SLV Options History — August 2010

In August 2010, SLV traded between $17.53 and $18.93. ATM implied volatility averaged 24.8%, placing in the 18.2% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 4.0% (HV 20d: 20.8%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.77.

Notable Days

  • 2010-08-24: Highest Volume — 97,513 contracts
  • 2010-08-03: Largest IV spike — 13.8% change
  • 2010-08-03: Highest IV Rank — 28.8%
  • 2010-08-03: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$18.07$17.53$18.93$17.96$18.93
Max Pain$17.50$17.00$18.00$17.00$18.00
ATM IV24.8%22.6%27.2%23.9%26.8%
Expected Move7.2%6.7%7.8%6.9%7.7%
HV 20d20.8%19.2%22.6%21.6%20.0%
HV 60d25.0%22.0%28.5%28.5%22.0%
IV Rank18.2%8.6%28.8%14.3%27.1%
IV Percentile11.5%0.8%25.0%3.2%25.0%
Term Structure2.2%0.8%3.6%2.4%2.1%
VWIV26.2%24.5%28.4%26.5%28.4%
Skew 25d1.4%0.5%3.5%3.5%0.9%
Skew 10d4.4%1.9%11.6%11.6%7.0%
Call IV 25d25.8%23.8%28.1%23.8%27.7%
Put IV 25d27.2%25.5%29.4%27.2%28.6%
Bid-Ask Spread %4.102.515.903.683.36
Gamma HHI0.200.140.360.170.21
Net GEX12.4M7.1M21.6M9.9M14.3M
Net DEX-397.5M-531.4M-290.3M-383.5M-531.4M
Net VEX-3.8M-3.9M-3.6M-3.8M-3.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.312.080.490.49
Total Volume39,847.09111,27797,51353,81347,573
Total OI1,249,745.5911,086,3341,341,9241,236,9101,216,889

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-08-02$17.96$17.0023.9%6.9%21.6%14.3%26.5%3.5%2.4%9.9M-383.5M-3.8M0.493.6836,20917,604698,697538,213
2010-08-03$18.02$17.0027.2%7.8%21.5%28.8%28.0%0.7%0.8%10.7M-412.0M-3.9M0.394.6736,27414,272709,881539,528
2010-08-04$17.93$17.0025.6%7.3%21.1%21.7%26.2%1.6%1.4%10.4M-375.3M-3.8M0.743.0214,28610,574712,759542,822
2010-08-05$17.96$17.0024.1%6.9%21.1%15.0%24.5%1.6%1.7%11.4M-382.9M-3.8M1.172.637,6518,923719,054546,349
2010-08-06$18.07$18.0022.7%7.3%21.1%8.8%26.5%0.5%1.3%12.7M-411.6M-3.8M0.314.2716,4255,036722,591547,138
2010-08-09$17.96$18.0023.5%7.1%21.0%12.5%25.4%0.8%1.4%11.6M-384.5M-3.8M0.894.2012,43511,073728,683548,536
2010-08-10$17.97$18.0022.6%7.1%20.7%8.6%27.1%1.4%1.8%13.1M-396.8M-3.7M0.914.3319,38517,703731,528549,281
2010-08-11$17.53$18.0024.5%7.3%22.3%16.7%26.0%1.8%2.0%8.9M-290.3M-3.7M0.645.7516,23410,463737,910557,687
2010-08-12$17.69$18.0024.6%7.1%22.6%17.5%25.6%1.2%2.7%10.7M-331.1M-3.8M1.195.907,2628,634744,268560,980
2010-08-13$17.74$18.0024.4%7.0%20.6%16.2%25.0%0.9%3.0%12.2M-349.6M-3.7M0.975.765,7255,552747,124561,657
2010-08-16$18.00$18.0025.2%7.2%20.5%20.0%25.8%0.6%2.2%16.1M-419.5M-3.7M0.763.5321,87016,594749,022561,876
2010-08-17$18.12$18.0024.6%7.1%20.6%17.3%25.8%1.2%2.5%17.8M-445.2M-3.7M0.444.4425,11411,055751,222563,991
2010-08-18$18.02$18.0024.0%6.9%20.7%14.5%24.9%1.2%2.5%18.2M-417.7M-3.7M1.114.1415,08916,811759,194566,638
2010-08-19$17.92$18.0023.9%6.9%19.3%14.2%25.4%0.9%2.6%21.6M-381.7M-3.6M0.403.5535,57414,189762,109569,669
2010-08-20$17.59$17.0023.8%6.8%20.5%13.9%25.0%1.5%3.6%8.3M-303.3M-3.6M1.163.9929,58834,294771,123570,801
2010-08-23$17.61$17.0023.3%6.7%20.5%11.4%24.5%1.3%2.9%7.1M-295.2M-3.6M0.492.5120,0599,871679,983412,636
2010-08-24$17.99$17.0025.5%7.3%19.2%21.4%26.7%2.8%2.1%9.4M-359.3M-3.7M2.083.4231,64965,864687,428398,906
2010-08-25$18.54$17.0026.9%7.7%21.3%27.5%27.7%0.9%1.3%11.4M-455.0M-3.8M0.645.5747,21330,357698,312452,414
2010-08-26$18.59$17.0026.7%7.6%21.3%26.3%27.3%1.4%2.2%11.9M-459.5M-3.8M0.664.3235,62223,343709,742465,056
2010-08-27$18.70$17.0025.5%7.3%20.5%21.2%26.5%1.6%3.2%12.9M-482.4M-3.9M0.504.1125,05512,478722,070474,732
2010-08-30$18.63$17.0026.6%7.6%19.4%26.2%28.1%1.6%2.4%12.7M-476.2M-3.8M0.523.1116,8888,766725,504480,400
2010-08-31$18.93$18.0026.8%7.7%20.0%27.1%28.4%0.9%2.1%14.3M-531.4M-3.8M0.493.3631,87315,700733,549483,340