SLV Options History — July 2010

In July 2010, SLV traded between $17.16 and $17.96. ATM implied volatility averaged 27.4%, placing in the 32.3% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.3% (HV 20d: 25.2%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 1.04.

Notable Days

  • 2010-07-01: Highest Volume — 142,341 contracts
  • 2010-07-09: Largest IV drop — 8.8% change
  • 2010-07-06: Highest IV Rank — 63.5%
  • 2010-07-06: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$17.55$17.16$17.96$17.44$17.58
Max Pain$17.33$17.00$18.00$17.00$17.00
ATM IV27.4%23.6%33.8%32.1%23.6%
Expected Move8.0%6.8%9.6%9.2%6.8%
HV 20d25.2%20.2%32.1%32.1%20.2%
HV 60d29.8%28.3%30.5%30.5%28.3%
IV Rank32.3%12.7%63.5%57.1%12.7%
IV Percentile19.8%1.6%60.3%44.8%1.6%
Term Structure2.0%1.1%2.9%1.6%2.9%
VWIV29.4%24.6%38.3%32.4%24.6%
Skew 25d2.3%0.3%4.0%0.3%3.4%
Skew 10d5.5%0.3%9.5%0.3%9.5%
Call IV 25d28.0%23.8%33.6%33.5%24.0%
Put IV 25d30.3%27.0%35.3%33.8%27.4%
Bid-Ask Spread %3.621.795.051.793.49
Gamma HHI0.160.130.220.150.17
Net GEX6.1M1.7M11.1M4.7M7.4M
Net DEX-297.9M-389.7M-216.9M-273.7M-306.7M
Net VEX-3.7M-3.8M-3.1M-3.1M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.040.252.331.541.59
Total Volume56,701.90517,946142,341142,34180,779
Total OI1,188,291.2861,039,2401,366,5191,039,2401,182,650

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-07-01$17.44$17.0032.1%9.2%32.1%57.1%32.4%0.3%1.6%4.7M-273.7M-3.1M1.541.7956,08986,252686,361352,879
2010-07-02$17.46$17.0031.1%8.9%29.6%53.4%32.4%0.8%1.8%3.8M-267.8M-3.6M2.312.1417,06839,394710,645408,957
2010-07-06$17.40$18.0033.8%9.6%25.0%63.5%38.3%1.6%1.1%1.7M-250.8M-3.6M1.353.9940,25754,448714,506449,100
2010-07-07$17.65$18.0031.2%9.3%25.5%53.8%35.6%1.1%1.5%5.9M-320.7M-3.8M1.073.5220,48621,885734,176471,712
2010-07-08$17.61$18.0030.0%9.1%25.4%49.1%37.0%2.1%1.5%4.5M-299.7M-3.7M2.334.5415,41735,936736,409484,598
2010-07-09$17.73$18.0027.4%8.7%25.4%39.0%31.9%1.8%2.5%5.3M-324.8M-3.7M0.655.0527,12817,737740,966517,122
2010-07-12$17.62$18.0028.0%8.4%25.5%41.4%30.0%1.6%2.1%5.4M-308.9M-3.7M1.065.0327,86629,413752,016524,094
2010-07-13$17.82$18.0026.4%7.9%25.9%25.4%28.8%1.9%2.9%8.3M-359.5M-3.7M1.123.7126,35829,500764,362542,789
2010-07-14$17.96$18.0024.4%7.7%25.1%16.6%28.1%1.7%2.5%9.8M-389.7M-3.7M0.673.5629,81320,023768,875552,887
2010-07-15$17.95$17.0026.4%7.6%25.1%25.0%27.6%2.2%2.0%11.1M-379.3M-3.7M0.483.7860,68329,074772,350564,013
2010-07-16$17.49$17.0027.9%8.0%26.0%31.7%31.5%3.1%1.3%5.3M-298.3M-3.7M0.993.8760,40459,591796,131570,388
2010-07-19$17.27$17.0027.6%7.9%24.5%30.6%29.3%3.6%1.2%4.6M-236.0M-3.7M1.072.9228,05929,956614,470444,285
2010-07-20$17.33$17.0027.3%7.8%23.6%29.1%26.9%2.9%1.7%5.0M-258.8M-3.8M0.553.8018,0219,874628,827464,491
2010-07-21$17.31$17.0027.0%7.7%23.5%27.9%26.7%3.7%1.4%4.8M-250.2M-3.8M0.253.2227,6016,907636,525467,319
2010-07-22$17.71$17.0024.7%7.1%24.9%17.5%25.7%2.3%2.6%8.0M-336.8M-3.8M0.614.0219,37611,846649,317470,991
2010-07-23$17.72$17.0024.4%7.0%24.8%16.3%25.0%2.0%2.6%8.1M-333.5M-3.8M0.513.4014,0457,154658,227474,491
2010-07-26$17.78$17.0024.5%7.0%23.3%16.9%25.2%1.9%2.5%9.2M-349.0M-3.8M0.583.7711,3406,606666,745477,516
2010-07-27$17.30$17.0026.7%7.6%24.5%26.3%26.5%3.2%2.0%6.1M-258.4M-3.7M1.763.1825,12844,197668,888477,896
2010-07-28$17.16$17.0026.9%7.7%24.2%27.4%27.6%3.7%1.5%4.1M-216.9M-3.8M0.743.8613,89910,234675,777499,530
2010-07-29$17.24$17.0024.7%7.1%24.2%17.7%25.7%4.0%2.6%5.1M-236.1M-3.8M0.653.3512,6798,217680,987499,849
2010-07-30$17.58$17.0023.6%6.8%20.2%12.7%24.6%3.4%2.9%7.4M-306.7M-3.8M1.593.4931,24849,531683,535499,115