SLV Options History — July 2015 In July 2015, SLV traded between $13.92 and $14.98. ATM implied volatility averaged 26.6%, placing in the 51.2% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 9.0% (HV 20d: 17.6%). Max pain ranged from $15.00 to $15.50. Net GEX was positive for 9 of 22 trading days. Term structure was in contango for 11 of 22 days. Put/call ratio averaged 0.63.
Notable Days 2015-07-07 : Highest Volume — 170,073 contracts2015-07-07 : Largest IV spike — 21.6% change2015-07-20 : Highest IV Rank — 69.2%2015-07-20 : Largest Expected Move — 8.6%Monthly Statistics Metric Avg Min Max Open Close Price $14.39 $13.92 $14.98 $14.91 $14.07 Max Pain $15.05 $15.00 $15.50 $15.50 $15.00 ATM IV 26.6% 22.3% 30.1% 22.6% 25.3% Expected Move 7.6% 6.2% 8.6% 6.5% 7.0% HV 20d 17.6% 10.6% 19.7% 12.4% 19.6% HV 60d 20.1% 18.4% 21.2% 20.5% 18.4% IV Rank 51.2% 28.9% 69.2% 30.6% 44.3% IV Percentile 50.9% 22.6% 77.8% 23.8% 36.5% Term Structure 0.1% -0.3% 0.7% 0.5% 0.6% VWIV 26.5% 21.8% 29.5% 22.7% 24.6% Skew 25d 3.0% 0.5% 4.8% 0.5% 3.2% Skew 10d 5.6% 2.2% 9.5% 2.2% 6.2% Call IV 25d 25.9% 22.1% 28.7% 23.0% 24.2% Put IV 25d 28.9% 23.5% 33.5% 23.5% 27.4% Bid-Ask Spread % 3.43 2.52 5.03 2.99 4.10 Gamma HHI 0.10 0.09 0.14 0.14 0.09 Net GEX -675.9K -4.9M 2.3M -4.9M 2.3M Net DEX 232.5M 137.0M 329.8M 182.6M 242.9M Net VEX -4.2M -4.7M -3.8M -4.5M -3.8M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.63 0.29 1.41 0.29 0.50 Total Volume 77,150.773 41,929 170,073 65,898 50,113 Total OI 2,402,054.091 2,252,484 2,549,636 2,391,227 2,361,474
Daily Data (22 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 2015-07-01 $14.91 $15.50 22.6% 6.5% 12.4% 30.6% 22.7% 0.5% 0.5% -4.9M 182.6M -4.5M 0.29 2.99 51,250 14,648 1,675,081 716,146 2015-07-02 $14.95 $15.50 22.3% 6.2% 10.7% 28.9% 21.8% 1.4% 0.1% -1.5M 178.2M -4.5M 0.93 3.10 50,330 46,582 1,692,965 716,133 2015-07-06 $14.98 $15.00 22.8% 6.6% 10.6% 31.9% 23.3% 0.9% 0.5% -2.3M 137.5M -4.5M 0.44 4.03 59,589 25,966 1,684,586 694,738 2015-07-07 $14.45 $15.00 27.8% 7.8% 16.3% 57.2% 27.5% 2.6% -0.3% -3.8M 282.4M -4.3M 0.50 3.33 113,372 56,701 1,709,724 705,567 2015-07-08 $14.45 $15.00 28.5% 7.9% 16.3% 60.9% 27.7% 2.6% -0.1% -1.9M 251.0M -4.5M 0.38 3.11 51,812 19,918 1,763,638 723,815 2015-07-09 $14.77 $15.00 27.2% 7.8% 18.4% 54.0% 27.5% 2.1% -0.0% 109.2K 162.7M -4.6M 0.45 2.52 41,972 18,894 1,773,960 728,729 2015-07-10 $14.89 $15.00 25.7% 7.3% 18.8% 46.4% 26.6% 2.2% 0.1% 152.4K 137.0M -4.7M 0.73 3.05 63,949 46,573 1,776,967 731,344 2015-07-13 $14.83 $15.00 24.9% 7.1% 18.7% 42.7% 25.1% 1.7% -0.2% -703.8K 156.0M -4.5M 0.60 2.97 37,297 22,216 1,779,990 720,359 2015-07-14 $14.69 $15.00 25.5% 7.3% 18.5% 45.6% 25.3% 1.6% -0.1% -2.4M 208.0M -4.4M 0.62 3.54 28,917 17,941 1,781,058 722,766 2015-07-15 $14.44 $15.00 26.5% 7.6% 19.2% 50.7% 26.7% 3.1% -0.2% -1.0M 292.4M -4.1M 0.78 3.78 36,580 28,516 1,784,421 724,746 2015-07-16 $14.36 $15.00 26.7% 7.6% 18.6% 51.7% 27.1% 3.4% -0.1% -469.1K 307.6M -4.1M 0.79 3.50 43,397 34,341 1,792,401 734,451 2015-07-17 $14.24 $15.00 28.7% 8.2% 18.6% 62.1% 28.2% 3.7% -0.1% 1.8M 329.8M -4.1M 1.41 3.47 50,460 70,990 1,804,821 744,815 2015-07-20 $14.03 $15.00 30.1% 8.6% 19.0% 69.2% 29.5% 4.8% -0.2% -509.3K 253.4M -4.0M 1.03 2.87 53,062 54,602 1,599,342 653,142 2015-07-21 $14.16 $15.00 28.0% 8.0% 19.4% 58.2% 26.9% 4.0% -0.3% 245.7K 236.0M -4.1M 0.46 3.12 35,253 16,246 1,618,207 670,621 2015-07-22 $14.13 $15.00 28.4% 8.1% 18.4% 60.3% 28.8% 4.1% 0.5% 120.6K 241.2M -4.1M 0.44 3.59 37,117 16,507 1,625,869 676,137 2015-07-23 $13.97 $15.00 27.5% 7.9% 18.4% 55.8% 27.9% 4.0% 0.1% -1.1M 284.2M -3.9M 0.69 3.22 45,953 31,551 1,634,845 682,099 2015-07-24 $14.04 $15.00 28.8% 8.3% 18.7% 62.4% 29.0% 4.7% -0.0% -387.0K 253.2M -4.0M 0.93 3.30 56,149 52,241 1,641,908 694,310 2015-07-27 $13.92 $15.00 28.8% 8.3% 18.8% 62.5% 29.2% 4.3% 0.0% -610.7K 269.2M -3.9M 0.36 3.62 40,401 14,735 1,634,463 671,496 2015-07-28 $14.03 $15.00 27.4% 7.8% 19.2% 55.3% 27.9% 3.5% 0.3% 338.6K 247.6M -3.9M 0.45 4.35 29,362 13,092 1,643,286 675,459 2015-07-29 $14.16 $15.00 25.9% 7.2% 19.7% 47.9% 25.1% 3.2% 0.7% 1.4M 219.4M -3.9M 0.75 5.03 43,957 32,836 1,647,291 676,433 2015-07-30 $14.08 $15.00 25.9% 7.2% 19.6% 47.5% 24.7% 3.5% 0.1% 449.0K 243.1M -3.9M 0.43 2.83 29,268 12,661 1,662,648 692,939 2015-07-31 $14.07 $15.00 25.3% 7.0% 19.6% 44.3% 24.6% 3.2% 0.6% 2.3M 242.9M -3.8M 0.50 4.10 33,455 16,658 1,667,552 693,922
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