SLV Options History — May 2009

In May 2009, SLV traded between $12.31 and $15.47. ATM implied volatility averaged 35.7%. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 2.7% (HV 20d: 32.9%). Max pain ranged from $12.00 to $13.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.54.

Notable Days

  • 2009-05-29: Highest Volume — 338,803 contracts
  • 2009-05-08: Largest IV drop — 11.9% change
  • 2009-05-07: Largest Expected Move — 11.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.91$12.31$15.47$12.31$15.47
Max Pain$12.75$12.00$13.00$12.00$13.00
ATM IV35.7%32.0%38.0%36.2%36.5%
Expected Move10.5%9.2%11.6%10.4%10.5%
HV 20d32.9%25.2%40.7%38.1%25.2%
HV 60d34.4%32.3%36.0%34.8%33.2%
Term Structure1.7%-0.2%3.4%2.7%1.4%
VWIV36.5%31.0%40.8%36.2%36.7%
Skew 25d-0.9%-7.0%4.2%-7.0%-1.9%
Skew 10d-1.6%-8.9%8.7%-4.1%-8.0%
Call IV 25d37.4%33.0%41.6%37.2%40.3%
Put IV 25d36.6%30.2%41.2%30.2%38.5%
Bid-Ask Spread %12.9210.4217.2711.4313.90
Gamma HHI0.180.150.220.180.16
Net GEX2.9M1.5M4.4M1.5M4.4M
Net DEX-114.4M-204.1M-45.0M-45.0M-204.1M
Net VEX-604.3K-881.6K-484.9K-554.3K-881.6K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.061.380.610.55
Total Volume34,669.755,223338,8035,223338,803
Total OI354,908.6308,184429,870325,433429,870

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-05-01$12.31$12.0036.2%10.4%38.1%0.0%36.2%-7.0%2.7%1.5M-45.0M-554.3K0.6111.433,2421,981212,472112,961
2009-05-04$12.83$12.0038.0%11.4%40.7%0.0%39.7%-1.4%3.4%2.1M-67.6M-537.5K0.2116.8710,0232,109212,674113,245
2009-05-05$13.14$12.0036.8%11.6%35.9%0.0%40.8%0.5%0.8%2.5M-85.8M-539.0K0.5215.8712,5616,554214,964113,535
2009-05-06$13.52$12.0035.9%11.6%36.9%0.0%40.0%-1.0%3.0%2.8M-106.2M-552.6K0.7413.0710,3467,606218,469115,988
2009-05-07$13.60$12.0037.6%11.6%36.9%0.0%40.2%-0.8%0.6%2.8M-112.8M-574.9K1.3813.686,6979,236222,158118,875
2009-05-08$13.79$13.0033.1%10.9%37.0%0.0%37.6%-0.2%1.7%2.9M-121.6M-570.5K0.9812.665,4745,350223,844125,288
2009-05-11$13.74$13.0036.5%11.0%35.8%0.0%37.7%-1.5%1.9%3.1M-115.8M-549.7K0.9313.125,6475,268224,641125,985
2009-05-12$14.02$13.0036.2%10.4%36.1%0.0%36.9%0.3%2.6%3.1M-133.2M-548.7K0.8610.524,9024,208226,951130,949
2009-05-13$13.81$13.0037.7%10.5%36.8%0.0%36.5%0.3%-0.2%3.0M-118.0M-541.1K0.2215.9618,2504,088227,195132,776
2009-05-14$13.85$13.0035.1%10.1%32.9%0.0%35.2%0.1%0.0%3.2M-118.8M-522.8K0.4611.618,3413,797226,007133,165
2009-05-15$13.77$13.0033.4%9.6%29.9%0.0%34.3%-1.8%3.4%2.6M-108.0M-511.1K0.5711.206,8723,919217,940132,572
2009-05-18$13.58$13.0034.0%9.7%30.7%0.0%32.6%-1.1%1.2%2.0M-71.2M-496.0K0.3512.595,3201,849194,017114,167
2009-05-19$13.98$13.0034.0%9.7%31.5%0.0%34.5%-0.9%0.6%2.4M-92.3M-484.9K0.6410.929,4746,049196,503114,055
2009-05-20$14.10$13.0032.0%9.2%31.0%0.0%31.0%1.3%2.8%2.6M-96.7M-485.2K0.4011.5214,3985,825201,861118,808
2009-05-21$14.34$13.0034.6%9.9%29.7%0.0%35.6%-1.3%1.6%2.9M-112.6M-515.7K0.6911.3435,51024,434208,845123,304
2009-05-22$14.50$13.0036.3%10.4%29.8%0.0%34.5%4.2%1.9%3.2M-125.3M-721.6K0.0611.6043,4002,724234,189142,877
2009-05-26$14.42$13.0036.4%10.4%30.0%0.0%37.1%-3.8%0.8%3.6M-132.9M-793.7K0.1410.4217,4542,427258,170144,546
2009-05-27$14.58$13.0036.4%10.4%26.9%0.0%36.7%-0.9%1.7%3.8M-147.2M-842.0K0.1912.7614,3252,769267,276145,638
2009-05-28$14.93$13.0036.6%10.5%27.1%0.0%36.1%-0.9%2.4%4.0M-173.5M-862.2K0.2917.2717,2044,959273,977147,415
2009-05-29$15.47$13.0036.5%10.5%25.2%0.0%36.7%-1.9%1.4%4.4M-204.1M-881.6K0.5513.90218,566120,237279,581150,289