SLV Options History — June 2009 In June 2009, SLV traded between $13.38 and $15.75. ATM implied volatility averaged 37.5%, placing in the 14.6% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 0.9% (HV 20d: 36.5%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 19 of 22 days. Put/call ratio averaged 0.49.
Notable Days 2009-06-19 : Highest Volume — 56,869 contracts2009-06-25 : Largest IV drop — 8.8% change2009-06-15 : Highest IV Rank — 23.4%2009-06-10 : Largest Expected Move — 11.9%Monthly Statistics Metric Avg Min Max Open Close Price $14.41 $13.38 $15.75 $15.35 $13.38 Max Pain $13.86 $13.00 $14.00 $13.00 $14.00 ATM IV 37.5% 33.1% 40.3% 37.5% 33.6% Expected Move 10.9% 9.5% 11.9% 10.7% 9.6% HV 20d 36.5% 24.2% 42.2% 26.1% 36.7% HV 60d 35.0% 32.8% 36.2% 32.8% 36.1% IV Rank 14.6% 3.0% 23.4% 16.3% 4.4% IV Percentile 16.0% 0.7% 29.5% 19.0% 3.6% Term Structure 1.6% -0.6% 4.5% -0.6% -0.4% VWIV 38.7% 33.6% 42.3% 38.4% 33.6% Skew 25d -1.2% -4.6% 5.2% 0.1% 5.2% Skew 10d 0.1% -8.7% 17.2% -6.3% 17.2% Call IV 25d 39.9% 31.9% 44.2% 39.6% 31.9% Put IV 25d 38.8% 35.2% 41.5% 39.6% 37.1% Bid-Ask Spread % 8.28 5.85 13.54 13.17 5.85 Gamma HHI 0.14 0.13 0.21 0.14 0.14 Net GEX 4.5M 2.9M 6.7M 5.6M 2.9M Net DEX -186.3M -325.6M -71.1M -282.4M -71.1M Net VEX -2.2M -2.3M -2.1M -2.1M -2.1M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.49 0.12 1.64 0.25 1.40 Total Volume 26,318.955 6,257 56,869 35,931 25,548 Total OI 830,049.955 729,459 879,481 729,459 854,963
Daily Data (22 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 2009-06-01 $15.35 $13.00 37.5% 10.7% 26.1% 0.0% 38.4% 0.1% -0.6% 5.6M -282.4M -2.1M 0.25 13.17 28,830 7,101 462,282 267,177 2009-06-02 $15.75 $13.00 40.0% 11.5% 24.2% 0.0% 38.1% -1.6% 1.1% 6.1M -324.1M -2.2M 0.13 13.23 39,465 5,228 475,967 272,293 2009-06-03 $15.14 $13.00 38.3% 11.0% 29.4% 0.0% 38.7% -2.5% -0.3% 6.0M -270.7M -2.2M 0.45 11.23 26,320 11,737 496,567 275,499 2009-06-04 $15.63 $14.00 39.8% 11.4% 29.7% 0.0% 40.4% -2.0% 0.6% 6.2M -325.6M -2.3M 1.64 13.54 19,575 32,074 505,990 282,481 2009-06-05 $15.01 $14.00 37.0% 11.5% 34.2% 0.0% 40.8% -2.9% 2.4% 4.8M -253.6M -2.3M 0.24 8.94 20,797 4,912 512,970 307,686 2009-06-08 $14.76 $14.00 37.3% 11.6% 34.9% 0.0% 41.2% -3.6% 3.2% 4.6M -222.8M -2.3M 0.30 7.39 18,550 5,492 516,657 309,872 2009-06-09 $15.03 $14.00 36.0% 11.7% 35.1% 0.0% 40.4% -2.6% 1.0% 5.2M -256.7M -2.3M 0.33 7.52 9,899 3,275 523,284 311,012 2009-06-10 $15.01 $14.00 37.8% 11.9% 34.7% 16.3% 39.5% -0.3% 0.5% 5.2M -251.3M -2.3M 0.12 9.20 15,422 1,792 525,453 312,222 2009-06-11 $15.13 $14.00 39.7% 11.4% 34.0% 21.7% 40.6% 0.2% 1.7% 5.4M -268.5M -2.3M 0.81 10.42 14,749 12,008 527,663 312,676 2009-06-12 $14.63 $14.00 39.7% 11.4% 36.6% 21.6% 40.0% -2.3% 3.1% 4.9M -214.5M -2.3M 0.62 6.58 17,685 10,980 533,218 311,108 2009-06-15 $13.83 $14.00 40.3% 11.6% 42.2% 23.4% 41.4% -4.6% 2.5% 3.7M -130.1M -2.1M 0.42 7.01 34,710 14,510 539,835 311,546 2009-06-16 $13.99 $14.00 40.1% 11.5% 42.0% 22.7% 42.3% -2.3% 3.0% 3.9M -144.0M -2.2M 0.30 6.33 14,664 4,403 548,639 318,324 2009-06-17 $14.12 $14.00 38.9% 11.2% 40.8% 19.4% 40.9% -4.3% 4.5% 4.3M -161.2M -2.3M 0.76 6.60 10,126 7,677 554,878 320,127 2009-06-18 $13.97 $14.00 39.1% 11.2% 40.9% 19.8% 39.6% -3.0% 2.4% 4.1M -146.1M -2.2M 1.08 7.49 6,487 7,005 556,527 322,954 2009-06-19 $13.99 $14.00 37.3% 10.7% 40.4% 14.9% 37.8% 0.4% 1.4% 6.7M -133.3M -2.1M 0.61 7.41 35,403 21,466 553,127 323,642 2009-06-22 $13.54 $14.00 37.0% 10.6% 41.6% 14.0% 37.2% -2.0% 2.3% 2.9M -91.7M -2.1M 0.24 6.62 18,636 4,480 531,173 293,858 2009-06-23 $13.62 $14.00 35.9% 10.3% 41.7% 11.0% 35.1% -0.9% 1.0% 3.2M -98.8M -2.1M 0.24 6.59 10,553 2,530 536,562 295,892 2009-06-24 $13.68 $14.00 36.8% 10.5% 41.5% 13.4% 39.0% -0.7% 0.4% 3.5M -104.7M -2.1M 0.14 6.84 13,135 1,814 540,080 295,964 2009-06-25 $13.81 $14.00 33.6% 9.6% 40.6% 4.3% 35.9% -0.1% 2.3% 3.5M -117.7M -2.2M 0.16 7.11 6,454 1,011 541,895 296,962 2009-06-26 $13.90 $14.00 35.4% 10.2% 38.1% 9.6% 35.6% 2.2% 0.5% 3.8M -124.2M -2.1M 0.22 6.74 5,114 1,143 542,549 297,377 2009-06-29 $13.66 $14.00 33.1% 9.5% 38.3% 3.0% 34.6% 2.4% 1.8% 3.3M -105.5M -2.1M 0.32 6.43 19,956 6,301 544,261 297,887 2009-06-30 $13.38 $14.00 33.6% 9.6% 36.7% 4.4% 33.6% 5.2% -0.4% 2.9M -71.1M -2.1M 1.40 5.85 10,627 14,921 552,666 302,297
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