SLV Options History — October 2014 In October 2014, SLV traded between $15.49 and $16.80. ATM implied volatility averaged 26.6%, placing in the 59.1% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded above realized volatility by 7.1% (HV 20d: 19.5%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 23 trading days. Term structure was in contango for 3 of 23 days. Put/call ratio averaged 0.67.
Notable Days 2014-10-31 : Highest Volume — 166,383 contracts2014-10-31 : Largest IV spike — 18.5% change2014-10-31 : Highest IV Rank — 99.2%2014-10-31 : Largest Expected Move — 8.0%Monthly Statistics Metric Avg Min Max Open Close Price $16.48 $15.49 $16.80 $16.48 $15.49 Max Pain $17.32 $17.00 $18.00 $18.00 $17.00 ATM IV 26.6% 22.9% 31.4% 31.1% 31.4% Expected Move 7.1% 6.4% 8.0% 7.6% 8.0% HV 20d 19.5% 16.1% 21.7% 16.1% 21.7% HV 60d 15.4% 14.5% 16.6% 15.1% 16.6% IV Rank 59.1% 43.2% 99.2% 73.4% 99.2% IV Percentile 68.5% 42.1% 99.6% 93.3% 99.6% Term Structure -0.4% -1.2% 0.2% -0.8% -0.2% VWIV 26.2% 22.7% 29.2% 29.2% 28.4% Skew 25d 3.9% 1.8% 8.1% 5.8% 8.1% Skew 10d 7.6% 4.0% 15.0% 11.8% 15.0% Call IV 25d 25.8% 22.0% 29.7% 29.7% 29.1% Put IV 25d 29.7% 24.8% 37.2% 35.4% 37.2% Bid-Ask Spread % 9.78 7.41 11.56 9.28 10.59 Gamma HHI 0.08 0.07 0.17 0.08 0.17 Net GEX 8.7M -8.5M 15.7M 6.5M -8.5M Net DEX 329.4M 196.9M 568.3M 366.4M 568.3M Net VEX -7.4M -8.2M -6.3M -7.8M -6.3M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.67 0.27 1.10 0.68 0.73 Total Volume 79,990.957 36,862 166,383 77,883 166,383 Total OI 3,979,593 3,682,128 4,172,389 4,060,293 3,865,469
Daily Data (23 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 2014-10-01 $16.48 $18.00 31.1% 7.6% 16.1% 73.4% 29.2% 5.8% -0.8% 6.5M 366.4M -7.8M 0.68 9.28 46,449 31,434 3,139,884 920,409 2014-10-02 $16.41 $17.50 30.1% 7.5% 16.1% 68.4% 28.8% 5.8% 0.2% 3.3M 401.5M -7.6M 1.10 10.15 35,674 39,364 3,152,649 933,810 2014-10-03 $16.12 $17.50 28.2% 7.3% 16.1% 59.1% 27.9% 5.3% -0.7% 3.6M 513.9M -7.1M 0.80 8.62 82,740 66,013 3,169,655 954,018 2014-10-06 $16.60 $17.50 26.4% 7.1% 20.6% 49.9% 25.6% 4.2% 0.2% 9.4M 327.8M -7.7M 0.33 7.41 53,275 17,396 3,164,481 924,467 2014-10-07 $16.48 $17.50 26.6% 7.2% 20.4% 51.3% 28.0% 4.1% -0.7% 9.7M 352.2M -7.6M 0.75 8.97 23,293 17,471 3,186,204 928,641 2014-10-08 $16.71 $17.50 26.9% 7.3% 21.5% 52.7% 28.9% 3.9% 0.1% 12.5M 283.5M -7.8M 0.91 8.84 51,890 47,133 3,196,199 935,646 2014-10-09 $16.62 $17.50 27.7% 7.3% 21.1% 56.6% 26.4% 4.0% -0.2% 12.4M 289.0M -7.9M 0.39 8.97 49,264 19,019 3,205,590 949,997 2014-10-10 $16.64 $17.50 27.4% 7.3% 21.2% 59.7% 25.7% 2.9% -0.3% 11.4M 283.7M -7.9M 0.73 9.36 22,002 15,973 3,216,695 955,694 2014-10-13 $16.73 $17.50 27.2% 7.4% 21.3% 59.3% 25.8% 3.2% -0.1% 12.2M 268.6M -7.9M 0.40 9.69 29,628 11,834 3,191,027 940,475 2014-10-14 $16.66 $17.50 27.0% 7.2% 21.2% 58.3% 28.9% 3.1% -1.2% 12.1M 289.8M -7.8M 0.75 8.90 31,942 23,964 3,207,515 943,486 2014-10-15 $16.72 $17.50 29.4% 7.5% 21.3% 74.2% 28.7% 3.1% -1.0% 14.3M 239.6M -8.0M 0.33 11.56 97,625 31,969 3,214,520 941,558 2014-10-16 $16.67 $17.50 29.3% 7.5% 21.2% 77.9% 27.6% 2.9% -1.0% 15.7M 228.3M -8.2M 0.34 11.53 39,809 13,679 3,206,090 938,523 2014-10-17 $16.58 $17.50 27.6% 7.5% 18.1% 72.0% 27.6% 3.8% -0.1% 12.7M 283.1M -7.7M 0.64 10.35 22,528 14,334 3,213,340 943,915 2014-10-20 $16.71 $0.00 25.8% 7.1% 18.3% 61.0% 24.5% 3.5% -0.4% 12.7M 210.7M -7.6M 0.66 9.43 52,383 34,313 2,858,380 823,748 2014-10-21 $16.80 $17.00 23.0% 6.6% 18.4% 43.2% 23.6% 1.8% -0.2% 14.4M 196.9M -7.6M 0.44 9.08 71,847 31,646 2,880,949 838,738 2014-10-22 $16.45 $17.00 23.9% 6.6% 19.8% 50.1% 23.2% 2.9% -0.8% 9.5M 318.4M -7.1M 0.81 10.29 60,377 48,977 2,908,952 845,689 2014-10-23 $16.51 $17.00 23.6% 6.7% 19.6% 47.9% 23.5% 2.9% -0.3% 9.2M 306.6M -7.2M 1.01 10.31 34,388 34,896 2,923,924 868,129 2014-10-24 $16.49 $17.00 23.1% 6.5% 19.5% 44.7% 22.8% 2.6% -0.5% 8.2M 320.7M -7.1M 0.59 11.06 47,819 27,984 2,931,190 877,797 2014-10-27 $16.42 $17.00 22.9% 6.5% 19.4% 43.6% 23.4% 3.4% -0.1% 7.3M 331.1M -7.0M 0.27 9.47 37,137 10,169 2,916,202 865,331 2014-10-28 $16.49 $17.00 23.2% 6.6% 17.1% 45.5% 25.1% 3.2% -0.3% 8.3M 313.7M -7.1M 0.91 10.45 20,988 19,071 2,927,684 870,054 2014-10-29 $16.41 $17.00 22.9% 6.4% 17.0% 43.5% 22.7% 4.6% -0.5% 5.8M 358.5M -6.9M 1.05 11.02 40,594 42,571 2,937,028 883,475 2014-10-30 $15.82 $17.00 26.5% 7.1% 21.3% 67.0% 26.3% 5.1% -0.5% -3.1M 524.3M -6.3M 0.77 9.69 69,369 53,178 2,942,966 890,446 2014-10-31 $15.49 $17.00 31.4% 8.0% 21.7% 99.2% 28.4% 8.1% -0.2% -8.5M 568.3M -6.3M 0.73 10.59 96,383 70,000 2,961,269 904,200
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