SLV Options History — September 2014

In September 2014, SLV traded between $16.35 and $18.43. ATM implied volatility averaged 20.8%, placing in the 22.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 9.3% (HV 20d: 11.5%). 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 3 of 21 days. Put/call ratio averaged 0.63.

Notable Days

2014-09-19: Highest Volume — 221,599 contracts
2014-09-19: Largest IV spike — 30.0% change
2014-09-30: Highest IV Rank — 75.2%
2014-09-30: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.66	$16.35	$18.43	$18.41	$16.35
Max Pain	$18.50	$18.00	$19.00	$19.00	$18.00
ATM IV	20.8%	16.7%	31.5%	17.6%	31.5%
Expected Move	5.9%	5.3%	7.7%	5.6%	7.7%
HV 20d	11.5%	8.6%	15.5%	11.0%	15.5%
HV 60d	14.7%	12.7%	16.1%	16.1%	15.0%
IV Rank	22.0%	1.9%	75.2%	6.1%	75.2%
IV Percentile	28.5%	1.6%	94.0%	7.9%	94.0%
Term Structure	-0.2%	-0.7%	1.0%	0.5%	-0.4%
VWIV	21.7%	18.8%	29.1%	21.9%	29.1%
Skew 25d	1.5%	-1.7%	6.7%	-1.2%	6.7%
Skew 10d	3.0%	-2.3%	12.6%	-1.8%	12.6%
Call IV 25d	21.1%	17.7%	30.1%	18.7%	30.1%
Put IV 25d	22.6%	16.8%	36.8%	17.6%	36.8%
Bid-Ask Spread %	10.51	8.52	12.07	11.37	9.77
Gamma HHI	0.10	0.08	0.12	0.11	0.08
Net GEX	20.7M	6.9M	33.5M	31.7M	6.9M
Net DEX	184.6M	-32.9M	408.2M	-14.9M	393.1M
Net VEX	-7.7M	-8.2M	-6.9M	-8.1M	-7.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.63	0.21	1.31	0.34	0.99
Total Volume	92,859.667	40,343	221,599	91,165	209,466
Total OI	3,775,376.238	3,541,025	3,983,232	3,541,025	3,955,833

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
2014-09-02	$18.41	$19.00	17.6%	5.6%	11.0%	6.1%	21.9%	-1.2%	0.5%	31.7M	-14.9M	-8.1M	0.34	11.37	68,187	22,978	2,873,035	667,990
2014-09-03	$18.43	$19.00	17.3%	5.4%	9.4%	4.8%	19.5%	-1.7%	-0.4%	33.5M	-32.9M	-8.2M	0.42	11.92	30,671	13,011	2,905,453	680,130
2014-09-04	$18.32	$19.00	17.2%	5.4%	8.6%	4.2%	20.2%	-0.7%	-0.1%	30.2M	23.3M	-8.0M	0.34	11.39	37,866	13,033	2,919,059	684,663
2014-09-05	$18.42	$19.00	16.7%	5.3%	9.0%	1.9%	18.8%	-0.7%	-0.1%	32.8M	3.5M	-7.9M	0.55	10.06	48,284	26,767	2,929,536	690,035
2014-09-08	$18.26	$19.00	17.5%	5.4%	9.3%	5.8%	19.3%	-0.5%	-0.1%	29.3M	53.5M	-7.9M	0.27	8.52	63,642	17,087	2,943,187	692,381
2014-09-09	$18.31	$19.00	17.4%	5.4%	9.3%	5.6%	19.2%	-0.5%	-0.4%	31.3M	26.9M	-8.0M	0.29	9.82	42,333	12,401	2,967,556	699,381
2014-09-10	$18.24	$18.50	18.1%	5.4%	9.3%	8.6%	19.9%	-0.4%	-0.1%	30.0M	47.9M	-8.1M	0.66	12.07	24,344	15,999	2,981,180	706,418
2014-09-11	$17.96	$18.50	19.3%	5.5%	10.3%	14.6%	19.9%	0.4%	-0.5%	20.6M	168.9M	-7.7M	0.85	8.81	86,256	73,513	2,989,771	714,253
2014-09-12	$17.89	$18.50	19.4%	5.6%	10.1%	15.0%	20.0%	0.5%	-0.7%	23.4M	186.5M	-7.8M	0.53	8.54	49,732	26,452	3,037,843	757,226
2014-09-15	$17.92	$18.50	18.5%	5.5%	9.6%	10.8%	19.8%	0.4%	1.0%	23.9M	171.1M	-7.8M	0.36	11.43	57,522	20,742	3,039,736	754,678
2014-09-16	$17.95	$18.50	18.2%	5.4%	9.6%	9.6%	20.5%	-0.5%	-0.2%	25.3M	139.7M	-7.7M	0.21	9.45	51,745	10,750	3,075,801	763,429
2014-09-17	$17.77	$18.50	17.8%	5.4%	9.7%	7.2%	19.3%	-0.1%	-0.6%	20.4M	225.1M	-7.5M	0.74	11.84	33,193	24,723	3,098,901	765,353
2014-09-18	$17.77	$18.50	17.7%	5.4%	9.7%	7.0%	19.1%	0.1%	-0.3%	19.8M	216.7M	-7.5M	0.67	10.13	34,027	22,807	3,108,297	769,270
2014-09-19	$17.19	$18.50	23.0%	6.0%	14.5%	33.3%	21.7%	3.5%	-0.1%	12.7M	408.2M	-6.9M	1.11	10.92	105,038	116,561	3,125,503	778,570
2014-09-22	$17.08	$18.50	22.9%	6.3%	14.4%	32.9%	22.7%	3.1%	-0.2%	9.3M	314.9M	-7.1M	0.56	10.60	81,770	45,420	2,974,308	770,429
2014-09-23	$17.07	$18.00	23.1%	6.3%	14.5%	33.9%	22.7%	3.0%	-0.6%	11.7M	290.9M	-7.2M	0.85	9.97	43,221	36,914	3,025,153	787,094
2014-09-24	$16.99	$18.00	24.4%	6.6%	14.3%	40.3%	25.0%	4.7%	-0.1%	10.0M	303.1M	-7.3M	0.71	12.02	51,029	35,985	3,049,636	798,469
2014-09-25	$16.83	$18.00	27.3%	7.2%	14.2%	54.7%	26.4%	5.6%	-0.2%	8.8M	310.3M	-7.6M	1.31	11.90	67,600	88,796	3,071,876	818,499
2014-09-26	$16.90	$18.00	25.8%	7.0%	14.2%	46.9%	24.6%	5.4%	0.3%	12.9M	310.9M	-7.8M	0.84	10.53	42,901	36,068	3,108,956	874,276
2014-09-29	$16.78	$18.00	25.1%	7.0%	14.2%	43.8%	25.2%	4.4%	-0.2%	9.9M	330.9M	-7.5M	0.52	9.57	40,351	20,868	3,077,656	852,081
2014-09-30	$16.35	$18.00	31.5%	7.7%	15.5%	75.2%	29.1%	6.7%	-0.4%	6.9M	393.1M	-7.4M	0.99	9.77	105,296	104,170	3,097,937	857,896