SLV Options History — March 2009

In March 2009, SLV traded between $12.45 and $13.61. ATM implied volatility averaged 47.1%. The 30-day expected move averaged 13.8%. IV traded above realized volatility by 11.4% (HV 20d: 35.7%). Max pain ranged from $11.00 to $12.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.54.

Notable Days

  • 2009-03-20: Highest Volume — 96,899 contracts
  • 2009-03-12: Largest IV spike — 13.6% change
  • 2009-03-06: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.98$12.45$13.61$12.77$12.79
Max Pain$11.95$11.00$12.00$11.00$12.00
ATM IV47.1%41.9%51.4%49.5%45.4%
Expected Move13.8%12.0%15.6%14.2%13.0%
HV 20d35.7%31.2%39.6%36.5%32.4%
HV 60d39.0%36.7%41.1%41.1%36.7%
Term Structure2.4%-2.0%8.3%4.3%0.4%
VWIV48.7%43.2%54.8%50.8%44.4%
Skew 25d0.4%-3.7%3.9%2.2%-1.2%
Skew 10d-0.2%-10.2%5.8%1.6%1.1%
Call IV 25d49.6%44.1%56.9%51.4%44.1%
Put IV 25d50.0%42.9%56.6%53.5%42.9%
Bid-Ask Spread %10.696.4815.1912.077.27
Gamma HHI0.190.160.230.160.20
Net GEX2.1M1.6M2.7M1.9M1.6M
Net DEX-73.6M-119.3M-49.8M-60.9M-58.7M
Net VEX-530.6K-658.4K-434.2K-434.2K-611.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.161.320.540.32
Total Volume18,773.8644,73096,89928,0468,428
Total OI304,064230,580363,410230,580363,410

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-03-02$12.77$11.0049.5%14.2%36.5%0.0%50.8%2.2%4.3%1.9M-60.9M-434.2K0.5412.0718,1579,889171,03759,543
2009-03-03$12.65$12.0049.0%14.1%35.4%0.0%50.6%0.1%6.0%1.9M-57.2M-459.8K0.5310.918,8194,685182,91766,099
2009-03-04$12.78$12.0051.1%14.6%35.4%0.0%50.5%0.2%2.1%1.9M-64.0M-470.6K0.976.968,4268,201185,81068,269
2009-03-05$13.15$12.0046.6%13.4%36.6%0.0%45.4%-3.7%8.3%2.1M-78.3M-496.6K0.4310.858,2473,528189,35473,452
2009-03-06$13.18$12.0048.0%15.6%35.6%0.0%54.8%-0.3%-0.9%2.2M-84.6M-507.0K1.2115.198,2639,966194,62975,582
2009-03-09$12.77$12.0051.4%15.5%37.2%0.0%54.3%1.9%-2.0%1.9M-66.0M-491.4K0.4215.1912,2795,189198,94981,213
2009-03-10$12.45$12.0048.7%14.7%37.9%0.0%52.4%0.1%2.4%1.8M-49.8M-471.2K0.2411.2317,3074,082199,62582,961
2009-03-11$12.59$12.0044.9%14.8%37.4%0.0%52.7%3.9%0.1%1.8M-53.9M-476.9K0.4011.006,1212,449203,03884,032
2009-03-12$12.79$12.0051.0%14.6%36.4%0.0%52.0%-0.1%-0.1%2.1M-66.3M-483.9K0.2812.718,2692,355205,84583,945
2009-03-13$13.05$12.0049.8%14.3%37.2%0.0%50.3%2.6%1.2%2.4M-79.4M-494.5K0.4210.849,0123,791209,58183,434
2009-03-16$12.79$12.0048.2%13.8%37.3%0.0%50.2%2.9%2.2%2.3M-67.6M-470.8K0.789.275,0623,960212,98585,593
2009-03-17$12.60$12.0047.5%13.6%35.0%0.0%48.2%-0.5%-0.1%2.2M-57.2M-461.4K0.7211.723,9362,840213,94188,335
2009-03-18$12.77$12.0048.7%14.0%35.1%0.0%49.0%0.1%1.6%2.2M-64.7M-463.0K0.6212.6921,83113,511213,43889,931
2009-03-19$13.42$12.0049.1%14.1%39.6%0.0%50.5%0.4%2.6%2.7M-104.4M-502.4K0.2512.6732,2308,132217,88590,165
2009-03-20$13.61$12.0046.4%13.3%38.7%0.0%47.7%1.7%3.9%2.5M-119.3M-510.5K0.709.6357,05739,842223,43691,578
2009-03-23$13.46$12.0046.8%13.4%38.7%0.0%47.0%1.2%0.6%2.1M-87.9M-650.6K0.1612.6914,4902,384219,876113,729
2009-03-24$13.28$12.0043.9%12.6%34.4%0.0%44.4%1.0%4.4%2.0M-80.6M-641.8K1.328.604,9716,560227,903115,311
2009-03-25$13.35$12.0044.2%12.7%34.4%0.0%44.4%0.1%2.0%2.1M-85.8M-658.4K0.4310.616,1712,676230,891119,818
2009-03-26$13.35$12.0041.9%12.0%31.2%0.0%43.2%-0.7%4.3%2.2M-86.8M-649.8K0.559.764,6232,526234,094119,560
2009-03-27$13.15$12.0042.7%12.2%31.6%0.0%44.5%0.8%4.0%1.9M-84.2M-647.4K0.306.483,6511,079237,067120,994
2009-03-30$12.85$12.0042.2%12.1%32.6%0.0%43.4%-3.2%5.4%1.7M-62.2M-619.1K0.326.956,1031,927238,461121,692
2009-03-31$12.79$12.0045.4%13.0%32.4%0.0%44.4%-1.2%0.4%1.6M-58.7M-611.9K0.327.276,3882,040240,800122,610