SLV Options History — February 2014

In February 2014, SLV traded between $18.61 and $21.18. ATM implied volatility averaged 26.5%, placing in the 24.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 3.6% (HV 20d: 22.9%). Max pain ranged from $19.00 to $20.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 0.40.

Notable Days

  • 2014-02-14: Highest Volume — 285,643 contracts
  • 2014-02-07: Largest IV drop — 12.3% change
  • 2014-02-18: Highest IV Rank — 28.9%
  • 2014-02-03: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$20.03$18.61$21.18$18.61$20.35
Max Pain$19.89$19.00$20.00$20.00$19.00
ATM IV26.5%23.6%27.9%27.7%25.3%
Expected Move8.0%7.8%8.1%8.1%7.9%
HV 20d22.9%17.2%27.7%21.1%25.3%
HV 60d25.8%24.5%27.3%25.0%25.8%
IV Rank24.6%15.3%28.9%28.2%20.5%
IV Percentile25.2%13.9%35.7%33.7%13.9%
Term Structure-0.0%-0.4%0.4%-0.4%0.1%
VWIV28.6%27.6%30.0%28.9%28.4%
Skew 25d-0.4%-2.4%1.9%1.9%0.1%
Skew 10d-0.8%-4.3%3.6%3.6%0.3%
Call IV 25d27.9%24.4%30.4%27.8%25.9%
Put IV 25d27.5%24.9%29.7%29.7%26.0%
Bid-Ask Spread %6.014.696.526.416.16
Gamma HHI0.100.080.290.080.09
Net GEX40.9M14.2M84.9M14.2M42.9M
Net DEX-641.0M-1.23B-33.3M-33.3M-674.3M
Net VEX-10.3M-11.5M-8.3M-8.3M-10.9M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.400.150.930.440.58
Total Volume116,610.15852,760285,643134,37161,433
Total OI2,824,478.3162,530,1493,015,3332,530,1492,973,863

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-02-03$18.61$20.0027.7%8.1%21.1%28.2%28.9%1.9%-0.4%14.2M-33.3M-8.3M0.446.4193,58640,7851,865,176664,973
2014-02-04$18.75$20.0026.7%8.0%21.4%25.0%27.8%0.9%-0.2%17.0M-73.9M-8.6M0.856.3643,41036,8591,915,447691,247
2014-02-05$19.07$20.0027.0%8.1%21.8%26.0%28.4%1.0%0.0%24.7M-232.2M-9.1M0.475.7474,99635,3031,943,681695,197
2014-02-06$19.17$20.0027.0%8.1%21.0%26.0%28.6%0.7%0.0%27.4M-269.9M-9.4M0.416.3237,40815,3521,975,149706,460
2014-02-07$19.27$20.0023.6%8.0%21.1%15.3%28.4%0.5%0.3%26.6M-287.8M-9.1M0.936.0982,76677,0021,989,905711,557
2014-02-10$19.29$20.0025.1%8.1%18.5%20.1%28.8%0.1%0.0%28.4M-298.2M-9.3M0.435.4452,97622,9622,007,650722,200
2014-02-11$19.45$20.0025.7%8.1%17.9%21.9%28.5%-0.3%-0.0%31.6M-371.1M-9.6M0.195.4583,27516,2202,030,779733,305
2014-02-12$19.43$20.0025.1%8.0%17.2%20.0%28.4%-0.2%-0.1%35.1M-388.1M-9.7M0.335.9058,91819,4252,080,243737,336
2014-02-13$19.74$20.0025.5%7.9%18.1%21.3%27.6%-1.4%0.0%41.7M-539.7M-9.9M0.175.87121,81220,2812,098,708738,982
2014-02-14$20.65$20.0027.6%7.8%23.9%28.0%27.9%-2.1%-0.4%48.9M-1.03B-11.1M0.236.39232,38653,2572,160,981746,180
2014-02-18$21.13$20.0027.9%7.9%24.9%28.9%27.6%-2.4%-0.0%55.6M-1.23B-11.5M0.206.03149,19429,4862,208,562757,866
2014-02-19$20.63$20.0027.8%8.0%25.7%28.6%29.7%-0.6%0.4%52.4M-966.6M-11.2M0.304.6992,78827,8202,219,441769,776
2014-02-20$21.00$20.0027.4%8.0%25.8%27.2%29.5%-1.5%0.3%54.0M-1.14B-11.4M0.396.5265,94625,9732,200,159773,874
2014-02-21$20.97$20.0027.9%8.1%25.7%28.8%29.5%-1.9%0.3%84.9M-1.13B-11.5M0.156.2186,23012,9912,227,959787,374
2014-02-24$21.18$20.0027.0%8.0%25.6%26.0%29.0%-1.4%-0.2%51.9M-1.07B-11.4M0.216.08117,15224,5012,126,759695,356
2014-02-25$21.02$20.0026.7%7.9%25.0%25.2%27.9%-1.1%-0.3%52.3M-1.00B-11.4M0.345.8951,65517,5592,155,237709,642
2014-02-26$20.42$20.0027.5%8.0%27.7%27.7%30.0%-0.3%-0.0%43.5M-699.0M-10.8M0.506.10111,15655,6852,171,858719,340
2014-02-27$20.46$19.0026.0%7.9%27.7%22.9%28.4%-0.3%-0.0%44.9M-740.4M-11.0M0.446.4746,49820,5472,213,797739,069
2014-02-28$20.35$19.0025.3%7.9%25.3%20.5%28.4%0.1%0.1%42.9M-674.3M-10.9M0.586.1638,80822,6252,225,261748,602