SLV Options History — December 2008

In December 2008, SLV traded between $9.70 and $11.29. ATM implied volatility averaged 61.3%. The 30-day expected move averaged 17.4%. IV traded above realized volatility by 14.4% (HV 20d: 46.8%). Max pain ranged from $9.00 to $11.00. Net GEX was positive for 13 of 17 trading days. Term structure was in contango for 7 of 17 days. Put/call ratio averaged 0.68.

Notable Days

  • 2008-12-31: Highest Volume — 4,277 contracts
  • 2008-12-31: Largest IV spike — 10.5% change
  • 2008-12-17: Largest Expected Move — 18.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$10.53$9.70$11.29$9.89$11.20
Max Pain$10.38$9.00$11.00$10.00$11.00
ATM IV61.3%53.6%67.4%62.2%59.3%
Expected Move17.4%15.4%18.9%17.7%17.0%
HV 20d46.8%46.7%46.9%46.9%46.7%
Term Structure-1.1%-6.6%6.8%-5.1%1.4%
VWIV62.3%56.0%68.7%61.7%58.8%
Skew 25d-1.8%-9.5%3.4%-8.0%3.1%
Skew 10d-4.0%-22.6%24.8%0.9%21.1%
Call IV 25d63.9%54.6%70.3%65.9%57.9%
Put IV 25d62.1%57.2%70.2%57.9%61.0%
Bid-Ask Spread %24.3613.1578.9378.9322.27
Gamma HHI0.350.210.840.490.25
Net GEX19.8K-97.9K111.8K097.6K
Net DEX-1.6M-5.2M179.2K0-5.2M
Net VEX-16.6K-34.6K00-34.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.680.082.540.980.69
Total Volume1,993.4122444,2773624,277
Total OI9,129.059019,729019,729

Daily Data (17 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2008-12-08$9.89$0.0062.2%17.7%0.0%0.0%61.7%-8.0%-5.1%0000.9878.9318317900
2008-12-09$9.70$10.0063.4%17.9%0.0%0.0%63.6%-0.2%-3.7%-37517.4K-9230.3721.1217866183179
2008-12-10$10.12$9.0067.4%17.4%0.0%0.0%61.0%-1.3%-4.4%441-61.7K-1.4K2.5424.075931,504357240
2008-12-11$10.20$9.0064.1%18.4%0.0%0.0%68.7%-6.0%-6.6%-80.0K142.4K-4.3K0.6626.566984638981,880
2008-12-12$10.14$10.0061.3%17.6%0.0%0.0%64.3%-9.5%-3.5%-97.9K179.2K-5.2K0.8527.215965061,4272,160
2008-12-15$10.55$10.0061.1%17.5%0.0%0.0%62.3%-0.4%-0.2%5.6K-494.5K-6.9K0.5618.111,2356942,0272,672
2008-12-16$11.03$10.0064.4%18.5%0.0%0.0%65.7%2.8%-4.7%24.6K-1.0M-9.9K0.1216.312,5533042,7463,288
2008-12-17$11.29$10.0066.0%18.9%0.0%0.0%66.5%0.6%-5.0%26.5K-2.6M-14.4K0.1722.743,4735754,7393,549
2008-12-18$10.84$10.0061.9%17.7%0.0%0.0%65.1%-1.6%-3.5%111.8K-2.6M-19.5K1.1922.361,0711,2796,8324,038
2008-12-19$10.67$11.0060.9%17.5%0.0%0.0%60.9%0.7%0.0%28.8K-1.8M-21.3K0.1024.101,1681177,1365,227
2008-12-22$10.73$11.0059.6%17.1%0.0%0.0%62.9%2.9%3.5%35.8K-2.1M-23.2K0.4423.488563797,3144,192
2008-12-23$10.16$11.0060.2%17.3%0.0%0.0%60.5%-4.5%2.0%26.0K-1.4M-24.0K1.0413.219159537,8584,558
2008-12-24$10.28$11.0058.2%16.7%0.0%0.0%60.7%-4.4%3.9%26.1K-1.6M-26.4K0.2217.11384868,4645,201
2008-12-26$10.64$11.0058.7%16.8%0.0%0.0%57.6%-2.9%-1.1%35.0K-2.4M-27.4K0.7519.051,7631,3168,7725,238
2008-12-29$10.77$11.0059.3%17.0%0.0%0.0%62.4%-5.8%1.3%30.4K-2.9M-30.2K0.0824.332,6212189,9766,282
2008-12-30$10.82$11.0053.6%15.4%46.9%0.0%56.0%3.4%6.8%66.7K-3.5M-32.1K0.7913.151,5041,18111,5386,494
2008-12-31$11.20$11.0059.3%17.0%46.7%0.0%58.8%3.1%1.4%97.6K-5.2M-34.6K0.6922.272,5251,75212,5157,214