SLV Options History — April 2011

In April 2011, SLV traded between $36.86 and $47.26. ATM implied volatility averaged 38.8%, placing in the 35.8% IV rank vs the trailing year. The 30-day expected move averaged 11.2%. IV traded above realized volatility by 13.5% (HV 20d: 25.3%). Max pain ranged from $29.00 to $43.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.77.

Notable Days

  • 2011-04-25: Highest Volume — 1,389,986 contracts
  • 2011-04-11: Largest IV spike — 22.0% change
  • 2011-04-29: Highest IV Rank — 67.0%
  • 2011-04-29: Largest Expected Move — 14.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$41.84$36.86$47.26$36.86$46.88
Max Pain$38.35$29.00$43.00$29.00$43.00
ATM IV38.8%29.9%54.0%31.5%54.0%
Expected Move11.2%9.1%14.3%9.1%14.3%
HV 20d25.3%20.2%34.4%26.4%34.4%
HV 60d30.6%28.5%31.9%31.3%31.9%
IV Rank35.8%19.0%67.0%22.2%67.0%
IV Percentile72.6%36.5%99.6%45.6%99.6%
Term Structure-0.3%-2.5%2.4%2.4%-2.5%
VWIV40.1%32.8%51.7%32.8%51.7%
Skew 25d-0.6%-6.7%1.4%0.5%-1.7%
Skew 10d-1.3%-13.2%3.1%1.6%-3.9%
Call IV 25d40.7%32.4%54.1%32.4%52.4%
Put IV 25d40.1%32.9%50.8%32.9%50.8%
Bid-Ask Spread %2.991.905.832.092.85
Gamma HHI0.120.060.230.100.11
Net GEX52.6M22.1M74.1M57.7M74.1M
Net DEX-5.06B-6.41B-4.05B-4.05B-5.95B
Net VEX-21.2M-28.2M-18.3M-18.4M-28.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.770.391.910.960.66
Total Volume627,126.85203,5011,389,986207,143802,826
Total OI3,564,503.552,979,3454,778,1023,085,7904,778,102

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2011-04-01$36.86$29.0031.5%9.1%26.4%22.2%32.8%0.5%2.4%57.7M-4.05B-18.4M0.962.09105,712101,4311,855,0701,230,720
2011-04-04$37.58$36.0034.3%9.7%26.7%27.9%34.5%1.2%1.0%61.2M-4.35B-18.6M0.392.28163,76363,8301,840,9711,242,964
2011-04-05$38.34$36.0034.5%9.7%27.3%28.4%34.4%0.8%1.0%65.0M-4.62B-18.3M0.461.90188,00687,0151,838,1471,260,648
2011-04-06$38.62$36.0031.6%9.6%27.3%22.4%34.2%-0.9%1.3%65.6M-4.71B-18.5M0.542.27185,379100,0291,859,5181,290,273
2011-04-07$38.73$37.0029.9%9.6%24.8%19.0%34.1%-0.6%1.2%65.3M-4.76B-18.5M0.532.96133,39470,1071,881,9191,325,760
2011-04-08$39.86$37.0031.9%9.8%25.7%23.1%34.7%-1.1%1.2%70.1M-5.29B-18.6M0.463.01288,166131,1881,907,7331,345,217
2011-04-11$39.21$37.0039.0%10.4%26.9%37.6%36.9%1.3%-0.5%57.2M-4.83B-19.0M1.293.42289,503373,9111,905,5841,364,799
2011-04-12$39.09$37.0035.9%10.4%20.9%31.2%37.5%1.4%-0.2%47.5M-4.61B-19.3M1.912.21183,767350,9481,942,7301,562,347
2011-04-13$39.57$38.0031.9%10.2%20.2%19.8%36.2%1.1%0.2%33.1M-4.70B-20.3M1.192.56156,456185,9151,959,7691,762,427
2011-04-14$41.07$38.0036.2%10.4%22.5%29.0%37.3%1.2%0.2%39.9M-5.53B-20.2M0.572.84303,740172,0121,981,2451,809,507
2011-04-15$41.84$38.0036.4%10.4%22.3%29.4%37.9%1.0%0.1%62.2M-5.94B-20.4M0.672.75312,706208,4722,033,2811,848,588
2011-04-18$42.42$39.0039.3%11.3%21.1%35.7%40.0%0.5%-1.1%32.4M-4.29B-20.6M0.722.44305,018219,0331,599,7321,379,613
2011-04-19$43.00$39.0036.6%10.5%21.2%29.8%37.5%-0.0%-0.1%43.1M-4.58B-20.8M0.733.11250,811183,9651,688,9981,463,845
2011-04-20$44.12$40.0038.6%11.1%21.1%34.1%40.4%0.0%-0.0%45.9M-4.96B-21.7M0.883.49489,995433,5641,733,0271,555,606
2011-04-21$45.53$40.0042.9%12.3%21.2%43.2%43.8%-1.7%-1.7%37.3M-5.47B-21.7M0.623.57545,864339,5841,794,7751,680,750
2011-04-25$45.83$41.0048.7%14.0%21.3%55.7%51.1%-2.9%-2.5%37.5M-5.44B-23.4M0.553.66895,328494,6581,894,7451,762,306
2011-04-26$44.03$42.0045.6%13.1%27.5%49.2%47.7%-1.8%-1.5%22.1M-4.46B-25.5M0.853.73526,517445,3292,108,5571,990,204
2011-04-27$47.00$42.0048.1%13.8%33.5%54.5%49.0%-6.7%-2.4%61.1M-6.18B-25.2M0.835.83681,702566,4112,198,5182,058,971
2011-04-28$47.26$42.0049.2%14.1%33.6%56.8%51.2%-3.1%-2.4%73.7M-6.41B-27.0M0.642.92733,910472,5722,338,5292,214,576
2011-04-29$46.88$43.0054.0%14.3%34.4%67.0%51.7%-1.7%-2.5%74.1M-5.95B-28.2M0.662.85484,844317,9822,444,9072,333,195