SLV Options History — August 2009

In August 2009, SLV traded between $13.57 and $14.79. ATM implied volatility averaged 35.2%, placing in the 36.0% IV rank vs the trailing year. The 30-day expected move averaged 10.3%. IV traded above realized volatility by 4.9% (HV 20d: 30.3%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 1.35.

Notable Days

  • 2009-08-28: Highest Volume — 108,172 contracts
  • 2009-08-13: Largest IV spike — 19.0% change
  • 2009-08-19: Highest IV Rank — 42.3%
  • 2009-08-19: Largest Expected Move — 11.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$14.16$13.57$14.79$14.03$14.62
Max Pain$13.81$13.00$14.00$13.00$14.00
ATM IV35.2%29.3%38.4%29.3%35.5%
Expected Move10.3%8.4%11.0%8.4%10.2%
HV 20d30.3%25.6%35.0%27.0%30.0%
HV 60d32.1%29.9%33.6%31.6%29.9%
IV Rank36.0%24.3%42.3%24.3%36.6%
IV Percentile23.8%1.8%40.0%1.8%24.0%
Term Structure1.4%-0.0%3.5%3.5%1.7%
VWIV36.3%30.2%41.7%30.2%35.9%
Skew 25d1.8%-1.8%6.3%-0.5%3.7%
Skew 10d4.4%-7.7%21.7%5.9%12.8%
Call IV 25d36.0%31.1%39.8%31.1%34.5%
Put IV 25d37.8%30.6%40.8%30.6%38.1%
Bid-Ask Spread %12.616.3617.7416.706.36
Gamma HHI0.170.140.200.160.18
Net GEX3.1M75.8K6.2M5.1M2.8M
Net DEX-132.2M-222.7M-36.6M-153.4M-164.6M
Net VEX-2.2M-2.3M-2.1M-2.1M-2.1M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.350.436.010.451.76
Total Volume25,469.4767,344108,17225,88114,573
Total OI905,041.905807,959965,749807,959942,345

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-08-03$14.03$13.0029.3%8.4%27.0%24.3%30.2%-0.5%3.5%5.1M-153.4M-2.1M0.4516.7017,8718,010540,312267,647
2009-08-04$14.35$13.0034.0%9.7%26.8%33.6%33.5%5.0%0.0%5.6M-187.1M-2.1M0.789.7723,81118,545543,666271,026
2009-08-05$14.52$13.0032.8%9.4%25.7%31.2%34.0%2.0%2.5%6.2M-211.0M-2.2M0.639.948,4675,296556,420280,254
2009-08-06$14.32$13.0035.1%10.1%26.6%35.9%34.6%6.3%1.9%5.9M-192.9M-2.2M2.4114.1015,05136,282554,842280,174
2009-08-07$14.39$14.0033.5%10.9%25.6%32.6%39.8%0.1%0.3%5.1M-184.0M-2.2M2.9516.786,77820,007559,795310,241
2009-08-10$14.15$14.0033.9%10.6%26.8%33.3%36.5%-1.8%-0.0%3.7M-146.3M-2.2M1.1117.745,8536,493559,717325,448
2009-08-11$14.09$14.0033.1%10.4%27.0%31.9%36.2%-0.9%0.3%3.5M-132.9M-2.2M0.9913.073,6903,654561,030328,185
2009-08-12$14.34$14.0031.9%9.8%26.3%29.4%34.7%-0.8%2.6%4.3M-165.2M-2.2M0.5117.026,7763,422561,570330,735
2009-08-13$14.79$14.0038.0%10.9%27.9%41.5%41.7%1.7%1.0%5.7M-222.7M-2.2M6.0112.949,72058,461564,180332,162
2009-08-14$14.43$14.0037.3%10.7%29.9%40.2%37.3%-1.5%1.4%3.6M-170.8M-2.3M1.4016.468,19211,452566,064379,747
2009-08-17$13.75$14.0037.9%10.9%34.6%41.3%39.1%2.1%1.1%740.4K-72.0M-2.2M1.3415.567,4199,952568,217388,218
2009-08-18$13.72$14.0037.6%10.8%34.4%40.8%38.7%1.1%0.9%720.2K-63.4M-2.1M0.6115.949,1215,558569,984388,394
2009-08-19$13.57$14.0038.4%11.0%34.6%42.3%38.3%-0.1%1.3%75.8K-36.6M-2.1M0.5910.469,5585,663571,658389,375
2009-08-20$13.70$14.0036.2%10.4%34.7%38.0%37.2%0.9%3.3%616.7K-66.3M-2.2M0.7615.375,9504,521574,504391,245
2009-08-21$13.92$14.0036.5%10.5%35.0%38.7%37.6%0.5%0.6%4.5M-83.3M-2.1M0.578.1811,3576,441571,562389,675
2009-08-24$13.90$14.0035.2%10.1%34.7%36.0%36.0%3.0%1.8%305.3K-74.0M-2.1M0.438.3715,9616,804539,061364,116
2009-08-25$14.04$14.0034.1%9.8%33.7%33.8%34.6%3.5%3.1%941.3K-96.6M-2.1M0.528.606,8513,572546,920366,244
2009-08-26$14.09$14.0035.6%10.2%31.5%36.7%36.2%4.4%1.3%958.4K-98.9M-2.1M0.729.266,9224,950549,326368,644
2009-08-27$14.08$14.0035.5%10.2%31.4%36.5%35.2%4.1%1.0%986.6K-97.7M-2.1M0.818.737,5516,132552,593371,263
2009-08-28$14.50$14.0037.7%10.8%30.9%40.9%35.2%5.3%0.2%2.7M-157.4M-2.1M2.9013.5327,70980,463556,508372,813
2009-08-31$14.62$14.0035.5%10.2%30.0%36.6%35.9%3.7%1.7%2.8M-164.6M-2.1M1.766.365,2719,302552,346389,999