and if so what expirations and deltas were more profitable?
The following chart shows the % gain of various deltas and expirations:
| DTE | 7 | 14 | 21 | 28 | 35 | 42 | 49 | 63 | 154 | 336 | 707 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Delta | |||||||||||
| -0.9 | 21.71% | 12.84% | 10.11% | 10.70% | 10.40% | 13.22% | 12.88% | 6.61% | 5.61% | ||
| -0.8 | 96.24% | 59.93% | 46.31% | 36.36% | 34.46% | 27.54% | 26.43% | 20.11% | 8.90% | 4.84% | |
| -0.7 | 77.88% | 56.68% | 50.46% | 46.73% | 38.69% | 31.93% | 29.83% | 11.81% | 4.11% | ||
| -0.6 | 150.00% | 102.94% | 67.83% | 59.04% | 45.14% | 41.64% | 37.69% | 15.79% | 8.96% | 5.44% | |
| -0.5 | 81.60% | 70.11% | 64.32% | 59.72% | 54.51% | 47.89% | 20.39% | 10.83% | 5.56% | ||
| -0.4 | 236.73% | 133.33% | 102.78% | 87.50% | 68.29% | 62.57% | 22.15% | 6.38% | |||
| -0.3 | 118.84% | 103.49% | 87.38% | 78.15% | 72.93% | 60.87% | 25.66% | 15.25% | 8.28% | ||
| -0.2 | 242.11% | 167.44% | 139.02% | 119.64% | 90.48% | 81.44% | 79.12% | 30.34% | 16.80% | 7.87% | |
| -0.1 | 173.91% | 140.00% | 134.29% | 114.89% | 112.82% | 97.96% | 97.87% | 33.06% | 19.51% | 6.67% | |
| 0.1 | -100.00% | -84.21% | -66.67% | -59.09% | -51.61% | -50.00% | -41.94% | -34.48% | -38.60% | -24.10% | |
| 0.2 | -80.00% | -62.86% | -59.62% | -52.31% | -47.54% | -43.64% | -36.36% | -34.29% | -16.61% | ||
| 0.3 | -100.00% | -82.54% | -66.67% | -57.14% | -46.34% | -41.24% | -35.20% | -28.57% | -18.75% | -14.47% | |
| 0.4 | -65.93% | -54.95% | -48.06% | -42.57% | -40.00% | -32.82% | -25.24% | -17.11% | -14.90% | ||
| 0.5 | -100.00% | -76.64% | -61.03% | -52.53% | -41.54% | -37.91% | -23.60% | -13.99% | |||
| 0.6 | -56.12% | -47.69% | -43.16% | -39.84% | -36.09% | -31.42% | -21.81% | -15.38% | -12.44% | ||
| 0.7 | -100.00% | -70.00% | -50.37% | -44.41% | -36.51% | -33.94% | -28.00% | -18.75% | -14.05% | -11.89% | |
| 0.8 | -59.84% | -43.87% | -39.94% | -36.17% | -31.56% | -30.42% | -25.13% | -17.34% | -12.17% | -10.00% | |
| 0.9 | -84.98% | -50.15% | -39.05% | -32.04% | -29.87% | -28.96% | -25.23% | -21.72% | -14.71% | -10.74% | -8.98% |
Here’s a chart of the above table
Options Performance Summary
After 1 week (4 days of trading due to market holiday on Monday) all of the Put options show a net gain. The biggest gains are in the shorter DTE periods and lower deltas
- The shortest expiration (7 Days) and smallest delta (-.2) put option showed the biggest gain at 242%.
- If you bought more time with a 1 year to expiration put option and a delta of -.2 you would have made a 20% gain on purchase price.
- If you bought more time with a 1 year to expiration put option and a delta of -.8 you would have made a 9% gain on purchase price.
- All of the calls lost money
- The shortest expiration call option lost 100% of its value in all but the .9 delta which lost 85%.
I will be keeping tabs on the options performance over the coming weeks, so stay tuned. Please subscribe to the blog to stay informed of new posts.
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Chris White
Founder and CEO, EdgeRater LLC