SLV Options History — December 2015

In December 2015, SLV traded between $13.06 and $13.89. ATM implied volatility averaged 23.0%, placing in the 14.3% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded above realized volatility by 2.7% (HV 20d: 20.3%). Max pain ranged from $13.50 to $16.00. Net GEX was positive for 16 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.51.

Notable Days

  • 2015-12-04: Highest Volume — 142,905 contracts
  • 2015-12-28: Largest IV spike — 12.1% change
  • 2015-12-14: Highest IV Rank — 28.4%
  • 2015-12-03: Largest Expected Move — 7.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$13.42$13.06$13.89$13.51$13.18
Max Pain$15.45$13.50$16.00$13.50$15.00
ATM IV23.0%20.3%25.3%22.9%21.6%
Expected Move6.8%5.8%7.4%7.1%6.1%
HV 20d20.3%9.7%28.2%9.7%28.0%
HV 60d21.2%19.4%22.6%20.7%19.4%
IV Rank14.3%0.0%28.4%11.6%9.1%
IV Percentile9.6%0.0%31.3%4.4%2.0%
Term Structure0.5%-2.2%2.2%0.4%0.1%
VWIV24.1%20.1%26.2%25.1%21.4%
Skew 25d1.3%0.7%2.1%1.5%0.7%
Skew 10d2.3%0.9%4.1%2.7%1.4%
Call IV 25d23.5%20.1%26.5%23.2%21.9%
Put IV 25d24.8%21.4%27.3%24.6%22.6%
Bid-Ask Spread %2.811.835.825.822.71
Gamma HHI0.150.120.240.140.22
Net GEX1.8M-3.3M5.9M1.2M-1.3M
Net DEX215.0M128.0M295.4M243.8M248.5M
Net VEX-2.1M-2.4M-1.8M-2.3M-1.8M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.360.720.360.41
Total Volume58,948.90929,725142,90558,57141,660
Total OI2,275,276.6822,188,6822,328,3962,284,3402,219,258

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2015-12-01$13.51$13.5022.9%7.1%9.7%11.6%25.1%1.5%0.4%1.2M243.8M-2.3M0.365.8242,95715,6141,729,898554,442
2015-12-02$13.38$13.5024.0%7.3%9.8%19.5%25.7%1.9%-0.0%738.7K263.4M-2.3M0.563.6335,65220,1301,753,636563,262
2015-12-03$13.45$16.0024.3%7.4%9.8%21.1%25.3%1.9%-0.0%1.1M243.3M-2.3M0.722.1457,00141,2451,757,017563,462
2015-12-04$13.89$16.0023.3%6.7%15.9%14.0%24.2%1.1%0.4%5.0M133.9M-2.4M0.363.74105,20737,6981,768,030560,366
2015-12-07$13.62$16.0024.2%7.0%16.5%20.4%24.5%0.9%0.1%4.7M177.0M-2.3M0.412.2521,0868,6391,759,633536,859
2015-12-08$13.50$16.0023.6%7.2%16.1%16.4%25.0%0.9%1.6%2.7M215.3M-2.2M0.672.0943,59629,0941,766,846540,786
2015-12-09$13.50$16.0023.8%7.1%15.8%17.6%24.4%0.8%1.2%3.0M195.8M-2.3M0.712.8424,86017,6011,763,909536,049
2015-12-10$13.45$16.0023.1%7.1%15.8%12.4%25.6%0.8%2.2%1.8M210.2M-2.2M0.582.8031,04417,8751,767,378538,685
2015-12-11$13.29$16.0025.1%7.4%16.2%27.0%26.0%0.8%1.1%1.8M250.5M-2.1M0.372.0957,10321,3411,771,641539,431
2015-12-14$13.06$16.0025.3%7.2%17.2%28.4%25.8%0.8%-0.0%126.2K272.4M-2.0M0.582.8837,23521,5901,780,771525,664
2015-12-15$13.11$16.0024.9%7.1%17.3%25.7%26.2%1.4%0.2%-117.4K275.3M-2.0M0.522.5929,83815,4381,787,131531,126
2015-12-16$13.51$16.0024.0%6.9%20.6%18.9%25.0%0.7%0.0%5.9M194.0M-2.2M0.374.5957,95221,6701,788,893529,612
2015-12-17$13.07$16.0023.6%6.8%23.7%16.3%25.7%2.1%-0.9%-3.3M295.4M-1.9M0.692.1433,74823,2271,793,843527,923
2015-12-18$13.43$16.0023.4%6.9%25.7%14.8%24.2%1.9%-2.2%1.8M211.8M-2.1M0.451.8348,42521,5481,805,768522,420
2015-12-21$13.61$16.0022.0%6.2%26.0%4.9%22.5%0.9%1.0%4.2M149.5M-2.1M0.442.4342,80318,9201,705,342494,210
2015-12-22$13.60$15.0020.5%6.0%26.0%0.0%21.4%0.7%1.1%5.1M153.6M-2.1M0.492.6124,31711,9801,719,570498,405
2015-12-23$13.64$15.0020.4%5.8%25.9%0.0%20.3%1.9%0.6%4.0M156.0M-2.0M0.433.0330,69913,2391,722,761501,768
2015-12-24$13.69$15.0020.3%5.9%26.0%0.0%20.1%1.4%0.9%4.3M128.0M-2.1M0.512.4024,22812,3801,726,867503,592
2015-12-28$13.28$15.0022.7%6.7%28.2%16.5%24.3%1.3%0.6%-390.5K231.3M-1.9M0.682.6030,64920,8551,702,877485,805
2015-12-29$13.28$15.0021.6%6.4%28.2%9.0%24.0%1.8%0.9%-379.6K226.7M-1.9M0.392.3930,67311,9131,712,062489,962
2015-12-30$13.20$15.0022.1%6.7%28.1%12.1%23.2%1.3%0.9%-1.8M255.1M-1.8M0.482.2629,83614,3101,717,717491,410
2015-12-31$13.18$15.0021.6%6.1%28.0%9.1%21.4%0.7%0.1%-1.3M248.5M-1.8M0.412.7129,62912,0311,725,642493,616