SLV Options History — November 2013

In November 2013, SLV traded between $18.96 and $21.08. ATM implied volatility averaged 27.4%, placing in the 27.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.5% (HV 20d: 21.0%). Max pain ranged from $21.00 to $22.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.70.

Notable Days

  • 2013-11-20: Highest Volume — 132,692 contracts
  • 2013-11-20: Largest IV spike — 8.3% change
  • 2013-11-13: Highest IV Rank — 35.1%
  • 2013-11-01: Largest Expected Move — 8.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$19.96$18.96$21.08$21.08$19.24
Max Pain$21.60$21.00$22.00$21.00$22.00
ATM IV27.4%25.0%29.8%28.5%25.6%
Expected Move8.3%8.1%8.5%8.5%8.4%
HV 20d21.0%17.8%24.3%24.3%17.8%
HV 60d32.0%29.8%34.6%34.6%29.9%
IV Rank27.4%19.6%35.1%30.7%21.5%
IV Percentile41.2%34.5%50.4%43.7%35.3%
Term Structure0.0%-0.7%0.9%0.2%-0.1%
VWIV29.6%28.3%30.4%29.5%29.4%
Skew 25d1.9%0.7%3.4%1.1%2.0%
Skew 10d3.9%1.8%6.8%2.2%3.5%
Call IV 25d27.4%24.6%30.2%28.7%25.4%
Put IV 25d29.4%27.3%32.7%29.9%27.5%
Bid-Ask Spread %4.784.195.955.365.70
Gamma HHI0.080.070.100.080.07
Net GEX5.0M-4.7M17.3M17.3M761.6K
Net DEX382.6M37.2M633.1M37.2M531.0M
Net VEX-7.7M-9.1M-6.7M-9.1M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.261.620.540.28
Total Volume63,442.3531,386132,69244,08532,907
Total OI3,214,709.453,093,4843,326,1053,226,1543,307,172

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2013-11-01$21.08$21.0028.5%8.5%24.3%30.7%29.5%1.1%0.2%17.3M37.2M-9.1M0.545.3628,56915,5162,374,887851,267
2013-11-04$20.85$21.0028.0%8.5%22.2%29.2%30.0%1.4%0.2%14.4M125.1M-8.7M0.264.3742,44611,1132,342,027823,700
2013-11-05$20.90$21.0027.6%8.5%22.3%28.0%30.4%1.5%-0.0%15.5M107.4M-8.8M0.294.4224,7677,2132,349,471829,516
2013-11-06$21.00$21.0027.5%8.4%21.2%27.6%29.9%0.9%-0.2%17.3M74.0M-8.8M0.344.5623,4237,9632,360,084831,627
2013-11-07$20.83$21.0027.7%8.4%21.0%28.3%29.7%0.7%0.3%14.4M148.0M-8.5M0.484.1925,51012,2872,371,423834,266
2013-11-08$20.69$21.0027.1%8.4%20.4%26.4%30.1%0.8%0.6%12.4M198.1M-8.4M1.114.7730,68434,0522,381,614838,402
2013-11-11$20.60$21.0027.6%8.3%20.5%28.1%29.3%1.0%0.2%9.4M236.0M-8.2M0.484.5439,58019,0972,363,481834,008
2013-11-12$20.00$21.0029.3%8.4%23.0%33.5%29.3%2.2%0.0%1.7M425.2M-7.6M1.064.9461,49465,2922,386,792843,937
2013-11-13$19.78$22.0029.8%8.4%23.3%35.1%30.1%2.5%-0.2%-1.4M489.6M-7.6M0.594.8153,24731,3602,407,866877,161
2013-11-14$20.05$22.0028.5%8.2%21.6%30.9%28.3%1.7%0.1%1.1M403.5M-7.8M0.444.6842,42318,8632,416,684879,615
2013-11-15$20.00$22.0026.6%8.1%21.5%24.8%29.1%1.4%0.0%6.1M429.0M-7.7M0.964.5431,06629,8882,438,327887,778
2013-11-18$19.67$22.0027.9%8.1%21.1%28.8%29.4%2.6%-0.5%2.9M461.7M-7.3M0.644.9336,59523,3332,287,743805,741
2013-11-19$19.61$22.0027.3%8.2%18.8%27.0%29.7%2.3%-0.5%1.7M479.7M-7.2M0.724.8222,48716,2672,303,485817,033
2013-11-20$19.14$22.0029.5%8.3%20.0%34.2%29.8%3.4%-0.7%-1.3M588.2M-6.8M0.715.9577,81654,8762,310,089824,013
2013-11-21$19.24$22.0027.8%8.4%19.9%28.7%29.0%3.0%-0.4%-2.9M559.5M-7.0M1.624.6433,06053,7172,354,027844,590
2013-11-22$19.13$22.0026.2%8.3%19.9%23.4%29.3%2.6%0.3%-904.6K597.2M-6.9M1.264.5822,64028,5392,364,542867,351
2013-11-25$19.27$22.0025.5%8.3%20.5%21.2%30.0%2.2%0.9%-1.0M541.0M-7.0M0.454.5143,41419,7282,344,652851,977
2013-11-26$19.13$22.0025.0%8.3%20.3%19.6%30.3%2.7%0.6%-2.1M588.7M-6.8M1.044.4636,98338,3622,364,678859,381
2013-11-27$18.96$22.0025.3%8.4%19.5%20.6%29.6%2.7%0.1%-4.7M633.1M-6.7M0.624.8344,47627,7942,384,594879,188
2013-11-29$19.24$22.0025.6%8.4%17.8%21.5%29.4%2.0%-0.1%761.6K531.0M-7.2M0.285.7025,8007,1072,414,544892,628