SLV Options History — April 2012

In April 2012, SLV traded between $29.86 and $32.05. ATM implied volatility averaged 30.4%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 2.5% (HV 20d: 27.9%). Max pain ranged from $31.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.95.

Notable Days

  • 2012-04-25: Highest Volume — 258,178 contracts
  • 2012-04-09: Largest IV spike — 30.6% change
  • 2012-04-04: Highest IV Rank — 17.4%
  • 2012-04-16: Largest Expected Move — 9.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$30.64$29.86$32.05$32.05$30.11
Max Pain$31.68$31.00$32.00$32.00$31.00
ATM IV30.4%24.6%38.5%31.6%29.3%
Expected Move8.3%7.2%9.3%8.1%7.4%
HV 20d27.9%25.7%29.9%28.2%25.8%
HV 60d31.7%30.1%33.1%32.0%30.1%
IV Rank5.6%0.0%17.4%6.6%6.9%
IV Percentile7.3%0.0%32.1%8.7%6.0%
Term Structure1.0%-0.4%2.9%1.5%0.9%
VWIV29.8%25.8%33.0%28.9%26.3%
Skew 25d2.3%0.6%3.4%0.6%2.0%
Skew 10d4.2%0.7%7.4%1.2%4.8%
Call IV 25d28.8%25.4%31.9%29.0%25.6%
Put IV 25d31.1%26.3%35.0%29.6%27.6%
Bid-Ask Spread %2.031.653.621.841.85
Gamma HHI0.060.050.070.060.06
Net GEX14.0M3.5M28.8M28.8M14.7M
Net DEX-507.6M-1.01B-333.9M-1.01B-431.0M
Net VEX-13.3M-14.3M-12.3M-14.3M-12.3M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.950.421.510.420.47
Total Volume128,596.264,763258,178133,875116,881
Total OI2,785,331.452,446,9912,976,3292,730,2502,604,852

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2012-04-02$32.05$32.0031.6%8.1%28.2%6.6%28.9%0.6%1.5%28.8M-1.01B-14.3M0.421.8494,45439,4211,780,938949,312
2012-04-03$31.65$32.0036.4%7.8%26.3%14.1%27.9%1.2%1.9%26.3M-856.0M-14.2M0.992.1975,70374,8731,814,414954,326
2012-04-04$30.32$32.0038.5%8.9%29.8%17.4%30.8%2.9%0.7%3.5M-337.7M-13.5M0.881.83105,68793,1191,824,459973,644
2012-04-05$30.72$32.0027.0%8.0%29.8%0.0%29.1%2.3%2.9%13.3M-515.0M-13.7M1.051.9758,80562,0351,854,067989,271
2012-04-09$30.59$32.0035.3%9.2%29.3%12.8%32.4%2.8%0.2%11.0M-468.3M-13.6M1.512.0331,61747,6171,840,829987,845
2012-04-10$30.79$32.0035.7%9.1%29.0%13.3%33.0%3.1%0.3%12.8M-524.7M-13.7M1.021.8362,37963,4441,846,7501,007,954
2012-04-11$30.65$32.0029.2%9.0%28.8%3.4%32.3%2.9%-0.2%10.7M-442.7M-13.6M0.881.6542,96437,7661,862,2311,019,117
2012-04-12$31.42$32.0029.8%8.5%28.3%4.2%31.3%1.1%0.8%24.9M-800.9M-14.1M0.751.85121,33690,7901,869,8821,034,505
2012-04-13$30.55$32.0031.8%9.1%29.9%7.3%32.2%2.8%0.1%5.5M-402.1M-13.7M1.061.9470,85675,1131,890,4531,046,036
2012-04-16$30.56$32.0032.5%9.3%29.8%8.4%32.8%3.1%-0.4%7.0M-415.3M-13.6M1.011.8736,64736,9231,868,7681,042,701
2012-04-17$30.80$32.0030.4%8.7%29.6%5.3%30.8%2.7%0.5%12.4M-494.6M-13.6M0.902.1859,38653,4961,878,8311,050,416
2012-04-18$30.64$32.0029.2%8.4%28.2%3.3%30.1%2.2%1.0%9.7M-413.9M-13.2M0.992.0548,13447,8911,891,7131,052,155
2012-04-19$30.80$31.5028.4%8.1%28.3%2.1%29.3%2.2%1.0%19.1M-486.9M-13.3M0.832.1352,78444,0711,897,1451,062,801
2012-04-20$30.75$31.5027.2%7.8%27.2%0.2%27.7%2.2%1.3%19.6M-440.8M-13.0M0.932.0758,85254,5911,908,8331,067,496
2012-04-23$29.97$31.5028.9%8.3%27.3%2.8%30.2%3.4%0.7%11.0M-374.5M-12.4M1.232.0070,49786,6401,589,569857,422
2012-04-24$29.93$31.0028.2%8.1%25.8%1.7%29.2%3.4%1.2%8.0M-347.0M-12.4M1.381.9133,26846,0741,617,238900,125
2012-04-25$29.86$31.0028.1%8.0%25.7%1.6%29.6%2.6%1.6%4.9M-333.9M-12.4M1.213.62116,992141,1861,627,717923,648
2012-04-26$30.18$31.0026.1%7.5%25.7%0.0%27.0%1.2%1.4%18.8M-481.9M-12.5M0.781.9587,18667,6831,685,101948,582
2012-04-27$30.37$31.0024.6%7.2%25.7%0.0%25.8%0.9%2.0%19.0M-573.5M-12.6M0.641.8739,46525,2981,717,069968,414
2012-04-30$30.11$31.0029.3%7.4%25.8%6.9%26.3%2.0%0.9%14.7M-431.0M-12.3M0.471.8579,48737,3941,687,998916,854