SLV Options History — March 2015

In March 2015, SLV traded between $14.84 and $16.32. ATM implied volatility averaged 28.2%, placing in the 60.3% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.6% (HV 20d: 21.7%). Max pain ranged from $15.50 to $16.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.66.

Notable Days

  • 2015-03-20: Highest Volume — 118,732 contracts
  • 2015-03-19: Largest IV drop — 11.6% change
  • 2015-03-11: Highest IV Rank — 71.8%
  • 2015-03-02: Largest Expected Move — 8.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.55$14.84$16.32$15.66$15.92
Max Pain$16.05$15.50$16.50$16.00$16.00
ATM IV28.2%26.0%30.5%29.6%26.6%
Expected Move8.1%7.3%8.8%8.8%7.4%
HV 20d21.7%12.7%25.4%25.0%21.7%
HV 60d29.8%27.8%31.8%31.6%27.8%
IV Rank60.3%49.1%71.8%67.2%51.9%
IV Percentile65.6%54.8%79.8%74.2%55.6%
Term Structure0.2%-1.0%1.8%-1.0%0.2%
VWIV28.6%25.9%30.9%30.7%26.3%
Skew 25d1.7%0.3%3.1%0.7%1.1%
Skew 10d3.3%0.4%6.1%0.4%4.6%
Call IV 25d28.2%25.8%30.4%29.8%26.8%
Put IV 25d29.8%27.2%32.3%30.5%27.9%
Bid-Ask Spread %4.993.877.894.214.56
Gamma HHI0.080.070.180.070.07
Net GEX9.5M1.7M24.0M10.3M11.9M
Net DEX-44.9M-266.2M140.2M-62.1M-121.2M
Net VEX-6.3M-6.9M-5.8M-6.6M-6.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.660.291.330.750.45
Total Volume51,079.13618,586118,73268,90746,711
Total OI2,289,662.7272,205,8952,372,3172,205,8952,279,431

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-03-02$15.66$16.0029.6%8.8%25.0%67.2%30.7%0.7%-1.0%10.3M-62.1M-6.6M0.754.2139,41829,4891,590,006615,889
2015-03-03$15.55$15.5029.0%8.6%25.0%64.2%29.9%2.2%0.2%8.6M-31.5M-6.5M0.804.1824,44019,4771,610,504628,449
2015-03-04$15.50$15.5028.9%8.4%24.9%63.7%29.4%1.3%-0.5%7.2M-11.1M-6.4M0.994.8322,16521,8931,617,181632,793
2015-03-05$15.49$16.5029.0%8.3%24.7%64.3%29.1%1.6%-0.5%6.5M-5.5M-6.3M0.793.8724,41119,3421,622,123640,366
2015-03-06$15.18$16.5028.7%8.2%25.4%62.4%29.0%0.8%0.5%4.9M84.2M-6.0M0.613.9948,71929,8221,626,943645,048
2015-03-09$15.10$16.5029.2%8.4%23.0%65.1%29.2%2.5%1.0%4.5M85.6M-5.8M0.494.0724,36111,9171,624,011632,803
2015-03-10$15.02$16.5029.0%8.2%21.8%64.0%29.4%2.5%-0.1%3.3M109.7M-5.8M0.515.9826,50813,4691,630,605638,329
2015-03-11$14.84$16.0030.5%8.6%22.0%71.8%30.6%2.0%-0.8%2.0M140.2M-5.8M0.856.5656,16547,9801,639,041642,628
2015-03-12$14.92$16.0029.8%8.6%22.2%68.0%30.1%1.9%0.1%1.7M121.2M-5.9M0.544.5112,0356,5511,665,776671,332
2015-03-13$14.90$16.0029.2%8.4%22.0%65.2%30.9%2.6%0.1%2.0M126.4M-5.9M1.335.5720,10526,6881,672,684673,770
2015-03-16$14.99$16.0029.4%8.4%19.6%66.1%29.6%3.1%0.3%1.7M109.7M-5.9M0.294.5129,2028,4411,660,809678,585
2015-03-17$14.90$16.0029.8%8.5%12.7%68.0%29.6%2.7%-0.3%2.4M122.8M-5.8M0.594.7817,35910,1791,675,542666,234
2015-03-18$15.36$16.0029.4%8.4%17.3%66.3%30.3%3.1%0.6%9.1M-2.9M-6.2M0.577.8936,70820,9371,682,335668,108
2015-03-19$15.44$16.0026.0%7.4%17.5%49.1%26.3%2.0%0.5%12.5M-17.7M-6.2M0.335.5436,47712,0381,689,577672,165
2015-03-20$16.00$16.0026.7%7.6%21.3%52.5%27.1%1.1%0.3%24.0M-220.2M-6.6M0.404.3584,61134,1211,698,676673,641
2015-03-23$16.30$16.0027.0%7.8%22.2%53.8%27.9%1.3%1.0%16.7M-262.9M-6.8M0.645.3547,92230,8141,608,720617,133
2015-03-24$16.28$16.0027.4%7.6%22.1%56.1%28.4%0.3%0.7%17.0M-256.2M-6.9M0.485.5816,7028,0921,630,719638,343
2015-03-25$16.24$16.0026.3%7.3%21.5%50.7%25.9%0.9%1.8%16.9M-246.7M-6.8M0.983.9413,82913,4941,635,097638,678
2015-03-26$16.32$16.0026.3%7.6%21.5%50.6%27.7%0.5%0.3%17.5M-266.2M-6.8M0.564.6037,36821,1121,641,278639,018
2015-03-27$16.22$16.0026.7%7.4%21.7%52.4%26.0%0.6%0.1%15.5M-235.8M-6.7M0.796.1218,55214,7171,646,804643,409
2015-03-30$16.00$16.0026.8%7.6%21.8%53.1%26.8%1.9%-0.2%13.0M-147.7M-6.6M0.734.7822,80216,5981,631,258636,739
2015-03-31$15.92$16.0026.6%7.4%21.7%51.9%26.3%1.1%0.2%11.9M-121.2M-6.4M0.454.5632,24914,4621,635,557643,874