SLV Options History — May 2015

In May 2015, SLV traded between $15.46 and $16.89. ATM implied volatility averaged 24.8%, placing in the 42.9% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.3% (HV 20d: 25.1%). 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 17 of 20 days. Put/call ratio averaged 0.58.

Notable Days

  • 2015-05-13: Highest Volume — 147,929 contracts
  • 2015-05-29: Largest IV drop — 8.3% change
  • 2015-05-07: Highest IV Rank — 50.0%
  • 2015-05-07: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.08$15.46$16.89$15.46$16.00
Max Pain$15.70$15.50$16.00$15.50$16.00
ATM IV24.8%22.7%26.2%25.2%22.7%
Expected Move7.1%6.6%7.6%7.2%6.6%
HV 20d25.1%22.3%28.2%25.0%22.3%
HV 60d23.3%22.3%24.4%24.2%23.3%
IV Rank42.9%32.5%50.0%44.8%32.5%
IV Percentile42.5%31.3%52.0%46.4%31.3%
Term Structure0.3%-0.2%0.6%-0.2%0.5%
VWIV25.3%22.9%27.5%25.7%22.9%
Skew 25d1.1%0.2%1.9%1.4%1.3%
Skew 10d2.6%1.1%4.4%3.6%2.5%
Call IV 25d25.0%22.8%26.4%25.2%22.8%
Put IV 25d26.1%24.1%27.8%26.6%24.1%
Bid-Ask Spread %6.074.868.356.475.52
Gamma HHI0.100.080.120.080.09
Net GEX15.8M10.9M26.4M11.3M12.4M
Net DEX-234.4M-512.8M-70.4M-70.4M-139.7M
Net VEX-6.2M-6.8M-5.8M-5.9M-5.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.580.241.360.670.64
Total Volume66,378.436,729147,92976,07856,755
Total OI2,188,934.452,139,9612,267,5002,158,1392,224,318

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-05-01$15.46$15.5025.2%7.2%25.0%44.8%25.7%1.4%-0.2%11.3M-70.4M-5.9M0.676.4745,68230,3961,552,402605,737
2015-05-04$15.70$15.5025.7%7.5%25.1%47.4%26.5%1.1%0.2%13.4M-153.2M-6.2M0.485.9924,73911,9901,548,365601,809
2015-05-05$15.83$15.5025.9%7.6%25.2%48.6%26.6%0.6%-0.0%15.3M-192.1M-6.2M0.246.2354,60113,1611,554,557605,048
2015-05-06$15.77$15.5025.5%7.4%24.1%46.6%26.3%0.6%0.2%15.2M-173.6M-6.2M0.655.6826,32717,1031,562,398606,528
2015-05-07$15.60$15.5026.2%7.6%23.3%50.0%27.5%1.8%0.3%12.2M-117.3M-6.0M0.536.0828,99115,2751,569,067609,598
2015-05-08$15.76$15.5024.2%7.1%22.8%39.8%25.0%1.6%0.4%14.2M-163.1M-6.0M0.378.3530,61511,1891,573,541614,106
2015-05-11$15.57$15.5024.5%7.1%22.8%41.6%25.2%1.9%0.3%11.3M-101.1M-5.8M0.416.6836,49614,8441,561,614596,931
2015-05-12$15.82$15.5024.8%7.2%23.4%42.9%25.5%1.3%0.3%16.5M-187.8M-6.1M0.647.4237,68624,1161,583,144604,369
2015-05-13$16.35$15.5024.5%7.1%25.9%41.7%24.9%0.3%0.2%24.2M-370.5M-6.5M0.365.97108,93938,9901,593,479613,811
2015-05-14$16.66$15.5024.9%7.2%26.5%43.8%25.6%0.2%0.4%26.4M-473.3M-6.7M0.515.0385,76644,0481,618,857629,098
2015-05-15$16.74$15.5024.5%7.1%26.4%41.4%25.0%0.6%0.6%20.8M-512.8M-6.8M0.445.8168,37930,3401,630,986636,514
2015-05-18$16.89$15.5024.4%7.0%25.3%40.8%24.7%0.9%0.5%22.7M-475.5M-6.8M0.905.3130,90227,7041,564,056575,905
2015-05-19$16.38$16.0025.4%7.3%28.2%45.8%26.0%1.1%0.4%16.5M-292.3M-6.5M1.366.5934,01246,2371,571,077593,187
2015-05-20$16.37$16.0024.9%7.1%27.7%43.3%24.8%0.7%0.2%16.3M-289.9M-6.5M0.616.0429,92118,1411,583,362612,140
2015-05-21$16.40$16.0024.3%6.9%27.7%40.4%24.9%1.8%0.5%17.3M-291.7M-6.5M0.576.4331,07217,6021,587,418613,425
2015-05-22$16.32$16.0023.5%6.7%27.2%36.7%23.9%0.8%0.0%16.3M-260.0M-6.3M0.544.8633,05317,9311,592,023615,941
2015-05-26$16.03$16.0025.1%7.2%24.4%44.4%25.5%1.9%0.1%12.6M-158.6M-6.0M0.535.0944,52823,5191,577,395600,843
2015-05-27$15.95$16.0024.6%6.9%24.1%41.9%24.6%1.5%-0.1%10.9M-129.1M-5.9M0.675.6228,88419,2421,582,150610,476
2015-05-28$15.96$16.0024.8%7.1%24.0%42.8%25.0%1.6%0.5%11.0M-135.4M-5.9M0.496.1345,86422,5281,587,494615,520
2015-05-29$16.00$16.0022.7%6.6%22.3%32.5%22.9%1.3%0.5%12.4M-139.7M-5.8M0.645.5234,53222,2231,599,128625,190