SLV Options History — June 2015

In June 2015, SLV traded between $15.03 and $16.07. ATM implied volatility averaged 23.6%, placing in the 36.4% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 6.5% (HV 20d: 17.2%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.71.

Notable Days

  • 2015-06-03: Highest Volume — 106,414 contracts
  • 2015-06-04: Largest IV spike — 6.3% change
  • 2015-06-04: Highest IV Rank — 47.5%
  • 2015-06-01: Largest Expected Move — 7.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.39$15.03$16.07$16.01$15.03
Max Pain$15.86$15.50$16.00$16.00$15.50
ATM IV23.6%21.3%25.7%25.3%23.0%
Expected Move6.8%5.9%7.5%7.5%6.8%
HV 20d17.2%12.7%23.5%22.3%13.2%
HV 60d22.1%20.5%23.5%23.3%20.5%
IV Rank36.4%24.3%47.5%45.5%33.0%
IV Percentile32.3%23.4%46.8%44.4%27.4%
Term Structure-0.0%-0.6%0.9%-0.6%0.1%
VWIV24.0%20.9%26.3%26.3%24.0%
Skew 25d1.2%0.1%2.4%1.9%1.5%
Skew 10d2.6%0.7%4.8%3.1%2.9%
Call IV 25d23.8%21.1%25.9%25.1%23.0%
Put IV 25d25.0%21.9%28.3%27.0%24.5%
Bid-Ask Spread %4.262.366.125.242.39
Gamma HHI0.090.080.130.090.13
Net GEX2.8M-3.3M13.7M12.4M-3.1M
Net DEX59.8M-159.4M151.9M-139.8M147.9M
Net VEX-5.1M-5.8M-4.5M-5.7M-4.5M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.710.371.810.440.41
Total Volume69,870.72719,025106,41475,31282,512
Total OI2,306,641.1822,196,2942,394,4482,196,2942,366,357

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-06-01$16.01$16.0025.3%7.5%22.3%45.5%26.3%1.9%-0.6%12.4M-139.8M-5.7M0.445.2452,13823,1741,582,322613,972
2015-06-02$16.07$16.0024.3%7.1%21.7%40.6%25.4%1.5%-0.4%13.7M-159.4M-5.8M0.515.0412,5626,4631,594,152620,206
2015-06-03$15.81$16.0024.2%7.1%22.4%39.8%25.9%1.9%-0.6%9.9M-67.4M-5.5M1.815.3937,93168,4831,599,128620,602
2015-06-04$15.49$16.0025.7%7.2%23.5%47.5%25.9%2.4%-0.4%3.3M43.2M-5.4M0.934.6242,71039,7831,603,331666,239
2015-06-05$15.39$16.0024.9%7.1%23.3%43.4%25.1%1.1%-0.5%2.9M81.2M-5.4M0.845.6447,31339,8051,612,274680,004
2015-06-08$15.32$16.0025.4%7.2%23.0%46.2%25.9%1.8%-0.3%1.8M85.8M-5.2M0.615.1840,37424,4791,603,842679,433
2015-06-09$15.29$16.0024.0%6.8%22.6%39.1%24.6%2.0%-0.3%953.2K103.5M-5.1M0.585.4829,07616,9841,617,004686,843
2015-06-10$15.34$16.0024.1%6.9%21.8%39.7%24.5%1.1%0.2%1.2M93.2M-5.1M0.615.4530,30618,3821,624,668690,692
2015-06-11$15.33$16.0023.5%6.7%17.6%36.2%24.0%1.2%-0.1%1.0M93.7M-5.1M0.954.1234,69733,0541,634,609694,510
2015-06-12$15.25$16.0023.5%6.7%15.6%35.3%23.6%0.7%-0.2%-362.5K133.4M-5.0M0.825.0033,93427,9531,645,329709,962
2015-06-15$15.40$16.0023.9%6.8%16.1%37.3%24.3%0.7%0.3%1.7M56.4M-5.1M0.373.7046,16917,1811,635,178701,983
2015-06-16$15.32$16.0024.0%6.9%15.3%38.1%24.6%0.4%-0.3%-36.8K92.6M-5.0M0.494.6737,96318,6401,651,360710,196
2015-06-17$15.47$16.0023.3%6.7%12.8%34.1%23.8%0.5%0.1%3.4M33.3M-5.1M0.626.1242,47926,4661,659,301711,623
2015-06-18$15.47$16.0023.0%6.6%12.8%32.8%23.5%0.1%0.4%4.6M30.7M-5.1M0.493.5548,53423,9211,669,540717,172
2015-06-19$15.40$16.0023.1%6.6%12.7%33.3%23.3%0.7%0.3%5.6M85.6M-5.0M0.814.8745,36436,8601,679,212715,236
2015-06-22$15.46$15.5022.4%6.4%12.9%29.9%22.5%0.8%0.3%5.8M6.1M-4.9M0.613.7333,34520,2211,591,600632,984
2015-06-23$15.14$16.0023.0%6.6%13.4%32.9%22.7%1.3%0.9%1.7M109.0M-4.6M0.972.6748,83847,1821,602,667641,074
2015-06-24$15.20$15.5023.4%6.5%13.6%34.6%23.0%1.4%-0.3%1.0M87.2M-4.8M0.792.3627,69021,7491,620,077673,838
2015-06-25$15.16$15.5021.9%6.1%13.6%27.3%21.3%1.4%0.3%-1.3M118.5M-4.7M0.453.1259,66827,0491,624,240684,379
2015-06-26$15.11$15.5021.3%5.9%13.5%24.3%20.9%0.7%0.2%-502.3K128.5M-4.6M1.022.4339,95140,7051,655,761693,235
2015-06-29$15.03$15.5022.6%6.4%13.4%30.5%22.7%0.8%0.1%-3.3M151.9M-4.5M0.512.9956,31928,7491,641,944688,027
2015-06-30$15.03$15.5023.0%6.8%13.2%33.0%24.0%1.5%0.1%-3.1M147.9M-4.5M0.412.3958,49724,0151,658,205708,152