SLV Options History — May 2013 In May 2013, SLV traded between $21.40 and $23.29. ATM implied volatility averaged 32.7%, placing in the 47.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded below realized volatility by 7.0% (HV 20d: 39.7%). Max pain ranged from $22.00 to $24.50. Net GEX was positive for 3 of 22 trading days. Term structure was in contango for 2 of 22 days. Put/call ratio averaged 0.99.
Notable Days 2013-05-15 : Highest Volume — 306,738 contracts2013-05-15 : Largest IV spike — 22.6% change2013-05-22 : Highest IV Rank — 67.6%2013-05-22 : Largest Expected Move — 11.2%Monthly Statistics Metric Avg Min Max Open Close Price $22.30 $21.40 $23.29 $22.86 $21.44 Max Pain $23.05 $22.00 $24.50 $23.00 $22.00 ATM IV 32.7% 28.0% 39.3% 33.7% 32.3% Expected Move 9.4% 8.0% 11.2% 9.6% 9.4% HV 20d 39.7% 25.0% 59.3% 59.1% 28.5% HV 60d 37.0% 36.1% 38.2% 36.2% 38.2% IV Rank 47.7% 33.5% 67.6% 50.6% 46.6% IV Percentile 81.6% 60.7% 97.6% 91.3% 83.3% Term Structure -1.6% -4.6% 0.1% -2.4% -0.8% VWIV 33.5% 27.8% 39.2% 35.3% 32.0% Skew 25d 5.7% 3.9% 8.4% 5.3% 5.7% Skew 10d 10.6% 6.9% 15.8% 10.1% 10.5% Call IV 25d 30.9% 26.7% 36.9% 32.2% 30.9% Put IV 25d 36.6% 30.6% 44.3% 37.5% 36.5% Bid-Ask Spread % 7.00 4.97 20.01 6.46 7.38 Gamma HHI 0.07 0.05 0.25 0.05 0.09 Net GEX -4.5M -25.3M 2.1M -1.9M -5.9M Net DEX 732.7M 573.2M 1.12B 711.5M 768.7M Net VEX -8.6M -9.4M -7.8M -8.6M -8.6M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.99 0.51 1.95 1.00 0.79 Total Volume 131,464.682 49,228 306,738 177,774 110,971 Total OI 3,013,662.091 2,860,348 3,180,341 2,886,976 3,139,171
Daily Data (22 trading days) Date Price Max Pain ATM IV Exp Move HV 20d IV Rank VWIV Skew 25d Term Str GEX DEX VEX P/C Spread % Call Vol Put Vol Call OI Put OI 2013-05-01 $22.86 $23.00 33.7% 9.6% 59.1% 50.6% 35.3% 5.3% -2.4% -1.9M 711.5M -8.6M 1.00 6.46 89,010 88,764 1,921,824 965,152 2013-05-02 $23.02 $23.00 30.8% 8.9% 59.3% 42.1% 32.0% 4.4% -0.6% -136.3K 673.6M -8.8M 0.80 5.39 52,021 41,533 1,948,023 994,062 2013-05-03 $23.29 $23.00 28.6% 8.2% 59.1% 35.5% 31.3% 4.1% 0.1% 476.0K 597.2M -8.9M 0.80 5.65 68,092 54,307 1,951,566 1,004,287 2013-05-06 $23.18 $24.50 28.0% 8.0% 59.1% 33.5% 27.8% 3.9% -0.5% 196.5K 641.5M -8.6M 1.11 5.68 23,297 25,931 1,928,646 961,838 2013-05-07 $23.10 $24.50 29.2% 8.3% 57.8% 37.1% 29.8% 4.6% -1.2% -924.8K 673.1M -8.4M 1.03 5.64 47,538 49,088 1,938,268 971,770 2013-05-08 $23.12 $23.50 28.7% 8.2% 57.9% 35.8% 29.0% 4.1% -0.7% -123.0K 664.1M -8.5M 1.09 5.67 29,997 32,567 1,953,445 982,937 2013-05-09 $22.89 $23.50 28.8% 8.3% 57.8% 36.0% 29.5% 4.6% -1.1% -3.9M 737.7M -8.2M 1.25 5.68 41,709 51,968 1,957,412 989,994 2013-05-10 $22.98 $23.50 28.9% 8.3% 55.2% 36.4% 31.8% 5.4% -1.2% -1.5M 717.7M -8.2M 0.91 6.16 86,723 78,666 1,966,954 1,008,005 2013-05-13 $22.83 $23.00 29.3% 8.4% 26.2% 37.6% 32.7% 5.1% -1.1% -3.0M 739.5M -8.2M 1.01 5.07 43,548 44,185 1,962,824 980,698 2013-05-14 $22.57 $23.00 31.1% 8.9% 25.0% 42.8% 33.5% 6.4% -1.4% -5.3M 773.0M -8.6M 0.89 5.18 43,068 38,520 1,986,134 1,000,306 2013-05-15 $21.76 $22.50 38.1% 10.9% 28.0% 63.9% 38.6% 8.4% -3.7% -10.7M 982.8M -7.8M 1.95 5.44 103,807 202,931 2,003,999 1,011,805 2013-05-16 $21.95 $0.00 32.9% 9.5% 28.2% 48.3% 33.6% 6.8% -1.1% -15.1M 970.1M -8.4M 1.59 20.01 57,770 92,038 2,039,105 1,101,772 2013-05-17 $21.40 $22.00 34.5% 10.0% 29.5% 53.2% 35.4% 7.5% -1.3% -25.3M 1.12B -7.9M 1.23 10.03 64,783 79,669 2,045,548 1,134,793 2013-05-20 $22.28 $23.50 35.9% 10.1% 32.9% 57.4% 37.1% 6.1% -2.6% -3.3M 575.4M -9.3M 0.95 7.15 144,615 137,553 1,881,279 979,069 2013-05-21 $21.62 $23.50 37.9% 10.7% 33.9% 63.4% 36.5% 6.6% -4.1% -6.4M 742.8M -8.6M 0.51 7.25 125,318 63,337 1,935,819 1,029,966 2013-05-22 $21.51 $23.50 39.3% 11.2% 33.6% 67.6% 39.2% 7.0% -4.6% -5.4M 732.6M -9.1M 0.60 6.19 131,330 78,891 1,989,782 1,059,142 2013-05-23 $21.88 $23.00 36.1% 10.3% 29.3% 57.9% 37.1% 6.5% 0.1% -976.2K 621.7M -9.4M 0.74 5.70 71,460 53,096 2,034,620 1,075,515 2013-05-24 $21.61 $23.00 35.4% 10.1% 29.1% 55.8% 35.3% 6.0% -0.0% -3.7M 708.9M -9.0M 0.78 4.97 35,647 27,722 2,064,005 1,091,527 2013-05-28 $21.53 $22.50 34.9% 10.0% 27.9% 54.3% 36.0% 6.3% -3.1% -5.1M 719.8M -8.8M 0.78 8.71 57,364 44,505 2,019,869 1,041,853 2013-05-29 $21.71 $22.00 33.0% 9.5% 28.3% 48.7% 32.6% 5.9% -3.1% -3.4M 679.7M -8.8M 0.83 7.28 30,344 25,325 2,047,249 1,064,210 2013-05-30 $21.98 $22.00 31.4% 9.0% 27.5% 43.8% 31.9% 4.5% -0.8% 2.1M 573.2M -9.1M 1.06 7.40 59,902 63,313 2,061,847 1,074,476 2013-05-31 $21.44 $22.00 32.3% 9.4% 28.5% 46.6% 32.0% 5.7% -0.8% -5.9M 768.7M -8.6M 0.79 7.38 62,075 48,896 2,080,028 1,059,143
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