SLV Options History — November 2010

In November 2010, SLV traded between $24.07 and $27.44. ATM implied volatility averaged 44.9%, placing in the 62.2% IV rank vs the trailing year. The 30-day expected move averaged 11.9%. IV traded above realized volatility by 3.6% (HV 20d: 41.3%). Max pain ranged from $22.00 to $26.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.54.

Notable Days

  • 2010-11-09: Highest Volume — 872,343 contracts
  • 2010-11-09: Largest IV spike — 47.0% change
  • 2010-11-01: Highest IV Rank — 100.0%
  • 2010-11-10: Largest Expected Move — 13.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$26.01$24.07$27.44$24.07$27.44
Max Pain$24.86$22.00$26.00$22.00$26.00
ATM IV44.9%37.8%69.4%44.1%47.8%
Expected Move11.9%10.1%13.6%10.4%12.1%
HV 20d41.3%34.1%46.7%36.2%45.9%
HV 60d30.1%24.9%34.2%25.0%34.2%
IV Rank62.2%36.9%100.0%100.0%55.7%
IV Percentile97.6%93.3%100.0%100.0%99.2%
Term Structure-1.4%-3.9%0.3%0.0%-2.6%
VWIV42.7%36.7%49.3%37.1%44.0%
Skew 25d-1.9%-5.8%-0.1%-1.0%-3.0%
Skew 10d-3.0%-9.4%3.2%-0.8%-4.9%
Call IV 25d44.0%36.8%51.8%38.3%45.8%
Put IV 25d42.0%36.7%47.9%37.3%42.8%
Bid-Ask Spread %3.001.925.022.552.90
Gamma HHI0.110.080.190.130.12
Net GEX22.9M11.2M33.3M24.1M27.9M
Net DEX-1.63B-2.10B-1.21B-1.37B-1.84B
Net VEX-6.1M-6.7M-5.2M-5.2M-6.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.540.261.190.380.26
Total Volume222,520.8179,359872,343112,305164,989
Total OI1,913,149.5711,512,5422,254,3431,512,5421,907,243

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2010-11-01$24.07$22.0044.1%10.4%36.2%100.0%37.1%-1.0%0.0%24.1M-1.37B-5.2M0.382.5581,30531,000992,179520,363
2010-11-02$24.31$22.0045.5%10.3%34.2%100.0%36.9%-0.6%0.2%24.8M-1.41B-5.3M0.513.1258,30229,5261,015,359535,732
2010-11-03$24.25$22.0046.3%10.1%34.1%100.0%36.7%-0.1%0.3%25.3M-1.40B-5.4M0.803.67105,30784,5231,027,019550,831
2010-11-04$25.63$22.0037.8%10.6%36.4%66.7%37.7%-1.5%0.1%27.8M-1.76B-5.3M0.451.92139,34063,3121,058,467592,695
2010-11-05$26.20$23.0040.9%11.0%35.7%78.8%39.3%-3.5%-0.3%27.1M-1.89B-5.4M0.523.63157,49681,3931,072,531595,525
2010-11-08$27.15$24.0047.2%12.1%37.0%100.0%42.9%-5.8%-1.2%26.1M-2.10B-5.5M0.413.63194,57978,9501,099,445618,472
2010-11-09$26.18$24.0069.4%13.4%40.3%100.0%48.2%-1.3%-3.9%25.2M-1.81B-6.0M0.525.02572,773299,5701,142,838652,120
2010-11-10$26.72$26.0052.4%13.6%39.9%65.2%49.3%-4.2%-2.9%17.2M-1.77B-6.7M0.573.61227,377128,9851,257,166843,030
2010-11-11$27.11$26.0045.5%13.1%39.5%51.0%46.6%-3.0%-3.6%21.9M-1.95B-6.7M0.682.74111,53375,7231,306,263861,319
2010-11-12$25.52$26.0045.9%13.2%45.7%51.7%46.9%-2.9%-3.0%16.9M-1.37B-6.7M0.742.90187,578137,9391,324,928887,675
2010-11-15$24.93$26.0045.8%13.1%46.7%51.6%47.6%-0.3%-3.2%17.3M-1.25B-6.7M0.643.04137,95988,5251,338,247850,994
2010-11-16$24.93$26.0042.5%12.2%42.8%44.9%43.8%-0.1%-1.3%15.2M-1.21B-6.6M1.192.83161,330191,7461,346,534874,594
2010-11-17$25.00$26.0040.8%11.7%42.3%41.3%42.5%-0.7%-0.2%16.3M-1.28B-6.6M0.492.6983,79340,6621,364,228868,364
2010-11-18$26.35$26.0041.5%11.9%43.6%42.7%43.5%-2.6%0.0%26.7M-1.82B-6.6M0.362.74158,40556,3541,384,401869,942
2010-11-19$26.74$26.0040.6%11.7%43.6%41.0%41.7%-3.0%-0.4%33.3M-1.92B-6.4M0.442.98143,70662,8191,380,772873,085
2010-11-22$27.17$26.0043.4%12.4%43.6%46.7%44.2%-2.0%-1.7%25.5M-1.74B-6.4M0.642.6296,81462,1221,154,654637,370
2010-11-23$26.86$26.0042.7%12.2%44.2%45.1%43.4%-1.5%-1.6%23.3M-1.65B-6.4M0.362.7385,54230,8441,182,384664,010
2010-11-24$26.94$26.0038.7%11.1%43.8%36.9%40.1%-0.5%0.0%24.0M-1.68B-6.3M0.512.7452,39526,9641,200,999676,152
2010-11-26$26.13$26.0039.5%11.5%45.7%38.6%41.0%-1.3%-1.4%11.2M-1.44B-6.3M0.502.7552,99426,7161,208,542686,410
2010-11-29$26.55$25.0044.7%12.1%44.9%49.2%43.5%-1.9%-2.6%23.0M-1.56B-5.9M0.442.2970,73631,0111,141,003612,256
2010-11-30$27.44$26.0047.8%12.1%45.9%55.7%44.0%-3.0%-2.6%27.9M-1.84B-6.3M0.262.90131,05033,9391,221,073686,170