SLV Options History — September 2009

In September 2009, SLV traded between $14.76 and $17.14. ATM implied volatility averaged 39.3%, placing in the 44.0% IV rank vs the trailing year. The 30-day expected move averaged 11.3%. IV traded above realized volatility by 10.0% (HV 20d: 29.2%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.63.

Notable Days

  • 2009-09-03: Highest Volume — 113,125 contracts
  • 2009-09-08: Largest IV spike — 15.2% change
  • 2009-09-08: Highest IV Rank — 52.3%
  • 2009-09-16: Largest Expected Move — 12.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.22$14.76$17.14$14.76$16.38
Max Pain$14.57$14.00$15.00$14.00$15.00
ATM IV39.3%33.5%43.4%36.3%34.3%
Expected Move11.3%9.6%12.2%10.4%9.8%
HV 20d29.2%22.7%33.2%29.2%32.4%
HV 60d29.2%28.1%31.4%29.8%29.2%
IV Rank44.0%32.6%52.3%38.1%34.3%
IV Percentile42.8%12.8%57.7%28.8%19.1%
Term Structure0.5%-1.4%2.9%2.0%1.6%
VWIV39.7%33.9%43.8%36.5%34.2%
Skew 25d-1.4%-5.5%3.3%3.3%0.1%
Skew 10d-1.5%-16.0%16.5%16.5%3.0%
Call IV 25d41.2%34.5%45.2%35.7%34.5%
Put IV 25d39.8%32.3%43.7%39.0%34.5%
Bid-Ask Spread %8.053.8615.7415.743.86
Gamma HHI0.170.150.200.170.17
Net GEX8.7M3.2M12.4M3.2M12.4M
Net DEX-390.0M-525.4M-178.6M-178.6M-458.2M
Net VEX-2.2M-2.4M-2.0M-2.2M-2.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.630.053.083.081.36
Total Volume39,900.04812,658113,12550,53830,581
Total OI988,880.048907,6371,056,047951,1011,056,047

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2009-09-01$14.76$14.0036.3%10.4%29.2%38.1%36.5%3.3%2.0%3.2M-178.6M-2.2M3.0815.7412,37238,166553,791397,310
2009-09-02$15.22$14.0038.8%11.1%30.8%43.0%39.9%1.3%0.8%4.8M-246.3M-2.2M0.569.9524,53513,635558,046407,951
2009-09-03$15.87$14.0040.2%11.5%33.2%45.9%39.9%-0.5%1.3%6.5M-345.8M-2.2M1.6710.3242,37470,751566,921414,392
2009-09-04$15.97$14.0037.7%11.8%33.2%40.9%41.9%-1.4%-0.9%7.2M-378.5M-2.2M0.277.1622,6876,126578,276411,538
2009-09-08$16.15$14.0043.4%11.9%32.2%52.3%42.5%-3.2%-0.4%8.4M-394.9M-2.2M0.297.7229,0978,533581,163410,233
2009-09-09$16.06$14.0040.0%11.6%32.2%45.5%41.5%-3.2%0.9%8.6M-382.9M-2.1M0.338.2925,5878,321582,932413,905
2009-09-10$16.41$14.0041.3%11.8%32.5%48.0%40.2%-0.1%-0.5%9.0M-417.6M-2.1M0.237.7618,0354,070580,540417,397
2009-09-11$16.50$14.0041.8%12.0%31.2%49.1%42.7%-0.8%0.3%9.4M-440.5M-2.1M0.058.2579,8344,038587,818419,152
2009-09-14$16.31$14.0041.4%11.9%29.8%48.4%41.5%-2.1%-0.1%9.2M-413.8M-2.1M0.686.7114,70210,053589,307419,787
2009-09-15$16.78$15.0041.7%11.9%22.9%48.9%41.8%-3.4%-1.4%10.5M-474.9M-2.1M0.296.9518,8635,473591,717424,407
2009-09-16$17.14$15.0042.7%12.2%22.7%50.9%43.1%-2.1%-0.9%10.8M-525.4M-2.0M0.329.1221,9406,915594,567426,761
2009-09-17$16.95$15.0041.2%11.8%22.8%47.9%41.7%-2.6%0.8%10.6M-500.3M-2.1M0.1310.6846,5116,276594,386430,924
2009-09-18$16.70$15.0042.4%12.1%24.6%50.2%43.8%1.2%-0.8%9.5M-458.2M-2.0M1.088.6713,93715,004596,966429,761
2009-09-21$16.54$15.0040.0%11.5%25.4%45.4%41.2%-2.6%1.0%8.0M-386.6M-2.0M0.246.5619,9034,829554,082353,555
2009-09-22$16.88$15.0039.4%11.3%25.4%44.3%40.2%0.1%0.5%8.9M-419.3M-2.1M0.448.3411,2114,903560,134355,831
2009-09-23$16.54$15.0038.7%11.1%27.6%43.0%38.5%-1.1%0.0%8.5M-384.3M-2.0M0.669.0411,7837,807564,278359,810
2009-09-24$15.99$15.0036.7%10.5%31.3%38.9%36.7%-2.7%1.9%7.6M-317.5M-2.0M0.146.6689,80212,410567,173359,678
2009-09-25$15.74$15.0037.2%10.7%32.2%39.9%36.3%-3.3%0.7%9.2M-335.8M-2.4M0.565.6910,2265,745645,278368,237
2009-09-28$15.91$15.0036.0%10.3%31.1%37.6%36.4%-1.7%0.9%9.9M-362.4M-2.3M0.485.378,5584,100647,802368,950
2009-09-29$15.89$15.0033.5%9.6%31.1%32.6%33.9%-5.5%2.9%10.7M-368.3M-2.2M0.286.1737,56810,640655,027370,651
2009-09-30$16.38$15.0034.3%9.8%32.4%34.3%34.2%0.1%1.6%12.4M-458.2M-2.4M1.363.8612,97517,606679,215376,832