SLV Options History — September 2015

In September 2015, SLV traded between $13.77 and $14.49. ATM implied volatility averaged 28.9%, placing in the 56.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 3.4% (HV 20d: 25.5%). Max pain ranged from $14.50 to $16.00. Net GEX was positive for 19 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.51.

Notable Days

2015-09-16: Highest Volume — 98,409 contracts
2015-09-28: Largest IV spike — 6.4% change
2015-09-02: Highest IV Rank — 74.6%
2015-09-01: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.09	$13.77	$14.49	$13.94	$13.88
Max Pain	$15.43	$14.50	$16.00	$15.00	$15.00
ATM IV	28.9%	25.9%	31.2%	30.8%	26.8%
Expected Move	8.3%	7.4%	9.2%	9.2%	7.8%
HV 20d	25.5%	20.3%	28.6%	28.5%	23.9%
HV 60d	21.9%	20.8%	24.1%	20.8%	23.0%
IV Rank	56.4%	30.7%	74.6%	72.4%	37.0%
IV Percentile	61.6%	32.5%	84.1%	80.2%	42.5%
Term Structure	0.0%	-0.7%	0.5%	-0.4%	0.4%
VWIV	29.9%	26.1%	33.6%	33.6%	28.3%
Skew 25d	1.6%	0.7%	2.4%	1.5%	1.0%
Skew 10d	3.2%	2.1%	5.1%	3.4%	2.1%
Call IV 25d	29.2%	26.1%	31.7%	31.4%	27.8%
Put IV 25d	30.9%	27.9%	33.5%	32.9%	28.8%
Bid-Ask Spread %	3.66	2.47	6.10	3.68	3.35
Gamma HHI	0.11	0.09	0.13	0.10	0.11
Net GEX	3.6M	-1.6M	11.2M	2.2M	38.6K
Net DEX	198.4M	104.9M	276.6M	219.2M	246.9M
Net VEX	-3.3M	-3.6M	-2.9M	-3.6M	-2.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.51	0.25	1.52	0.45	0.46
Total Volume	53,118.762	21,767	98,409	42,754	44,201
Total OI	2,327,056.762	2,253,700	2,392,284	2,322,299	2,315,868

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
2015-09-01	$13.94	$15.00	30.8%	9.2%	28.5%	72.4%	33.6%	1.5%	-0.4%	2.2M	219.2M	-3.6M	0.45	3.68	29,522	13,232	1,670,064	652,235
2015-09-02	$14.01	$14.50	31.2%	9.2%	28.6%	74.6%	33.4%	2.0%	-0.5%	3.3M	204.3M	-3.6M	0.44	2.93	29,096	12,854	1,679,551	652,769
2015-09-03	$14.02	$16.00	30.7%	8.6%	28.5%	72.2%	31.1%	1.8%	-0.0%	2.9M	204.1M	-3.6M	0.42	3.42	31,884	13,527	1,684,531	653,586
2015-09-04	$13.93	$16.00	31.2%	8.8%	28.4%	74.6%	31.5%	1.6%	-0.7%	1.3M	232.6M	-3.5M	0.48	3.66	36,926	17,704	1,689,252	655,637
2015-09-08	$14.12	$16.00	31.1%	8.9%	26.5%	73.0%	30.6%	2.0%	-0.1%	3.4M	187.9M	-3.5M	0.60	3.77	19,834	11,953	1,670,142	641,799
2015-09-09	$13.93	$16.00	30.3%	8.6%	26.7%	68.8%	30.8%	1.1%	-0.2%	2.2M	229.4M	-3.4M	0.69	3.84	20,129	13,899	1,681,567	648,663
2015-09-10	$13.98	$16.00	29.5%	8.4%	26.2%	64.1%	29.9%	1.6%	-0.0%	2.6M	224.5M	-3.4M	0.51	4.63	29,002	14,753	1,684,777	652,380
2015-09-11	$13.95	$16.00	30.1%	8.7%	26.1%	67.4%	30.3%	1.6%	-0.2%	736.4K	239.4M	-3.3M	0.56	4.31	36,911	20,646	1,692,605	657,038
2015-09-14	$13.79	$16.00	30.2%	8.6%	26.2%	67.8%	30.7%	1.4%	0.1%	-1.3M	270.7M	-3.2M	0.29	3.86	41,310	11,967	1,680,491	655,000
2015-09-15	$13.77	$15.50	29.9%	8.5%	26.0%	66.0%	30.7%	1.6%	-0.0%	-1.6M	276.6M	-3.1M	0.56	4.23	13,982	7,785	1,694,364	657,517
2015-09-16	$14.23	$15.50	30.2%	8.7%	26.9%	68.1%	32.3%	2.4%	0.1%	5.2M	166.5M	-3.3M	0.48	4.43	66,561	31,848	1,700,858	659,432
2015-09-17	$14.45	$15.50	28.4%	8.1%	25.8%	58.4%	28.6%	2.2%	-0.1%	11.2M	104.9M	-3.5M	0.25	6.10	73,883	18,175	1,718,363	658,026
2015-09-18	$14.48	$15.50	27.3%	7.8%	25.3%	51.9%	27.5%	1.8%	-0.2%	8.4M	111.5M	-3.4M	0.33	3.46	62,132	20,338	1,731,017	661,267
2015-09-21	$14.49	$15.50	25.9%	7.5%	24.9%	30.7%	26.1%	1.8%	0.5%	9.6M	111.6M	-3.3M	0.68	3.22	34,018	22,998	1,659,153	594,547
2015-09-22	$14.13	$15.00	27.3%	7.9%	24.0%	40.2%	29.4%	1.6%	0.4%	5.3M	198.5M	-3.1M	1.52	3.38	23,811	36,312	1,666,090	607,389
2015-09-23	$14.12	$15.00	26.6%	7.7%	23.7%	35.3%	27.8%	1.8%	0.4%	4.0M	204.4M	-3.1M	0.40	2.76	27,295	10,989	1,675,207	634,254
2015-09-24	$14.45	$15.00	27.5%	7.8%	21.2%	41.5%	28.4%	1.4%	0.5%	9.4M	124.0M	-3.3M	0.28	2.47	49,322	13,726	1,681,281	634,930
2015-09-25	$14.40	$15.00	26.3%	7.4%	20.3%	33.3%	26.4%	1.6%	0.2%	6.2M	140.5M	-3.3M	0.45	3.48	31,779	14,205	1,688,416	636,777
2015-09-28	$13.92	$15.00	27.9%	8.1%	23.8%	44.7%	29.1%	1.1%	0.4%	604.0K	241.1M	-3.0M	0.55	2.77	36,601	20,253	1,665,629	622,783
2015-09-29	$13.97	$15.00	27.6%	8.0%	23.8%	42.3%	30.6%	0.7%	0.4%	1.1M	228.3M	-3.0M	0.26	3.14	39,651	10,480	1,676,907	626,030
2015-09-30	$13.88	$15.00	26.8%	7.8%	23.9%	37.0%	28.3%	1.0%	0.4%	38.6K	246.9M	-2.9M	0.46	3.35	30,217	13,984	1,689,073	626,795