SLV Options History — April 2009

In April 2009, SLV traded between $11.68 and $12.84. ATM implied volatility averaged 41.9%. The 30-day expected move averaged 12.3%. IV traded above realized volatility by 8.1% (HV 20d: 33.7%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.58.

Notable Days

  • 2009-04-17: Highest Volume — 42,295 contracts
  • 2009-04-06: Largest IV spike — 18.2% change
  • 2009-04-06: Largest Expected Move — 14.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$12.32$11.68$12.84$12.84$12.21
Max Pain$12.10$12.00$13.00$12.00$12.00
ATM IV41.9%36.3%46.3%42.3%38.7%
Expected Move12.3%10.4%14.5%12.1%11.1%
HV 20d33.7%30.5%37.9%32.2%37.9%
HV 60d35.0%33.3%36.8%36.3%34.8%
Term Structure2.1%-0.7%4.7%4.7%-0.4%
VWIV43.5%37.0%50.8%42.7%39.0%
Skew 25d0.2%-2.2%3.3%-1.1%3.3%
Skew 10d5.6%-14.9%22.2%22.2%16.5%
Call IV 25d44.1%38.0%51.9%43.3%38.5%
Put IV 25d44.3%38.2%51.1%42.2%41.8%
Bid-Ask Spread %13.458.6524.5510.3713.71
Gamma HHI0.160.120.210.210.19
Net GEX1.1M-58.7K1.9M1.7M1.4M
Net DEX-38.0M-61.8M9.3M-61.8M-36.8M
Net VEX-556.2K-621.9K-480.3K-621.9K-531.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.061.330.190.46
Total Volume12,729.0953,63642,29512,01110,521
Total OI352,674.619275,575400,584367,214322,513

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-04-01$12.84$12.0042.3%12.1%32.2%0.0%42.7%-1.1%4.7%1.7M-61.8M-621.9K0.1910.3710,1071,904243,792123,422
2009-04-02$12.77$12.0043.4%12.4%30.5%0.0%44.0%2.7%3.6%1.8M-59.8M-620.0K0.698.655,7103,952249,570124,797
2009-04-03$12.60$13.0039.0%13.4%30.8%0.0%47.6%0.5%2.4%1.5M-51.7M-613.2K1.1224.553,1193,482252,478126,880
2009-04-06$11.94$13.0046.1%14.5%34.4%0.0%50.8%-0.9%0.0%1.0M-19.4M-575.6K0.5512.8815,4688,520252,997129,643
2009-04-07$12.07$12.0046.1%13.9%33.7%0.0%49.3%-0.5%1.0%893.8K-21.7M-568.7K0.7412.847,2425,376254,071133,436
2009-04-08$12.14$12.0041.8%13.3%33.5%0.0%46.8%1.1%2.4%686.1K-24.5M-583.1K0.7121.655,0043,562257,063135,011
2009-04-09$12.17$12.0046.3%13.3%32.9%0.0%46.9%-1.3%1.0%698.9K-26.5M-572.6K0.2915.846,8861,968259,957135,827
2009-04-13$12.57$12.0045.9%13.2%34.2%0.0%47.0%-1.6%2.8%536.1K-50.9M-572.2K0.7712.054,7143,642263,877136,513
2009-04-14$12.54$12.0045.5%13.0%33.6%0.0%47.4%3.3%2.1%441.1K-44.4M-558.8K1.3317.933,4934,638261,722136,647
2009-04-15$12.55$12.0043.8%12.6%33.1%0.0%44.8%-1.2%3.6%505.3K-49.1M-552.2K1.0115.031,8051,831262,798137,243
2009-04-16$12.06$12.0041.7%12.0%35.5%0.0%43.1%-1.8%3.7%-58.7K-13.3M-507.4K1.2813.475,6647,248261,980138,604
2009-04-17$11.68$12.0042.2%12.1%31.1%0.0%43.4%0.2%2.0%242.2K9.3M-480.3K0.368.8331,05611,239261,401136,827
2009-04-20$11.89$12.0042.1%12.1%31.5%0.0%42.2%0.7%-0.7%778.0K-21.4M-502.6K0.2212.0514,2463,065180,13795,438
2009-04-21$11.86$12.0040.9%11.7%31.4%0.0%41.5%-2.2%1.9%906.2K-24.3M-516.1K0.0611.3712,436764187,47197,039
2009-04-22$12.13$12.0040.2%11.5%32.9%0.0%41.0%-1.2%1.7%1.1M-33.7M-525.9K0.3711.1113,4374,975193,74697,799
2009-04-23$12.54$12.0040.6%11.6%35.4%0.0%40.6%-0.5%0.7%1.4M-53.0M-551.0K0.1710.5211,3621,910194,729101,769
2009-04-24$12.67$12.0039.3%11.3%35.7%0.0%40.1%1.8%3.0%1.7M-58.7M-552.7K0.5412.8414,5597,911199,974102,536
2009-04-27$12.66$12.0038.8%11.1%35.4%0.0%39.1%2.2%1.5%1.9M-57.6M-557.2K0.3513.024,5261,603208,252108,691
2009-04-28$12.30$12.0037.9%10.9%35.9%0.0%38.9%2.8%3.2%1.5M-44.4M-560.1K0.7010.052,4031,682209,497109,595
2009-04-29$12.55$12.0036.3%10.4%36.8%0.0%37.0%-1.2%3.2%1.8M-55.0M-555.8K0.3213.793,2531,028209,896110,529
2009-04-30$12.21$12.0038.7%11.1%37.9%0.0%39.0%3.3%-0.4%1.4M-36.8M-531.9K0.4613.717,1943,327211,442111,071