SLV Options History — August 2015

In August 2015, SLV traded between $13.53 and $14.83. ATM implied volatility averaged 27.6%, placing in the 56.5% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 7.0% (HV 20d: 20.6%). Max pain ranged from $15.00 to $15.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2015-08-26: Highest Volume — 94,713 contracts
2015-08-24: Largest IV spike — 16.8% change
2015-08-26: Highest IV Rank — 92.1%
2015-08-26: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.25	$13.53	$14.83	$13.87	$13.99
Max Pain	$15.00	$15.00	$15.00	$15.00	$15.00
ATM IV	27.6%	24.7%	34.6%	25.1%	30.3%
Expected Move	8.0%	6.8%	10.3%	6.9%	8.9%
HV 20d	20.6%	13.5%	28.9%	19.9%	28.5%
HV 60d	18.5%	16.5%	21.0%	18.5%	20.8%
IV Rank	56.5%	41.5%	92.1%	43.6%	70.2%
IV Percentile	54.4%	29.4%	97.6%	35.3%	77.0%
Term Structure	-0.0%	-0.7%	1.0%	-0.5%	-0.3%
VWIV	28.4%	24.8%	36.4%	24.8%	31.9%
Skew 25d	2.6%	0.8%	4.1%	3.7%	1.3%
Skew 10d	5.1%	1.4%	8.4%	7.5%	3.1%
Call IV 25d	27.3%	24.1%	34.2%	24.5%	30.9%
Put IV 25d	29.9%	27.1%	37.7%	28.1%	32.3%
Bid-Ask Spread %	3.47	2.41	6.15	3.59	3.31
Gamma HHI	0.10	0.09	0.12	0.10	0.10
Net GEX	4.2M	-1.7M	12.1M	261.4K	1.8M
Net DEX	186.6M	27.9M	317.7M	296.4M	219.1M
Net VEX	-3.7M	-4.2M	-3.3M	-3.6M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.23	0.96	0.77	0.35
Total Volume	58,975.238	31,156	94,713	52,260	49,798
Total OI	2,340,619.714	2,225,746	2,402,954	2,302,685	2,309,139

Daily Data (21 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
2015-08-03	$13.87	$15.00	25.1%	6.9%	19.9%	43.6%	24.8%	3.7%	-0.5%	261.4K	296.4M	-3.6M	0.77	3.59	29,472	22,788	1,644,668	658,017
2015-08-04	$13.92	$15.00	25.0%	6.8%	15.9%	42.9%	27.8%	3.9%	0.0%	232.7K	289.4M	-3.6M	0.96	3.18	24,492	23,542	1,655,649	669,994
2015-08-05	$13.94	$15.00	25.9%	7.5%	16.0%	47.7%	26.2%	4.1%	-0.1%	521.3K	282.6M	-3.6M	0.49	2.81	24,520	12,094	1,660,021	677,628
2015-08-06	$14.00	$15.00	26.3%	7.5%	13.5%	49.5%	26.4%	3.8%	-0.4%	1.6M	261.2M	-3.6M	0.43	2.80	27,589	11,761	1,665,839	680,464
2015-08-07	$14.13	$15.00	25.3%	7.3%	13.7%	44.6%	25.7%	3.8%	-0.1%	1.8M	231.9M	-3.7M	0.41	2.88	41,721	17,155	1,673,460	681,357
2015-08-10	$14.57	$15.00	24.7%	7.2%	18.0%	41.5%	25.0%	3.0%	0.8%	6.4M	126.4M	-3.9M	0.30	2.84	67,673	20,564	1,654,192	675,543
2015-08-11	$14.64	$15.00	25.4%	7.3%	17.8%	45.0%	25.8%	2.9%	0.1%	9.4M	92.1M	-4.0M	0.37	3.42	22,791	8,365	1,679,690	679,874
2015-08-12	$14.83	$15.00	25.0%	7.3%	17.2%	43.2%	26.4%	2.4%	0.3%	12.0M	27.9M	-4.2M	0.23	2.55	58,550	13,232	1,686,847	681,402
2015-08-13	$14.70	$15.00	26.2%	7.6%	17.4%	49.2%	26.5%	2.3%	0.1%	10.6M	69.0M	-4.0M	0.32	3.02	40,447	13,004	1,699,151	684,240
2015-08-14	$14.56	$15.00	25.8%	7.4%	17.5%	46.9%	26.9%	2.5%	0.2%	6.6M	114.5M	-3.9M	0.43	3.17	44,130	18,936	1,700,679	688,282
2015-08-17	$14.64	$15.00	25.4%	7.3%	16.5%	45.2%	25.7%	2.3%	0.6%	8.1M	117.5M	-3.8M	0.72	2.60	24,319	17,549	1,682,420	679,771
2015-08-18	$14.20	$15.00	26.4%	7.6%	19.9%	50.3%	26.8%	1.9%	1.0%	1.5M	241.1M	-3.5M	0.77	3.07	33,206	25,649	1,686,873	683,642
2015-08-19	$14.57	$15.00	25.8%	7.4%	21.9%	46.9%	26.5%	1.7%	0.4%	8.2M	139.9M	-3.7M	0.67	3.48	22,118	14,768	1,696,889	689,111
2015-08-20	$14.77	$15.00	27.0%	7.8%	21.7%	53.0%	27.4%	0.8%	-0.5%	12.1M	58.6M	-4.0M	0.49	3.08	36,679	17,999	1,701,101	692,878
2015-08-21	$14.59	$15.00	28.6%	8.2%	22.3%	61.5%	29.0%	0.9%	0.1%	5.1M	105.2M	-3.9M	0.45	2.41	50,005	22,619	1,706,834	696,120
2015-08-24	$14.14	$15.00	33.4%	9.9%	25.0%	86.2%	34.3%	2.2%	-0.1%	2.0M	196.9M	-3.7M	0.59	4.96	58,670	34,372	1,598,323	627,423
2015-08-25	$14.00	$15.00	33.2%	9.8%	25.2%	84.8%	34.3%	2.3%	-0.7%	958.3K	228.2M	-3.6M	0.54	6.15	49,433	26,916	1,617,722	638,742
2015-08-26	$13.53	$15.00	34.6%	10.3%	27.6%	92.1%	36.4%	3.5%	-0.5%	-1.7M	317.7M	-3.3M	0.64	5.19	57,752	36,961	1,636,911	649,540
2015-08-27	$13.81	$15.00	30.4%	8.8%	28.7%	70.7%	31.4%	2.3%	-0.2%	-538.5K	264.8M	-3.5M	0.48	4.16	42,255	20,477	1,663,552	656,445
2015-08-28	$13.93	$15.00	30.6%	8.9%	28.9%	71.5%	31.4%	2.4%	-0.3%	1.2M	238.4M	-3.6M	0.42	4.26	37,976	16,133	1,679,026	663,555
2015-08-31	$13.99	$15.00	30.3%	8.9%	28.5%	70.2%	31.9%	1.3%	-0.3%	1.8M	219.1M	-3.6M	0.35	3.31	36,963	12,835	1,657,274	651,865