SLV Options History — January 2010

In January 2010, SLV traded between $15.90 and $18.45. ATM implied volatility averaged 30.0%, placing in the 33.9% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded below realized volatility by 0.7% (HV 20d: 30.7%). Max pain ranged from $16.00 to $18.00. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 19 of 19 days. Put/call ratio averaged 0.59.

Notable Days

  • 2010-01-28: Highest Volume — 120,811 contracts
  • 2010-01-14: Largest IV spike — 18.9% change
  • 2010-01-26: Highest IV Rank — 47.6%
  • 2010-01-26: Largest Expected Move — 9.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.40$15.90$18.45$17.23$15.90
Max Pain$17.16$16.00$18.00$16.00$17.00
ATM IV30.0%24.9%34.1%31.6%32.8%
Expected Move8.9%8.0%9.8%9.3%9.4%
HV 20d30.7%26.3%34.2%30.0%33.6%
HV 60d31.6%30.9%33.4%30.9%31.4%
IV Rank33.9%18.7%47.6%32.2%44.1%
IV Percentile9.0%0.4%29.0%9.5%18.7%
Term Structure2.3%0.8%3.4%2.5%1.3%
VWIV31.7%28.4%34.4%32.8%33.3%
Skew 25d0.8%-0.3%2.8%-0.1%2.8%
Skew 10d2.5%-0.3%5.0%2.6%5.0%
Call IV 25d31.7%28.5%34.1%33.3%32.7%
Put IV 25d32.5%29.2%36.0%33.2%35.6%
Bid-Ask Spread %4.223.205.464.593.99
Gamma HHI0.210.130.390.180.14
Net GEX8.6M-751.6K20.0M13.5M-647.1K
Net DEX-323.1M-549.1M-23.7M-458.9M-26.0M
Net VEX-2.4M-2.5M-2.3M-2.5M-2.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.590.191.320.490.79
Total Volume52,680.89516,366120,81143,60926,971
Total OI1,118,017.474704,1671,445,8491,433,641911,863

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-01-04$17.23$16.0031.6%9.3%30.0%32.2%32.8%-0.1%2.5%13.5M-458.9M-2.5M0.494.5929,19314,416826,560607,081
2010-01-05$17.51$17.0032.7%9.3%29.6%34.5%33.0%0.2%3.1%16.0M-529.5M-2.5M0.193.7853,29210,127831,979613,870
2010-01-06$17.86$17.0029.5%9.1%29.9%29.7%32.3%-0.3%3.3%15.8M-468.0M-2.4M0.245.4646,86111,240750,515617,503
2010-01-07$17.89$17.0029.6%9.0%27.7%29.9%31.9%-0.3%2.5%15.8M-461.0M-2.4M0.254.8343,11710,622745,820621,960
2010-01-08$18.15$17.0024.9%8.8%27.8%18.7%31.3%0.6%1.9%20.0M-535.7M-2.4M0.594.9638,90322,945758,611624,408
2010-01-11$18.21$17.0027.4%8.8%27.7%24.5%31.5%0.0%2.1%19.6M-549.1M-2.3M0.485.1843,42120,820770,769635,131
2010-01-12$17.91$17.0027.3%8.8%28.0%24.3%31.9%-0.1%1.9%11.9M-462.4M-2.3M0.434.1429,07212,524768,153646,347
2010-01-13$18.27$17.0025.2%8.7%28.5%21.2%30.6%1.3%1.6%14.8M-542.7M-2.3M0.384.7248,72818,542767,805649,706
2010-01-14$18.31$17.0030.0%8.6%28.5%36.1%30.4%0.2%2.0%11.9M-542.8M-2.3M0.613.4930,62318,791775,628653,757
2010-01-15$18.05$18.0028.8%8.3%28.7%32.9%29.3%-0.1%3.2%8.4M-464.8M-2.3M0.413.9141,75117,208754,943660,902
2010-01-19$18.45$18.0027.9%8.0%26.3%30.2%28.4%0.7%3.4%6.3M-310.5M-2.3M1.323.2021,04927,844396,799307,368
2010-01-20$17.57$18.0028.8%8.3%32.4%32.9%29.4%0.7%3.1%3.3M-204.8M-2.4M0.584.3039,21322,877406,318326,849
2010-01-21$17.07$18.0029.7%8.5%33.6%35.2%29.9%1.3%2.6%2.2M-153.0M-2.4M0.443.7028,85312,817429,893342,090
2010-01-22$16.78$17.0031.6%9.1%34.2%40.6%32.6%1.7%2.1%1.5M-115.7M-2.4M0.794.8634,04526,728433,083344,623
2010-01-25$16.83$17.0029.8%8.6%34.1%35.7%30.7%1.5%3.0%2.0M-136.0M-2.4M1.013.848,1398,227448,522355,177
2010-01-26$16.43$17.0034.1%9.8%34.1%47.6%34.2%2.3%0.8%658.8K-87.4M-2.4M0.563.8722,56712,590451,509358,161
2010-01-27$16.26$17.0033.7%9.6%34.2%46.4%34.4%1.5%1.6%216.9K-68.1M-2.4M0.853.9714,08611,924457,975362,323
2010-01-28$15.92$17.0033.7%9.7%34.0%46.5%34.4%1.2%0.8%-751.6K-23.7M-2.3M0.723.4370,14550,666462,263366,068
2010-01-29$15.90$17.0032.8%9.4%33.6%44.1%33.3%2.8%1.3%-647.1K-26.0M-2.5M0.793.9915,08111,890508,573403,290