SLV Options History — November 2014

In November 2014, SLV traded between $14.66 and $15.98. ATM implied volatility averaged 30.3%, placing in the 72.7% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 2.6% (HV 20d: 27.6%). Max pain ranged from $15.50 to $17.00. Net GEX was positive for 16 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.52.

Notable Days

  • 2014-11-14: Highest Volume — 163,385 contracts
  • 2014-11-05: Largest IV spike — 21.8% change
  • 2014-11-05: Highest IV Rank — 100.0%
  • 2014-11-05: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.34$14.66$15.98$15.45$14.83
Max Pain$15.92$15.50$17.00$17.00$15.50
ATM IV30.3%26.4%36.1%30.6%32.7%
Expected Move8.1%7.5%8.8%7.8%8.6%
HV 20d27.6%18.2%37.1%18.3%37.1%
HV 60d20.8%16.5%26.1%16.5%26.1%
IV Rank72.7%50.9%100.0%94.0%82.6%
IV Percentile91.7%67.1%100.0%98.4%99.2%
Term Structure-0.4%-1.9%1.3%-0.3%-0.1%
VWIV29.1%27.3%31.9%28.2%30.6%
Skew 25d4.7%2.6%7.2%6.7%6.2%
Skew 10d8.8%5.9%14.4%12.2%10.8%
Call IV 25d29.4%26.7%33.0%29.0%32.0%
Put IV 25d34.1%29.3%40.3%35.7%38.2%
Bid-Ask Spread %8.547.0110.449.989.48
Gamma HHI0.080.070.110.080.08
Net GEX6.5M-3.3M16.2M296.9K5.8M
Net DEX427.8M192.6M666.3M525.8M481.8M
Net VEX-6.7M-7.4M-5.6M-6.4M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.520.290.920.860.54
Total Volume94,261.68427,505163,385118,64373,020
Total OI4,061,122.8423,857,3164,246,6653,857,3164,047,522

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2014-11-03$15.45$17.0030.6%7.8%18.3%94.0%28.2%6.7%-0.3%296.9K525.8M-6.4M0.869.9863,66254,9812,965,140892,176
2014-11-04$15.36$17.0029.7%7.9%18.2%87.9%28.4%5.6%0.1%-282.9K544.2M-6.3M0.928.2039,70736,4702,989,220913,174
2014-11-05$14.66$16.5036.1%8.8%22.7%100.0%30.5%7.2%-0.5%-3.3M666.3M-5.6M0.677.0186,85858,5892,995,517924,881
2014-11-06$14.82$16.5033.5%8.6%23.5%86.6%31.9%6.0%-0.4%-2.2M620.3M-6.0M0.507.5559,69430,0893,037,099951,087
2014-11-07$15.13$16.5031.1%8.4%25.2%74.8%29.3%5.2%1.3%1.5M545.1M-6.4M0.409.1880,39532,4953,057,911952,647
2014-11-10$14.90$16.0030.7%8.2%25.2%72.8%29.1%6.5%-1.0%197.9K583.5M-6.0M0.6510.0459,29438,3343,056,737921,696
2014-11-11$15.10$16.0030.9%8.2%26.1%73.4%29.6%5.3%-1.0%1.3M537.5M-6.2M0.429.0570,36629,3543,044,975918,623
2014-11-12$15.02$16.0030.1%8.2%25.9%69.8%29.7%5.1%-0.2%2.5M528.6M-6.3M0.497.9570,39734,8133,124,525944,660
2014-11-13$14.97$16.0029.0%8.0%25.9%64.2%27.5%5.1%-0.3%2.3M541.4M-6.3M0.317.57101,03931,8123,157,694957,673
2014-11-14$15.63$15.5031.0%8.3%31.1%74.0%28.7%4.4%-1.9%8.4M299.3M-7.4M0.419.02116,10747,2783,206,282963,733
2014-11-17$15.50$15.5031.8%8.2%30.9%78.0%29.5%4.1%-1.5%9.7M351.5M-7.2M0.558.1844,35024,1873,219,404968,687
2014-11-18$15.56$15.5029.6%8.1%30.8%67.1%30.2%3.1%0.8%11.9M323.5M-7.2M0.497.6144,13521,8423,231,091972,060
2014-11-19$15.48$15.5032.1%8.2%30.2%79.7%29.3%3.5%-1.8%10.5M345.8M-7.2M0.3610.4476,87727,6113,242,147975,273
2014-11-20$15.59$15.5028.6%7.9%30.3%62.1%29.1%3.7%-0.2%14.1M313.0M-7.2M0.678.7743,71729,4623,263,990980,209
2014-11-21$15.76$15.5027.2%7.6%30.7%55.0%27.9%3.6%-0.2%15.8M253.1M-7.4M0.518.5777,35439,4513,264,735981,930
2014-11-24$15.78$15.5026.9%7.5%30.7%53.4%27.3%3.1%-0.6%13.0M264.2M-7.3M0.377.4530,33511,1903,105,080888,478
2014-11-25$15.98$15.5026.4%7.6%31.1%50.9%28.0%2.6%0.7%16.2M192.6M-7.4M0.498.2052,41925,7833,122,816886,596
2014-11-26$15.87$15.5027.0%7.7%31.1%54.1%27.6%3.1%-0.5%16.1M210.5M-7.4M0.297.9221,2506,2553,141,672894,194
2014-11-28$14.83$15.5032.7%8.6%37.1%82.6%30.6%6.2%-0.1%5.8M481.8M-6.4M0.549.4847,56725,4533,150,427897,095