SLV Options History — January 2015

In January 2015, SLV traded between $15.09 and $17.62. ATM implied volatility averaged 31.6%, placing in the 77.3% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 0.9% (HV 20d: 32.6%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.41.

Notable Days

2015-01-16: Highest Volume — 180,512 contracts
2015-01-29: Largest IV spike — 12.1% change
2015-01-16: Highest IV Rank — 95.6%
2015-01-16: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.46	$15.09	$17.62	$15.09	$16.54
Max Pain	$15.70	$15.50	$16.00	$15.50	$16.00
ATM IV	31.6%	29.0%	35.3%	32.1%	32.3%
Expected Move	9.0%	8.1%	9.9%	9.0%	9.2%
HV 20d	32.6%	27.3%	37.2%	34.0%	35.1%
HV 60d	34.9%	33.1%	37.4%	33.1%	37.4%
IV Rank	77.3%	64.2%	95.6%	79.7%	80.5%
IV Percentile	91.9%	82.1%	99.2%	96.4%	94.4%
Term Structure	-0.4%	-1.3%	0.4%	-0.4%	-0.3%
VWIV	31.9%	28.8%	35.5%	31.5%	33.0%
Skew 25d	-0.2%	-3.0%	2.6%	2.6%	0.8%
Skew 10d	-0.1%	-5.2%	8.0%	5.2%	1.8%
Call IV 25d	32.9%	29.0%	37.5%	32.4%	32.9%
Put IV 25d	32.7%	30.2%	35.4%	34.9%	33.7%
Bid-Ask Spread %	4.98	3.86	6.79	6.35	4.52
Gamma HHI	0.08	0.06	0.21	0.07	0.08
Net GEX	20.9M	5.7M	37.7M	5.7M	22.7M
Net DEX	-218.0M	-792.2M	359.4M	359.4M	-359.5M
Net VEX	-8.0M	-9.3M	-6.4M	-6.4M	-8.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.41	0.26	0.63	0.38	0.41
Total Volume	88,964.5	42,478	180,512	84,958	68,583
Total OI	3,202,202.25	2,128,675	4,086,099	3,977,096	2,265,464

Daily Data (20 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
2015-01-02	$15.09	$15.50	32.1%	9.0%	34.0%	79.7%	31.5%	2.6%	-0.4%	5.7M	359.4M	-6.4M	0.38	6.35	61,732	23,226	3,104,225	872,871
2015-01-05	$15.50	$15.50	32.5%	8.9%	35.5%	81.5%	31.8%	2.2%	-0.8%	9.6M	247.1M	-6.7M	0.50	5.95	61,681	30,585	3,085,233	865,456
2015-01-06	$15.83	$15.50	31.1%	8.6%	36.1%	74.5%	30.6%	1.5%	-0.6%	14.0M	133.1M	-7.0M	0.48	5.23	57,250	27,564	3,097,495	864,302
2015-01-07	$15.85	$15.50	29.8%	8.4%	36.1%	68.0%	29.4%	2.0%	0.2%	15.9M	118.8M	-7.0M	0.56	5.53	52,046	29,164	3,110,585	855,747
2015-01-08	$15.64	$15.50	30.1%	8.4%	33.2%	69.6%	30.2%	1.4%	-0.5%	14.1M	183.6M	-7.1M	0.33	4.65	50,459	16,880	3,138,999	872,445
2015-01-09	$15.75	$15.50	29.1%	8.2%	33.3%	64.5%	28.8%	1.2%	-0.3%	12.8M	157.9M	-7.1M	0.31	4.31	47,153	14,584	3,146,899	871,683
2015-01-12	$15.87	$15.50	29.0%	8.1%	33.5%	64.2%	28.9%	1.3%	-0.7%	14.8M	125.3M	-7.1M	0.30	4.20	53,161	15,726	3,131,348	855,027
2015-01-13	$16.30	$15.50	29.9%	8.3%	34.9%	68.6%	29.8%	0.1%	-0.8%	21.4M	-39.9M	-7.7M	0.36	4.82	101,687	36,219	3,162,324	861,898
2015-01-14	$16.16	$15.50	31.0%	8.7%	29.6%	74.2%	30.7%	-0.1%	-0.8%	20.8M	-7.4M	-7.8M	0.43	3.86	60,348	25,796	3,192,164	880,881
2015-01-15	$16.16	$15.50	33.0%	9.3%	27.3%	84.2%	33.2%	-1.4%	-0.7%	19.9M	-8.5M	-7.8M	0.30	4.40	69,931	20,937	3,188,804	882,196
2015-01-16	$16.95	$15.50	35.3%	9.9%	31.5%	95.6%	35.4%	-3.0%	-0.3%	37.7M	-314.2M	-8.7M	0.26	5.41	142,939	37,573	3,204,546	881,553
2015-01-20	$17.18	$15.50	34.7%	9.9%	31.6%	92.7%	35.5%	-1.8%	0.4%	22.8M	-636.5M	-8.9M	0.45	4.91	72,531	32,819	1,580,895	547,780
2015-01-21	$17.37	$16.00	34.0%	9.7%	31.6%	89.3%	34.7%	-2.7%	-0.3%	25.1M	-703.1M	-9.1M	0.26	4.78	108,315	28,535	1,622,166	569,701
2015-01-22	$17.62	$16.00	31.6%	9.1%	29.0%	77.2%	32.1%	-2.5%	-0.2%	28.9M	-792.2M	-9.3M	0.31	4.83	70,278	22,097	1,649,911	587,131
2015-01-23	$17.54	$16.00	30.7%	8.8%	29.3%	72.5%	31.5%	-2.0%	-0.1%	37.0M	-754.0M	-9.1M	0.45	4.90	43,769	19,888	1,638,541	591,360
2015-01-26	$17.13	$16.00	30.8%	9.0%	31.3%	73.3%	31.9%	-1.5%	0.0%	26.1M	-575.9M	-8.7M	0.63	4.48	32,943	20,639	1,615,688	579,506
2015-01-27	$17.33	$16.00	31.3%	9.1%	31.1%	75.9%	33.2%	-1.5%	-0.6%	26.1M	-633.4M	-8.8M	0.28	4.66	33,134	9,344	1,616,219	591,876
2015-01-28	$17.23	$16.00	30.3%	8.7%	30.3%	70.8%	30.8%	-1.4%	-1.3%	26.9M	-600.3M	-8.7M	0.48	6.79	34,693	16,595	1,630,761	595,714
2015-01-29	$16.23	$16.00	34.0%	9.8%	37.2%	89.3%	35.3%	0.3%	-0.7%	16.7M	-259.8M	-7.9M	0.63	5.07	78,735	49,751	1,632,850	601,801
2015-01-30	$16.54	$16.00	32.3%	9.2%	35.1%	80.5%	33.0%	0.8%	-0.3%	22.7M	-359.5M	-8.2M	0.41	4.52	48,504	20,079	1,650,681	614,783