SLV Options History — January 2009 In January 2009, SLV traded between $10.45 and $12.52. ATM implied volatility averaged 51.5%. The 30-day expected move averaged 15.1%. IV traded above realized volatility by 6.1% (HV 20d: 45.4%). 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 14 of 20 days. Put/call ratio averaged 0.49.
Notable Days 2009-01-23 : Highest Volume — 20,600 contracts2009-01-12 : Largest IV spike — 19.8% change2009-01-05 : Largest Expected Move — 18.3%Monthly Statistics Metric Avg Min Max Open Close Price $11.29 $10.45 $12.52 $11.41 $12.52 Max Pain $10.25 $10.00 $11.00 $11.00 $11.00 ATM IV 51.5% 45.8% 62.3% 58.2% 49.4% Expected Move 15.1% 13.1% 18.3% 16.7% 14.2% HV 20d 45.4% 42.0% 49.3% 45.4% 42.3% Term Structure 1.7% -4.1% 5.9% 3.2% 2.1% VWIV 53.8% 46.2% 63.7% 58.1% 49.8% Skew 25d -0.9% -7.9% 6.3% 6.3% -0.7% Skew 10d -0.2% -16.7% 24.3% 8.8% 7.9% Call IV 25d 54.9% 48.0% 64.4% 55.1% 51.3% Put IV 25d 54.0% 46.6% 66.2% 61.4% 50.7% Bid-Ask Spread % 17.08 10.83 23.31 12.33 12.43 Gamma HHI 0.28 0.20 0.60 0.30 0.24 Net GEX 437.2K 101.6K 1.2M 119.9K 1.2M Net DEX -14.6M -43.7M -4.6M -6.2M -43.7M Net VEX -97.1K -203.4K -36.2K -36.2K -203.4K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.10 1.58 0.65 0.30 Total Volume 7,741.4 1,573 20,600 2,784 10,223 Total OI 55,250 21,962 106,856 21,962 106,856
Daily Data (20 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 2009-01-02 $11.41 $11.00 58.2% 16.7% 45.4% 0.0% 58.1% 6.3% 3.2% 119.9K -6.2M -36.2K 0.65 12.33 1,687 1,097 13,897 8,065 2009-01-05 $11.11 $11.00 62.3% 18.3% 46.0% 0.0% 63.7% 1.8% -2.6% 101.6K -5.2M -38.3K 0.12 16.55 5,016 618 14,731 8,884 2009-01-06 $11.34 $10.00 52.2% 17.3% 45.0% 0.0% 58.9% 0.4% -0.8% 212.6K -8.5M -43.3K 0.36 13.60 3,243 1,175 18,484 9,294 2009-01-07 $10.86 $10.00 54.8% 16.8% 47.3% 0.0% 59.2% -7.9% 1.0% 211.5K -6.7M -46.6K 0.93 14.46 5,085 4,723 20,641 9,744 2009-01-08 $10.99 $10.00 50.8% 16.3% 46.5% 0.0% 58.2% -4.1% 1.6% 238.9K -8.1M -65.0K 0.30 16.70 1,209 364 24,860 14,032 2009-01-09 $11.10 $10.00 49.3% 15.6% 44.5% 0.0% 55.7% -3.3% 3.2% 286.2K -9.2M -65.9K 0.31 19.12 5,837 1,800 25,623 14,196 2009-01-12 $10.50 $10.00 59.1% 16.1% 49.3% 0.0% 55.7% -2.9% -4.1% 214.8K -4.9M -70.8K 0.58 21.96 3,600 2,104 29,716 15,789 2009-01-13 $10.60 $10.00 55.4% 15.5% 49.3% 0.0% 54.6% -0.0% 1.7% 273.5K -6.4M -78.2K 0.74 18.73 1,597 1,187 31,717 17,557 2009-01-14 $10.45 $10.00 49.5% 15.7% 47.6% 0.0% 53.0% 0.9% -2.0% 205.9K -4.6M -79.8K 0.82 21.60 1,331 1,097 32,698 18,178 2009-01-15 $10.49 $10.00 50.5% 14.5% 44.6% 0.0% 53.0% -4.2% 2.6% 184.5K -4.8M -79.0K 0.28 19.16 1,953 552 32,792 18,454 2009-01-16 $11.11 $10.00 49.4% 14.2% 48.7% 0.0% 51.6% -2.4% 5.0% 721.2K -13.2M -82.1K 0.39 19.14 6,279 2,423 33,218 18,237 2009-01-20 $11.09 $10.00 51.6% 14.8% 46.4% 0.0% 55.3% 2.7% -0.7% 237.3K -10.2M -84.4K 0.24 19.45 11,505 2,745 27,957 15,644 2009-01-21 $11.18 $10.00 50.1% 14.4% 46.0% 0.0% 52.3% 3.8% 0.6% 325.4K -11.0M -97.1K 1.00 23.31 1,886 1,884 35,695 17,842 2009-01-22 $11.33 $10.00 49.0% 14.1% 46.1% 0.0% 49.1% 3.7% -0.0% 353.1K -12.1M -99.2K 0.33 17.15 3,305 1,089 36,606 19,092 2009-01-23 $11.85 $10.00 49.1% 14.1% 43.1% 0.0% 51.1% -2.0% 4.0% 423.9K -18.3M -106.8K 0.10 16.22 18,745 1,855 39,302 19,878 2009-01-26 $11.90 $10.00 49.0% 14.0% 43.1% 0.0% 51.5% -6.0% 4.6% 645.7K -26.4M -139.2K 0.23 10.83 16,777 3,789 53,283 21,359 2009-01-27 $11.85 $10.00 48.9% 14.0% 42.1% 0.0% 48.4% 0.3% 5.2% 853.0K -28.4M -171.8K 0.20 18.11 4,392 894 66,657 24,252 2009-01-28 $11.86 $11.00 45.8% 13.1% 42.0% 0.0% 46.2% -1.3% 5.9% 922.8K -28.7M -173.3K 1.58 12.37 2,156 3,398 68,955 24,736 2009-01-29 $12.26 $11.00 46.6% 13.4% 43.2% 0.0% 50.2% -2.8% 4.6% 995.8K -35.6M -180.9K 0.28 18.36 12,645 3,563 69,834 26,245 2009-01-30 $12.52 $11.00 49.4% 14.2% 42.3% 0.0% 49.8% -0.7% 2.1% 1.2M -43.7M -203.4K 0.30 12.43 7,853 2,370 78,353 28,503
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