SLV Options History — April 2014 In April 2014, SLV traded between $18.46 and $19.27. ATM implied volatility averaged 22.8%, placing in the 4.8% IV rank vs the trailing year. The 30-day expected move averaged 7.3%. IV traded above realized volatility by 9.7% (HV 20d: 13.1%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 11 of 21 days. Put/call ratio averaged 0.48.
Notable Days 2014-04-24 : Highest Volume — 187,753 contracts2014-04-30 : Largest IV spike — 7.3% change2014-04-15 : Highest IV Rank — 10.2%2014-04-02 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $18.96 $18.46 $19.27 $19.06 $18.46 Max Pain $18.95 $18.00 $19.00 $19.00 $18.00 ATM IV 22.8% 21.3% 24.2% 23.1% 22.9% Expected Move 7.3% 6.8% 7.6% 7.6% 6.9% HV 20d 13.1% 10.2% 18.9% 18.6% 12.1% HV 60d 21.2% 19.9% 22.5% 22.4% 20.1% IV Rank 4.8% 0.0% 10.2% 8.1% 7.6% IV Percentile 2.3% 0.0% 5.6% 2.4% 4.8% Term Structure -0.0% -0.5% 0.5% 0.2% -0.3% VWIV 26.4% 24.2% 28.7% 28.2% 25.4% Skew 25d -0.6% -1.5% 0.5% -0.7% -0.1% Skew 10d -1.3% -3.1% 0.5% -1.0% -0.1% Call IV 25d 23.9% 21.9% 25.5% 24.4% 23.9% Put IV 25d 23.3% 22.0% 24.6% 23.7% 23.8% Bid-Ask Spread % 6.59 5.31 9.10 7.53 5.36 Gamma HHI 0.08 0.07 0.11 0.07 0.08 Net GEX 19.7M 14.0M 27.5M 20.5M 14.0M Net DEX -56.9M -161.8M 52.8M -50.7M 52.8M Net VEX -8.3M -8.8M -7.7M -8.6M -8.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.48 0.12 0.87 0.62 0.56 Total Volume 75,240.905 33,665 187,753 57,790 110,256 Total OI 2,922,933.476 2,594,425 3,109,040 2,978,108 2,853,696
Daily Data (21 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 2014-04-01 $19.06 $19.00 23.1% 7.6% 18.6% 8.1% 28.2% -0.7% 0.2% 20.5M -50.7M -8.6M 0.62 7.53 35,630 22,160 2,276,138 701,970 2014-04-02 $19.19 $19.00 22.6% 7.6% 18.9% 6.6% 28.7% -1.1% 0.2% 22.6M -127.6M -8.8M 0.48 9.10 35,583 17,086 2,288,109 709,308 2014-04-03 $19.06 $19.00 22.1% 7.6% 17.8% 5.0% 26.4% -1.2% 0.2% 18.6M -47.8M -8.6M 0.63 7.02 20,609 13,056 2,307,237 717,240 2014-04-04 $19.16 $19.00 22.6% 7.6% 15.5% 6.6% 27.7% -1.4% 0.4% 21.7M -113.2M -8.7M 0.53 8.08 53,983 28,519 2,310,185 723,102 2014-04-07 $19.13 $19.00 22.6% 7.6% 15.5% 6.5% 27.7% -0.9% 0.1% 20.5M -72.2M -8.5M 0.30 6.40 41,703 12,415 2,293,127 718,407 2014-04-08 $19.23 $19.00 22.7% 7.6% 15.7% 6.4% 28.4% -0.8% 0.0% 22.6M -129.9M -8.7M 0.12 7.70 73,082 8,834 2,307,449 724,019 2014-04-09 $19.11 $19.00 22.8% 7.6% 13.1% 4.3% 27.1% -0.9% -0.4% 19.2M -69.9M -8.6M 0.69 5.45 33,115 22,705 2,324,780 727,216 2014-04-10 $19.27 $19.00 23.2% 7.5% 13.7% 5.8% 26.1% -1.5% -0.5% 24.6M -161.8M -8.8M 0.13 7.01 79,663 10,087 2,334,367 734,957 2014-04-11 $19.19 $19.00 23.1% 7.5% 12.4% 3.3% 26.6% -1.5% -0.0% 20.0M -137.3M -8.8M 0.26 6.99 52,005 13,615 2,354,722 738,543 2014-04-14 $19.21 $19.00 23.4% 7.4% 11.8% 4.3% 26.4% -1.3% 0.1% 18.2M -112.2M -8.6M 0.33 6.87 29,064 9,558 2,313,783 731,757 2014-04-15 $18.88 $19.00 24.2% 7.3% 12.1% 10.2% 26.2% -1.0% 0.4% 14.3M 50.1M -8.2M 0.87 6.75 52,904 45,798 2,326,530 734,063 2014-04-16 $18.88 $19.00 23.2% 7.2% 11.7% 5.4% 25.9% -0.4% 0.5% 17.7M 34.1M -8.2M 0.26 7.16 47,158 12,399 2,339,346 745,679 2014-04-17 $18.88 $19.00 22.5% 7.2% 10.9% 1.9% 25.0% -0.1% 0.3% 20.3M 39.9M -8.1M 0.78 5.95 38,386 29,983 2,360,144 748,896 2014-04-21 $18.67 $19.00 23.1% 7.2% 11.4% 4.8% 26.5% 0.5% -0.4% 16.8M -761.7K -7.7M 0.69 5.44 37,059 25,408 2,012,073 582,352 2014-04-22 $18.71 $19.00 23.8% 7.2% 10.3% 8.5% 26.7% 0.2% -0.4% 17.5M -21.9M -7.8M 0.48 5.53 53,242 25,773 2,025,645 597,191 2014-04-23 $18.69 $19.00 22.6% 7.1% 10.2% 2.2% 27.0% 0.2% -0.2% 19.0M -15.5M -7.7M 0.69 5.31 33,668 23,249 2,055,712 606,174 2014-04-24 $18.92 $19.00 22.5% 7.1% 10.7% 1.8% 25.2% 0.1% -0.3% 22.2M -103.7M -8.0M 0.36 6.33 137,758 49,995 2,078,510 614,336 2014-04-25 $18.94 $19.00 21.8% 7.0% 10.7% 0.0% 24.6% -0.3% -0.3% 27.5M -114.4M -8.3M 0.50 6.78 74,378 37,536 2,125,911 642,797 2014-04-28 $18.85 $19.00 21.8% 6.9% 10.8% 0.3% 24.4% -0.5% 0.2% 18.4M -64.7M -8.2M 0.54 5.93 38,508 20,714 2,126,909 654,228 2014-04-29 $18.76 $19.00 21.3% 6.8% 10.9% 0.0% 24.2% 0.1% -0.1% 17.4M -27.9M -8.1M 0.25 5.63 58,845 14,570 2,152,494 662,501 2014-04-30 $18.46 $18.00 22.9% 6.9% 12.1% 7.6% 25.4% -0.1% -0.3% 14.0M 52.8M -8.0M 0.56 5.36 70,627 39,629 2,187,087 666,609
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