SLV Options History — February 2015

In February 2015, SLV traded between $15.54 and $16.64. ATM implied volatility averaged 31.4%, placing in the 76.0% IV rank vs the trailing year. The 30-day expected move averaged 9.0%. IV traded below realized volatility by 2.5% (HV 20d: 33.9%). Max pain ranged from $16.00 to $16.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 3 of 19 days. Put/call ratio averaged 0.67.

Notable Days

  • 2015-02-06: Highest Volume — 125,637 contracts
  • 2015-02-17: Largest IV spike — 11.8% change
  • 2015-02-17: Highest IV Rank — 87.1%
  • 2015-02-17: Largest Expected Move — 9.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.05$15.54$16.64$16.47$15.86
Max Pain$16.00$16.00$16.00$16.00$16.00
ATM IV31.4%29.0%33.6%32.2%29.0%
Expected Move9.0%8.2%9.6%9.3%8.2%
HV 20d33.9%25.8%35.9%35.2%25.8%
HV 60d36.1%31.5%37.3%37.3%31.5%
IV Rank76.0%64.0%87.1%80.0%64.0%
IV Percentile87.5%69.4%96.8%94.0%69.4%
Term Structure-0.2%-1.5%0.4%-0.5%-0.0%
VWIV31.8%29.2%33.9%32.8%29.4%
Skew 25d0.7%-0.1%1.9%0.2%1.2%
Skew 10d1.7%-0.3%3.6%1.6%2.0%
Call IV 25d31.8%28.9%33.9%33.2%28.9%
Put IV 25d32.5%29.8%35.0%33.4%30.1%
Bid-Ask Spread %5.184.096.604.766.23
Gamma HHI0.080.060.270.070.06
Net GEX13.9M-8.5M26.9M18.9M12.2M
Net DEX-202.6M-397.7M-44.5M-345.7M-118.8M
Net VEX-7.4M-8.2M-6.7M-8.1M-6.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.670.341.220.551.22
Total Volume56,013.05321,811125,63721,81144,158
Total OI2,247,027.5262,175,1632,328,7912,209,3382,236,653

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-02-02$16.47$16.0032.2%9.3%35.2%80.0%32.8%0.2%-0.5%18.9M-345.7M-8.1M0.554.7614,1167,6951,610,592598,746
2015-02-03$16.53$16.0031.5%9.0%34.2%76.9%31.9%0.3%0.4%19.8M-360.9M-8.1M0.505.4635,35617,8271,616,286603,788
2015-02-04$16.64$16.0031.0%8.7%33.6%74.0%31.8%0.1%-0.2%21.7M-397.7M-8.2M0.345.4437,95313,0321,617,791609,073
2015-02-05$16.57$16.0031.9%9.0%33.6%78.6%32.1%-0.1%-0.1%21.1M-364.7M-8.1M0.434.9539,06216,8341,625,793611,393
2015-02-06$16.03$16.0031.7%9.1%35.5%77.7%32.6%0.5%-0.2%12.6M-201.3M-7.6M0.565.1980,71944,9181,642,447615,399
2015-02-09$16.30$16.0031.5%9.0%35.9%76.9%32.2%0.5%-0.0%17.1M-284.1M-7.8M0.494.6829,98814,7661,620,636619,589
2015-02-10$16.20$16.0031.3%8.9%35.9%75.8%31.9%0.8%-0.4%16.4M-244.2M-7.6M0.634.9923,65614,9541,622,679618,876
2015-02-11$16.08$16.0031.1%9.0%34.7%74.7%31.7%1.1%-0.0%15.0M-204.9M-7.5M0.635.9628,57418,0161,625,347622,351
2015-02-12$16.14$16.0030.8%8.7%34.6%73.0%30.7%0.8%-0.6%16.1M-216.4M-7.5M0.555.1022,85712,6461,635,950627,685
2015-02-13$16.55$16.0030.0%8.6%35.8%69.3%30.4%0.3%0.0%26.9M-364.3M-7.9M0.525.1165,19934,0321,636,950629,471
2015-02-17$15.82$16.0033.6%9.6%34.9%87.1%33.9%1.0%-0.3%10.9M-125.7M-7.2M0.624.9958,42836,3481,645,067630,965
2015-02-18$15.75$16.0033.0%9.5%34.3%84.2%33.6%1.9%0.4%9.7M-110.9M-7.1M0.535.3044,22223,5961,659,074646,100
2015-02-19$15.70$16.0032.0%9.2%33.9%79.3%32.0%1.2%-0.7%7.3M-77.8M-7.0M1.184.8916,63519,6811,661,677655,309
2015-02-20$15.54$16.0032.5%9.3%33.1%81.9%32.7%1.0%-0.0%-8.5M-44.5M-6.9M0.666.6030,61420,1541,667,542661,249
2015-02-23$15.62$16.0032.3%9.2%33.4%80.6%32.6%1.3%-0.6%10.3M-84.6M-6.8M0.794.7427,23821,6321,575,731599,432
2015-02-24$15.58$16.0031.7%9.0%32.7%77.8%32.0%1.4%-1.5%9.8M-62.5M-6.7M0.895.1129,44226,2081,587,566607,332
2015-02-25$15.84$16.0029.8%8.5%33.1%68.3%30.2%0.2%-0.0%12.6M-122.5M-6.9M0.724.8530,34921,9881,596,327621,995
2015-02-26$15.81$16.0029.0%8.4%33.1%64.4%29.2%0.4%0.0%13.1M-118.5M-6.8M0.904.0921,72319,6321,605,779624,883
2015-02-27$15.86$16.0029.0%8.2%25.8%64.0%29.4%1.2%-0.0%12.2M-118.8M-6.8M1.226.2319,93024,2281,609,091627,562