SLV Options History — June 2010

In June 2010, SLV traded between $17.05 and $18.75. ATM implied volatility averaged 31.0%, placing in the 52.7% IV rank vs the trailing year. The 30-day expected move averaged 8.9%. IV traded above realized volatility by 0.6% (HV 20d: 30.4%). Max pain ranged from $17.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.58.

Notable Days

  • 2010-06-18: Highest Volume — 79,847 contracts
  • 2010-06-04: Largest IV spike — 10.0% change
  • 2010-06-07: Highest IV Rank — 64.5%
  • 2010-06-07: Largest Expected Move — 9.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.07$17.05$18.75$18.02$18.21
Max Pain$17.00$17.00$17.00$17.00$17.00
ATM IV31.0%29.3%34.1%32.6%30.2%
Expected Move8.9%8.4%9.9%9.3%8.7%
HV 20d30.4%26.2%37.1%37.1%28.8%
HV 60d29.1%27.4%29.8%27.4%29.2%
IV Rank52.7%46.4%64.5%58.8%49.9%
IV Percentile34.1%23.4%57.1%41.7%30.2%
Term Structure1.7%0.3%3.6%1.2%2.7%
VWIV32.2%30.0%36.2%34.0%31.2%
Skew 25d0.3%-0.3%1.4%0.1%1.4%
Skew 10d0.4%-1.7%3.2%-0.9%3.2%
Call IV 25d32.4%30.3%36.4%34.2%31.0%
Put IV 25d32.7%30.1%36.1%34.3%32.4%
Bid-Ask Spread %2.231.603.362.472.19
Gamma HHI0.210.160.310.190.20
Net GEX11.5M6.1M17.9M11.4M10.0M
Net DEX-417.6M-580.6M-221.9M-407.6M-423.0M
Net VEX-3.2M-3.3M-3.1M-3.2M-3.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.181.510.270.46
Total Volume42,116.59116,69379,84736,32616,693
Total OI1,033,348.318942,7771,102,259994,0581,038,843

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-06-01$18.02$17.0032.6%9.3%37.1%58.8%34.0%0.1%1.2%11.4M-407.6M-3.2M0.272.4728,6997,627683,370310,688
2010-06-02$17.98$17.0030.6%8.8%33.1%51.4%31.8%1.0%1.5%10.8M-377.1M-3.2M0.222.2128,7066,239675,769313,564
2010-06-03$17.64$17.0029.9%8.6%32.3%48.8%30.9%0.5%1.1%9.3M-320.4M-3.2M0.461.6930,35213,893689,608316,069
2010-06-04$17.05$17.0032.9%9.8%34.3%60.2%35.0%0.0%0.5%6.1M-221.9M-3.1M0.502.7252,90826,564690,802318,877
2010-06-07$17.81$17.0034.1%9.9%35.2%64.5%36.2%-0.3%0.9%10.7M-387.3M-3.3M0.342.7156,84419,480714,967330,414
2010-06-08$17.89$17.0032.8%9.8%35.1%59.7%36.1%-0.1%1.2%12.1M-411.4M-3.3M0.552.4028,96515,822734,550333,947
2010-06-09$17.76$17.0031.7%9.8%30.7%55.6%35.1%0.6%0.3%11.0M-375.9M-3.3M0.353.3619,7736,902732,617338,552
2010-06-10$17.86$17.0033.1%9.5%30.5%60.7%34.2%0.3%1.4%12.1M-401.3M-3.3M0.412.2426,39310,879734,014339,805
2010-06-11$17.85$17.0032.5%9.3%30.5%58.6%33.8%-0.0%1.7%12.4M-399.1M-3.2M0.682.4518,84412,823736,653339,773
2010-06-14$17.86$17.0029.9%8.6%30.5%48.6%30.5%0.2%3.1%13.6M-401.7M-3.2M0.531.9123,85412,720741,632345,037
2010-06-15$18.19$17.0029.4%8.4%30.6%46.8%30.0%-0.3%3.0%15.2M-473.8M-3.2M0.951.9917,37716,451741,175349,761
2010-06-16$18.08$17.0029.6%8.5%30.6%47.6%30.2%0.2%3.4%14.5M-440.8M-3.2M1.511.6411,20916,893743,511356,247
2010-06-17$18.33$17.0030.6%8.8%27.7%51.4%31.8%-0.3%2.5%15.1M-502.6M-3.2M0.181.6047,2028,372743,209359,050
2010-06-18$18.75$17.0029.3%8.4%26.2%46.4%30.6%-0.2%3.6%17.9M-580.6M-3.1M0.342.4959,55820,289737,287355,294
2010-06-21$18.33$17.0030.3%8.7%27.7%50.0%31.0%0.3%0.6%10.2M-431.6M-3.1M1.041.8521,56222,331637,456305,321
2010-06-22$18.42$17.0029.5%8.4%27.3%47.1%30.4%0.1%1.6%10.3M-448.1M-3.1M0.292.5524,7157,249645,363322,135
2010-06-23$18.18$17.0030.3%8.7%27.9%50.1%31.1%0.2%1.4%9.2M-407.3M-3.1M0.552.0515,7838,750650,928320,075
2010-06-24$18.26$17.0030.3%8.7%27.7%50.1%31.2%0.4%1.3%9.9M-425.2M-3.1M0.412.5215,1606,205655,129321,949
2010-06-25$18.67$17.0029.6%8.5%27.8%47.4%31.5%0.4%2.2%12.4M-504.0M-3.1M0.831.9829,61524,668663,489323,420
2010-06-28$18.38$17.0030.4%8.7%28.3%50.6%30.6%1.0%2.1%10.8M-447.3M-3.2M1.262.1121,52727,207673,431337,354
2010-06-29$18.13$17.0031.7%9.1%28.8%55.5%32.3%0.0%1.4%8.8M-400.2M-3.3M0.672.0323,67215,790680,672351,856
2010-06-30$18.21$17.0030.2%8.7%28.8%49.9%31.2%1.4%2.7%10.0M-423.0M-3.2M0.462.1911,4605,233686,926351,917