SLV Options History — November 2015

In November 2015, SLV traded between $13.44 and $14.71. ATM implied volatility averaged 25.4%, placing in the 28.7% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 12.0% (HV 20d: 13.3%). Max pain ranged from $13.50 to $15.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.64.

Notable Days

  • 2015-11-05: Highest Volume — 94,113 contracts
  • 2015-11-10: Largest IV spike — 6.5% change
  • 2015-11-17: Highest IV Rank — 51.0%
  • 2015-11-17: Largest Expected Move — 8.2%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.79$13.44$14.71$14.71$13.44
Max Pain$14.40$13.50$15.00$15.00$13.50
ATM IV25.4%22.6%28.5%23.0%24.3%
Expected Move7.5%6.8%8.2%6.9%7.5%
HV 20d13.3%9.0%17.3%17.3%9.1%
HV 60d22.9%20.7%25.4%25.4%20.7%
IV Rank28.7%8.4%51.0%11.5%21.0%
IV Percentile29.6%2.8%59.9%4.4%14.3%
Term Structure0.3%-0.2%1.3%1.3%0.3%
VWIV26.3%23.3%28.7%24.1%26.3%
Skew 25d2.2%1.5%3.1%1.8%1.8%
Skew 10d4.7%3.5%6.5%4.0%5.0%
Call IV 25d25.2%22.6%28.1%23.0%24.3%
Put IV 25d27.4%24.1%30.8%24.8%26.1%
Bid-Ask Spread %4.002.806.334.294.92
Gamma HHI0.130.100.290.100.13
Net GEX-1.8M-11.1M3.6M3.6M371.8K
Net DEX253.0M115.0M302.3M115.0M254.2M
Net VEX-2.4M-2.7M-2.2M-2.7M-2.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.330.970.600.82
Total Volume59,504.3524,16194,11365,76740,500
Total OI2,261,536.72,191,2842,344,5682,191,2842,259,065

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-11-02$14.71$15.0023.0%6.9%17.3%11.5%24.1%1.8%1.3%3.6M115.0M-2.7M0.604.2941,01624,7511,634,920556,364
2015-11-03$14.58$15.0022.6%6.8%16.6%8.4%23.3%1.5%0.3%988.7K160.0M-2.6M0.763.9631,14623,7191,644,280563,053
2015-11-04$14.40$15.0022.7%6.9%16.1%9.3%24.3%2.1%0.5%-835.4K196.8M-2.6M0.975.7231,97530,9881,652,115572,091
2015-11-05$14.30$15.0023.4%7.1%14.9%13.7%25.1%2.2%0.7%-1.6M205.1M-2.5M0.825.4751,76642,3471,658,395577,268
2015-11-06$14.08$15.0023.6%7.1%15.2%16.3%25.0%2.1%0.4%-2.8M247.2M-2.6M0.946.3318,49917,4191,679,782593,937
2015-11-09$13.89$14.5024.4%7.3%15.4%22.1%26.2%2.0%0.7%-3.4M282.8M-2.4M0.694.4437,79326,1041,661,655571,862
2015-11-10$13.75$14.5026.0%7.7%15.4%33.5%27.1%2.5%0.8%-3.1M277.8M-2.4M0.794.4940,04331,5611,684,628568,811
2015-11-11$13.71$14.5026.6%7.6%13.2%37.6%27.0%2.6%-0.2%-2.2M277.4M-2.4M0.623.9239,47124,3061,698,398565,357
2015-11-12$13.65$14.5026.8%7.9%13.1%39.3%26.9%2.3%0.6%-3.1M293.4M-2.4M0.333.6743,83414,2721,707,755568,315
2015-11-13$13.59$14.5027.1%7.9%13.1%41.1%27.5%2.6%0.2%-2.9M302.3M-2.4M0.504.3941,63020,9981,718,921569,470
2015-11-16$13.60$14.5026.8%7.7%13.0%38.7%26.4%3.1%-0.2%-2.6M287.8M-2.4M0.342.8122,4737,6761,714,526559,576
2015-11-17$13.55$14.5028.5%8.2%12.6%51.0%28.7%2.7%-0.2%-1.8M283.6M-2.3M0.712.8038,85427,6481,728,752560,649
2015-11-18$13.51$14.5027.5%7.9%12.5%43.8%27.9%3.1%-0.1%-2.6M291.8M-2.3M0.423.3645,52518,9431,740,282566,213
2015-11-19$13.60$14.0026.8%7.7%12.2%39.0%27.5%1.8%-0.1%-1.7M269.6M-2.4M0.403.5653,59521,5431,752,713567,107
2015-11-20$13.49$14.0025.8%7.4%12.0%31.6%26.4%2.3%-0.0%-11.1M300.6M-2.4M0.693.5743,21229,8461,771,149573,419
2015-11-23$13.45$14.0025.8%7.4%11.9%31.9%26.4%2.5%0.0%-1.3M273.6M-2.2M0.723.0634,72824,9471,676,588530,331
2015-11-24$13.51$14.0025.2%7.4%12.2%27.7%25.9%1.7%0.1%-68.0K245.4M-2.4M0.413.1517,1207,0411,697,570547,966
2015-11-25$13.53$14.0025.3%7.7%11.5%28.2%26.9%2.0%0.3%201.1K242.5M-2.3M0.493.1145,75322,5391,705,448549,886
2015-11-27$13.46$13.5025.2%7.7%9.0%27.6%27.0%1.8%0.2%425.5K252.5M-2.4M0.723.0531,62222,8841,728,846553,271
2015-11-30$13.44$13.5024.3%7.5%9.1%21.0%26.3%1.8%0.3%371.8K254.2M-2.2M0.824.9222,28218,2181,716,147542,918