SLV Options History — April 2010

In April 2010, SLV traded between $17.38 and $18.26. ATM implied volatility averaged 24.4%, placing in the 26.7% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 1.6% (HV 20d: 22.8%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.51.

Notable Days

  • 2010-04-16: Highest Volume — 72,539 contracts
  • 2010-04-15: Largest IV spike — 26.9% change
  • 2010-04-16: Highest IV Rank — 38.3%
  • 2010-04-12: Largest Expected Move — 8.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.80$17.38$18.26$17.54$18.26
Max Pain$16.95$16.00$17.00$16.00$17.00
ATM IV24.4%20.7%27.2%23.6%24.0%
Expected Move7.3%6.8%8.0%6.8%6.9%
HV 20d22.8%21.0%26.4%22.6%21.0%
HV 60d28.6%26.7%30.2%30.2%26.7%
IV Rank26.7%12.6%38.3%22.4%26.3%
IV Percentile4.3%0.4%10.7%0.8%3.6%
Term Structure1.2%0.5%2.4%2.4%2.0%
VWIV26.1%24.0%28.3%24.4%24.3%
Skew 25d1.0%-0.1%2.1%0.8%0.9%
Skew 10d2.0%-0.2%4.0%0.9%1.6%
Call IV 25d25.9%23.8%28.1%24.3%24.4%
Put IV 25d26.9%25.1%28.8%25.1%25.3%
Bid-Ask Spread %3.431.964.541.963.57
Gamma HHI0.250.170.450.240.21
Net GEX11.6M5.6M19.2M12.5M12.4M
Net DEX-371.3M-484.0M-231.6M-390.1M-399.6M
Net VEX-2.7M-2.9M-2.5M-2.6M-2.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.151.530.460.37
Total Volume43,645.71421,72972,53956,94233,413
Total OI966,994.905727,5741,201,4161,085,748831,025

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-04-01$17.54$16.0023.6%6.8%22.6%22.4%24.4%0.8%2.4%12.5M-390.1M-2.6M0.461.9638,93518,007637,524448,224
2010-04-05$17.75$17.0025.4%7.7%22.5%28.6%27.1%1.0%0.9%13.3M-417.8M-2.6M0.504.0323,33411,771649,479453,454
2010-04-06$17.61$17.0025.0%7.6%22.5%27.1%26.8%0.8%1.4%13.4M-410.6M-2.6M0.503.8015,9117,984651,728452,120
2010-04-07$17.77$17.0024.5%7.7%22.7%25.3%27.4%0.9%0.5%14.4M-444.2M-2.6M0.583.6830,73317,704652,607456,448
2010-04-08$17.72$17.0024.3%7.7%21.8%24.8%27.8%1.4%0.9%14.2M-431.6M-2.5M0.933.2612,78511,933652,607456,448
2010-04-09$18.01$17.0022.5%7.6%22.2%18.6%27.2%0.1%1.1%15.6M-484.0M-2.6M0.213.8045,7609,530658,788462,936
2010-04-12$17.80$17.0024.4%8.0%22.7%25.2%28.3%0.7%0.5%14.7M-437.0M-2.6M1.254.1029,78737,100671,256467,756
2010-04-13$17.84$17.0023.1%7.8%22.7%21.0%27.8%1.4%0.5%14.0M-420.5M-2.6M1.533.5425,90239,583666,662490,878
2010-04-14$18.07$17.0020.7%7.8%22.3%12.6%27.9%1.9%0.5%15.8M-455.4M-2.7M0.284.5437,80810,509668,315518,759
2010-04-15$18.07$17.0026.3%7.5%22.3%34.3%26.3%0.8%1.2%19.2M-461.9M-2.7M0.253.0232,9448,204669,268521,170
2010-04-16$17.41$17.0027.2%7.8%26.4%38.3%27.6%2.1%0.8%7.0M-311.0M-2.7M0.703.1842,67729,862676,750524,666
2010-04-19$17.38$17.0026.1%7.5%24.6%34.3%26.5%1.9%0.9%5.6M-231.6M-2.7M0.573.4921,88312,500479,965247,609
2010-04-20$17.48$17.0025.1%7.2%24.5%30.6%25.0%1.2%1.6%6.2M-252.6M-2.7M0.422.3615,5146,525485,058250,358
2010-04-21$17.77$17.0023.9%6.9%25.0%26.0%24.6%1.1%1.9%7.6M-290.4M-2.7M0.403.0424,9209,879490,479250,014
2010-04-22$17.64$17.0024.5%7.0%22.9%28.0%25.0%0.8%1.5%7.7M-282.0M-2.7M0.563.0513,9287,801503,294255,266
2010-04-23$17.91$17.0024.1%6.9%23.2%26.4%24.6%1.2%1.5%8.8M-318.2M-2.8M0.393.3631,37512,272509,861258,668
2010-04-26$17.93$17.0023.8%6.8%22.7%25.7%24.0%1.7%1.8%9.3M-324.8M-2.8M0.183.9251,5419,294519,707262,400
2010-04-27$17.88$17.0024.9%7.1%21.3%29.6%25.3%0.7%1.2%10.1M-329.4M-2.9M0.154.4529,1624,398539,139265,888
2010-04-28$17.75$17.0025.0%7.2%21.4%30.0%25.6%-0.1%1.1%9.7M-317.5M-2.8M0.193.5345,4278,853548,281266,608
2010-04-29$18.14$17.0024.1%6.9%22.3%26.7%24.4%0.1%1.6%12.8M-387.6M-2.9M0.292.2630,3038,809565,834269,596
2010-04-30$18.26$17.0024.0%6.9%21.0%26.3%24.3%0.9%2.0%12.4M-399.6M-2.9M0.373.5724,3079,106558,536272,489