SLV Options History — October 2015

In October 2015, SLV traded between $13.92 and $15.41. ATM implied volatility averaged 25.7%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded below realized volatility by 0.9% (HV 20d: 26.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 12 of 22 days. Put/call ratio averaged 0.53.

Notable Days

  • 2015-10-01: Highest Volume — 130,561 contracts
  • 2015-10-30: Largest IV drop — 7.5% change
  • 2015-10-06: Highest IV Rank — 49.2%
  • 2015-10-06: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.04$13.92$15.41$13.92$14.81
Max Pain$14.50$14.00$15.00$15.00$15.00
ATM IV25.7%21.9%28.6%26.6%21.9%
Expected Move7.4%6.4%8.2%7.5%6.4%
HV 20d26.7%19.0%30.1%23.8%19.0%
HV 60d24.8%23.0%25.4%23.0%25.4%
IV Rank29.6%4.0%49.2%35.6%4.0%
IV Percentile29.3%0.4%56.0%40.5%0.4%
Term Structure0.2%-0.7%2.0%0.1%0.8%
VWIV26.7%22.9%29.0%27.6%22.9%
Skew 25d0.5%-0.4%1.8%0.9%1.8%
Skew 10d1.0%-0.9%3.7%1.1%3.7%
Call IV 25d26.5%21.9%30.0%27.6%21.9%
Put IV 25d27.1%23.7%29.9%28.4%23.7%
Bid-Ask Spread %3.862.476.563.424.28
Gamma HHI0.110.090.160.110.10
Net GEX11.5M704.0K18.1M704.0K4.5M
Net DEX5.2M-106.8M240.3M240.3M96.0M
Net VEX-3.3M-3.6M-2.8M-3.0M-2.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.110.920.110.40
Total Volume71,722.45539,761130,561130,56174,396
Total OI2,268,796.4092,134,3642,386,1462,328,2732,213,523

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-10-01$13.92$15.0026.6%7.5%23.8%35.6%27.6%0.9%0.1%704.0K240.3M-3.0M0.113.42117,30613,2551,697,342630,931
2015-10-02$14.55$15.0026.8%7.5%28.6%37.2%26.9%0.4%0.9%11.2M92.7M-3.2M0.344.2881,28127,8331,674,458633,062
2015-10-05$14.89$14.0028.2%8.0%29.4%46.6%28.8%0.9%-0.0%10.8M31.0M-3.5M0.383.1651,73519,4311,663,057628,851
2015-10-06$15.10$14.0028.6%8.2%29.4%49.2%29.0%-0.2%-0.2%12.4M-26.8M-3.5M0.313.2783,97826,2101,671,200638,989
2015-10-07$15.29$14.0027.6%7.9%28.9%42.0%28.6%-0.4%-0.2%14.4M-70.5M-3.6M0.514.2740,23220,6601,691,606650,004
2015-10-08$14.99$14.0027.8%7.9%30.1%43.9%28.2%0.5%-0.2%11.2M19.6M-3.4M0.325.3056,16017,8201,700,392657,248
2015-10-09$15.10$14.0027.2%7.8%30.1%39.6%27.6%0.9%-0.1%17.5M-28.6M-3.5M0.394.0549,72619,2151,721,423658,259
2015-10-12$15.13$14.0027.2%7.8%29.5%39.6%28.0%0.2%-0.0%15.0M-17.8M-3.5M0.503.1429,65814,8541,712,496634,864
2015-10-13$15.16$14.0027.2%7.8%29.5%39.5%28.9%0.3%0.3%15.8M-28.8M-3.5M0.682.9826,97718,4711,717,632638,423
2015-10-14$15.41$14.0027.2%7.8%27.9%39.7%28.7%-0.3%0.0%17.9M-106.8M-3.6M0.653.6046,76330,4441,718,352639,000
2015-10-15$15.40$14.0026.1%7.5%27.6%32.1%26.9%-0.2%-0.1%18.1M-96.6M-3.6M0.474.2340,32118,9061,731,316643,161
2015-10-16$15.30$14.0024.7%7.1%27.9%23.0%26.3%0.3%0.2%11.0M-68.1M-3.5M0.203.6979,37015,7511,740,632645,514
2015-10-19$15.10$14.0024.9%7.1%28.4%24.4%25.3%0.3%-0.4%12.8M-17.3M-3.3M0.922.7134,67931,9401,606,244528,120
2015-10-20$15.15$15.0024.7%7.1%26.5%23.1%25.8%0.3%0.0%12.6M-15.1M-3.2M0.562.4732,22517,8861,613,916543,187
2015-10-21$14.98$15.0024.8%7.1%27.0%23.2%25.9%0.8%-0.7%12.2M26.2M-3.1M0.833.0641,22634,1031,625,715545,616
2015-10-22$15.11$15.0024.3%7.0%26.1%19.9%25.0%0.7%0.2%12.9M-1.4M-3.2M0.593.7128,79617,1081,625,024562,694
2015-10-23$15.13$15.0024.0%6.9%26.0%18.0%24.1%-0.1%0.2%8.7M-125.0K-3.1M0.783.5231,07024,1341,623,775564,157
2015-10-26$15.12$15.0024.3%7.1%22.2%20.2%25.5%1.1%1.3%9.1M12.1M-3.1M0.643.8735,21022,4471,608,224551,016
2015-10-27$15.14$15.0023.8%7.1%22.2%16.8%25.0%1.0%2.0%9.6M12.0M-3.1M0.804.0922,13417,6271,618,266556,106
2015-10-28$15.25$15.0023.8%7.1%21.9%17.0%26.6%1.1%-0.0%11.2M-17.6M-3.0M0.606.5666,48839,6541,620,313558,371
2015-10-29$14.87$15.0023.7%6.9%24.4%15.9%25.2%1.6%0.5%4.5M80.4M-2.9M0.745.2434,75925,6551,638,073572,969
2015-10-30$14.81$15.0021.9%6.4%19.0%4.0%22.9%1.8%0.8%4.5M96.0M-2.8M0.404.2853,28021,1161,644,866568,657