SLV Options History — October 2009 In October 2009, SLV traded between $15.82 and $17.56. ATM implied volatility averaged 35.8%, placing in the 37.1% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded above realized volatility by 3.1% (HV 20d: 32.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.10.
Notable Days 2009-10-08 : Highest Volume — 112,458 contracts2009-10-13 : Largest IV drop — 16.5% change2009-10-28 : Highest IV Rank — 41.9%2009-10-08 : Largest Expected Move — 11.6%Monthly Statistics Metric Avg Min Max Open Close Price $16.93 $15.82 $17.56 $16.04 $16.07 Max Pain $15.91 $15.00 $16.00 $15.00 $16.00 ATM IV 35.8% 31.5% 38.2% 33.6% 36.5% Expected Move 10.5% 9.5% 11.6% 9.6% 10.5% HV 20d 32.6% 28.0% 35.0% 32.2% 35.0% HV 60d 30.8% 29.4% 32.2% 29.4% 32.2% IV Rank 37.1% 28.6% 41.9% 32.7% 38.5% IV Percentile 27.7% 6.6% 46.0% 13.7% 32.3% Term Structure 1.6% 0.0% 3.8% 3.8% 1.8% VWIV 37.5% 33.9% 40.7% 35.1% 36.7% Skew 25d -0.6% -3.3% 2.2% -1.5% 2.2% Skew 10d -1.5% -11.4% 8.6% -11.4% 8.6% Call IV 25d 38.3% 34.8% 42.3% 37.3% 36.5% Put IV 25d 37.7% 33.6% 40.5% 35.8% 38.7% Bid-Ask Spread % 11.21 5.78 15.88 5.78 10.63 Gamma HHI 0.16 0.12 0.20 0.16 0.13 Net GEX 9.0M 3.2M 12.8M 11.8M 3.9M Net DEX -463.5M -629.3M -201.8M -405.3M -242.5M Net VEX -2.8M -3.0M -2.4M -2.4M -2.9M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.10 0.05 7.16 2.03 0.69 Total Volume 45,154.273 16,767 112,458 37,332 49,325 Total OI 1,188,052.636 1,046,926 1,316,360 1,071,097 1,197,686
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 2009-10-01 $16.04 $15.00 33.6% 9.6% 32.2% 32.7% 35.1% -1.5% 3.8% 11.8M -405.3M -2.4M 2.03 5.78 12,333 24,999 685,564 385,533 2009-10-02 $15.82 $15.00 34.6% 9.9% 29.2% 34.7% 34.0% -3.3% 3.3% 10.7M -359.0M -2.5M 7.16 6.48 10,596 75,903 690,131 402,325 2009-10-05 $16.38 $16.00 36.4% 10.7% 31.6% 38.4% 38.3% 1.3% 1.5% 12.1M -441.1M -2.6M 0.98 15.88 13,906 13,697 693,644 454,143 2009-10-06 $17.08 $16.00 38.0% 11.0% 34.6% 41.5% 39.1% -1.6% 2.2% 12.8M -566.8M -2.7M 1.03 12.04 35,658 36,646 698,855 462,477 2009-10-07 $17.25 $16.00 35.5% 11.2% 34.6% 36.5% 39.2% -1.7% 1.9% 12.4M -585.2M -2.7M 1.19 10.00 23,554 28,046 704,060 484,376 2009-10-08 $17.52 $16.00 37.4% 11.6% 34.2% 40.4% 40.7% -1.8% 2.2% 12.0M -626.5M -2.7M 1.78 10.22 40,448 72,010 707,435 508,217 2009-10-09 $17.44 $16.00 33.9% 11.2% 34.3% 33.5% 39.3% -1.0% 0.3% 11.3M -596.9M -2.9M 0.76 11.48 24,433 18,561 719,882 562,738 2009-10-12 $17.48 $16.00 37.7% 11.2% 33.9% 41.0% 39.4% -0.9% 0.0% 11.2M -606.9M -2.9M 0.48 10.97 12,305 5,940 726,535 573,794 2009-10-13 $17.48 $16.00 31.5% 10.6% 32.6% 28.6% 37.6% -2.5% 2.0% 10.7M -603.3M -2.9M 0.39 12.38 12,038 4,729 727,763 577,005 2009-10-14 $17.56 $16.00 34.3% 10.6% 31.8% 34.1% 39.1% -1.7% 2.3% 10.6M -629.3M -2.8M 0.16 11.08 16,061 2,512 725,698 578,853 2009-10-15 $17.06 $16.00 37.0% 10.6% 33.3% 39.5% 38.0% 0.2% 1.6% 10.4M -528.6M -2.8M 0.40 11.54 19,171 7,609 730,138 579,408 2009-10-16 $17.18 $16.00 34.9% 10.0% 32.9% 35.4% 36.0% 0.6% 2.8% 10.4M -559.2M -2.8M 0.24 10.24 16,344 3,862 733,607 582,753 2009-10-19 $17.44 $16.00 34.7% 10.0% 33.0% 35.0% 34.9% 0.8% 2.2% 8.6M -467.6M -2.7M 1.37 9.91 18,857 25,922 603,983 442,943 2009-10-20 $17.20 $16.00 33.2% 9.5% 32.8% 31.9% 33.9% -1.2% 2.5% 7.9M -433.7M -2.8M 0.33 13.24 15,783 5,261 611,000 463,914 2009-10-21 $17.36 $16.00 36.3% 10.4% 31.9% 38.2% 36.5% 0.3% 0.1% 8.4M -459.1M -2.8M 2.27 15.72 16,173 36,647 619,523 466,864 2009-10-22 $17.32 $16.00 35.8% 10.3% 29.0% 37.1% 37.6% 0.6% 1.2% 6.7M -446.6M -2.8M 0.05 12.89 65,949 3,341 626,783 497,549 2009-10-23 $17.40 $16.00 36.0% 10.3% 28.0% 37.5% 36.2% 0.3% 0.9% 7.6M -477.3M -2.9M 0.33 13.11 14,066 4,647 649,331 498,366 2009-10-26 $16.79 $16.00 37.3% 10.7% 31.4% 40.1% 37.6% -1.1% 0.9% 6.4M -372.8M -2.9M 1.28 10.65 14,674 18,835 656,139 500,725 2009-10-27 $16.34 $16.00 36.9% 10.6% 33.2% 39.4% 38.1% -1.4% 0.6% 4.5M -285.1M -3.0M 0.10 9.17 97,925 10,014 678,559 525,271 2009-10-28 $15.86 $16.00 38.2% 10.9% 33.1% 41.9% 38.6% 0.4% 0.1% 3.2M -201.8M -3.0M 0.79 9.72 16,740 13,220 687,482 526,691 2009-10-29 $16.41 $16.00 37.2% 10.7% 34.5% 40.0% 38.8% -0.3% 0.7% 4.8M -302.8M -2.9M 0.37 13.44 25,224 9,430 675,515 513,900 2009-10-30 $16.07 $16.00 36.5% 10.5% 35.0% 38.5% 36.7% 2.2% 1.8% 3.9M -242.5M -2.9M 0.69 10.63 29,246 20,079 682,056 515,630
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