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Snap Inc. SNAP

COMMUNICATION SERVICES · INTERNET CONTENT & INFORMATION
i

Market dataready · fetched 2026-11-03T18:48:40.290Z

Delta surfaceAlpaca · derived absolute-delta buckets · 2026-11-06

Calculation methodology

Options historyIV: ThetaData historical Greeks, equal-weight mean of call/put 50-delta IV across the next four listed Friday-cycle expirations, including holiday shifts verified against ThetaData’s market calendar. Missing inputs leave gaps. Skew: equal-weight mean of put minus call IV across those four expirations. IV-implied move history: mean of each expiration’s average call/put IV multiplied by the square root of remaining calendar days divided by 365.25; percentage of spot, not a quoted straddle premium.

History data

PriceAlpaca · sip · 2026-11-03T18:48:36.180198014Z

FundamentalsAlpha Vantage · ready · quarter 2026-06-30 · fetched 2026-11-03T18:48:39.517311+00:00

Share price$5.61
1D+1.7%
$5.42$5.48$5.54$5.59$5.655:30 AM6:30 AM9:00 AM1:00 PMSNAP
Sold putSold call

Snap Inc. options

Live interpolated SNAP call and put midpoint premiums by absolute delta.Snap Inc.$0.09$0.37$0.66$0.94$1.23$4.47$4.87$5.27$5.66$6.0620Δ25Δ30Δ35Δ40Δ45Δ50Δ55Δ60Δ65Δ70Δ75Δ80Δ20Δ C unavailable: no unambiguous, price-consistent delta bracketC —25Δ C unavailable: no unambiguous, price-consistent delta bracketC —OPTION PRICELive SNAP spot · $5.61SNAP PRICE$0.18$0.22$0.26$0.31$0.36$0.41$0.47$0.55$0.63$0.70$0.82$0.12$0.16$0.21$0.26$0.31$0.37$0.45$0.53$0.61$0.72$0.85$0.98$1.15
PutsExpensive4.35×
Calls——
Skew——
Implied moveBearish±$0.81
Tilt——
Table
Values and derived Greeks for the plotted delta buckets
DeltaCallsPuts
Pseudo strikeIVB/E movePseudo strikeIVB/E move
20Δ4.93184.9%14.2%
25Δ5.07186.2%12.4%
30Δ6.28194.8%15.1%5.20187.0%11.0%
35Δ6.12195.2%12.9%5.33187.8%9.7%
40Δ5.97195.2%10.9%5.45188.6%8.3%
45Δ5.84194.4%9.6%5.58189.8%7.2%
50Δ5.71193.6%8.2%5.71191.2%6.3%
55Δ5.58192.7%6.8%5.84192.7%5.4%
60Δ5.45191.7%5.6%5.96194.2%4.6%
65Δ5.33190.4%4.7%6.12195.1%3.8%
70Δ5.20189.1%3.8%6.29195.9%3.1%
75Δ5.07187.8%2.9%6.45196.6%2.4%
80Δ4.91189.3%2.1%6.66194.8%1.8%

20Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
4.93
IV
184.9%
B/E move
14.2%

25Δ

Calls
Pseudo strike
IV
B/E move
Puts
Pseudo strike
5.07
IV
186.2%
B/E move
12.4%

30Δ

Calls
Pseudo strike
6.28
IV
194.8%
B/E move
15.1%
Puts
Pseudo strike
5.20
IV
187.0%
B/E move
11.0%

35Δ

Calls
Pseudo strike
6.12
IV
195.2%
B/E move
12.9%
Puts
Pseudo strike
5.33
IV
187.8%
B/E move
9.7%

40Δ

Calls
Pseudo strike
5.97
IV
195.2%
B/E move
10.9%
Puts
Pseudo strike
5.45
IV
188.6%
B/E move
8.3%

45Δ

Calls
Pseudo strike
5.84
IV
194.4%
B/E move
9.6%
Puts
Pseudo strike
5.58
IV
189.8%
B/E move
7.2%

50Δ

Calls
Pseudo strike
5.71
IV
193.6%
B/E move
8.2%
Puts
Pseudo strike
5.71
IV
191.2%
B/E move
6.3%

55Δ

Calls
Pseudo strike
5.58
IV
192.7%
B/E move
6.8%
Puts
Pseudo strike
5.84
IV
192.7%
B/E move
5.4%

60Δ

Calls
Pseudo strike
5.45
IV
191.7%
B/E move
5.6%
Puts
Pseudo strike
5.96
IV
194.2%
B/E move
4.6%

65Δ

Calls
Pseudo strike
5.33
IV
190.4%
B/E move
4.7%
Puts
Pseudo strike
6.12
IV
195.1%
B/E move
3.8%

70Δ

Calls
Pseudo strike
5.20
IV
189.1%
B/E move
3.8%
Puts
Pseudo strike
6.29
IV
195.9%
B/E move
3.1%

75Δ

Calls
Pseudo strike
5.07
IV
187.8%
B/E move
2.9%
Puts
Pseudo strike
6.45
IV
196.6%
B/E move
2.4%

80Δ

Calls
Pseudo strike
4.91
IV
189.3%
B/E move
2.1%
Puts
Pseudo strike
6.66
IV
194.8%
B/E move
1.8%

Options history

IV · four-Friday blend109.35%
Daily close
SNAP36.7%120.8%204.8%2026-08-11: 63.53%2026-08-14: 48.34%2026-08-24: 102.85%2026-08-25: 66.70%2026-08-28: 133.98%2026-09-04: 53.78%2026-09-11: 71.06%2026-09-14: 58.80%2026-09-15: 64.69%2026-09-16: 193.24%2026-09-18: 52.77%2026-10-02: 94.30%2026-10-05: 80.48%2026-10-09: 57.85%2026-10-12: 82.45%2026-10-13: 73.34%2026-10-16: 77.97%2026-10-19: 83.09%2026-10-20: 108.38%2026-10-23: 88.76%2026-10-26: 91.55%2026-10-27: 127.89%2026-10-28: 147.03%2026-10-30: 109.35%Aug 11Oct 2Oct 30
24 observations2026-08-11 — 2026-10-30
Table
DateIV (%)
63.53%
48.34%
102.85%
66.70%
133.98%
53.78%
71.06%
58.80%
64.69%
193.24%
52.77%
94.30%
80.48%
57.85%
82.45%
73.34%
77.97%
83.09%
108.38%
88.76%
91.55%
127.89%
147.03%
109.35%