SLV Options History — January 2016

In January 2016, SLV traded between $13.17 and $13.82. ATM implied volatility averaged 23.7%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 6.7%. IV traded below realized volatility by 0.5% (HV 20d: 24.3%). Max pain ranged from $13.50 to $13.50. Net GEX was positive for 17 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.47.

Notable Days

2016-01-15: Highest Volume — 87,496 contracts
2016-01-19: Largest IV drop — 9.7% change
2016-01-15: Highest IV Rank — 45.6%
2016-01-15: Largest Expected Move — 7.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.43	$13.17	$13.82	$13.20	$13.59
Max Pain	$13.50	$13.50	$13.50	$13.50	$13.50
ATM IV	23.7%	20.8%	27.1%	23.8%	20.8%
Expected Move	6.7%	5.4%	7.6%	6.5%	5.4%
HV 20d	24.3%	19.8%	28.6%	27.9%	20.8%
HV 60d	20.3%	18.9%	21.3%	19.2%	21.0%
IV Rank	23.5%	3.3%	45.6%	23.4%	3.3%
IV Percentile	19.7%	1.2%	64.7%	15.1%	1.2%
Term Structure	0.2%	-0.5%	0.8%	-0.3%	0.2%
VWIV	23.9%	20.1%	27.0%	22.9%	20.1%
Skew 25d	0.5%	-0.5%	1.1%	0.6%	0.2%
Skew 10d	1.1%	-0.5%	3.1%	1.7%	0.2%
Call IV 25d	24.3%	21.2%	26.7%	23.8%	21.2%
Put IV 25d	24.9%	21.4%	27.6%	24.4%	21.4%
Bid-Ask Spread %	3.13	2.44	4.24	3.02	3.75
Gamma HHI	0.18	0.12	0.24	0.20	0.17
Net GEX	5.9M	-471.2K	13.6M	-404.4K	10.3M
Net DEX	64.8M	-147.8M	234.1M	228.9M	-93.8M
Net VEX	-2.0M	-2.2M	-1.8M	-1.8M	-2.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.23	0.81	0.39	0.23
Total Volume	63,203	35,689	87,496	58,791	35,689
Total OI	1,612,318.842	839,531	2,319,866	2,193,272	959,557

Daily Data (19 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
2016-01-04	$13.20	$13.50	23.8%	6.5%	27.9%	23.4%	22.9%	0.6%	-0.3%	-404.4K	228.9M	-1.8M	0.39	3.02	42,257	16,534	1,714,959	478,313
2016-01-05	$13.32	$13.50	21.9%	6.4%	25.3%	10.6%	22.8%	1.1%	0.2%	533.6K	215.7M	-1.8M	0.43	2.81	31,857	13,805	1,720,340	482,922
2016-01-06	$13.36	$13.50	23.0%	6.5%	24.5%	18.0%	23.1%	0.8%	0.0%	1.1M	212.0M	-1.8M	0.53	3.11	26,832	14,308	1,727,190	484,208
2016-01-07	$13.63	$13.50	24.5%	6.8%	25.4%	28.0%	24.6%	0.3%	-0.1%	4.3M	152.3M	-1.9M	0.47	3.04	58,550	27,378	1,731,553	487,665
2016-01-08	$13.29	$13.50	23.8%	6.8%	27.0%	23.2%	23.8%	0.8%	-0.3%	23.1K	226.3M	-1.9M	0.30	3.14	59,479	17,588	1,754,040	501,759
2016-01-11	$13.22	$13.50	24.4%	6.8%	27.0%	27.8%	24.1%	0.7%	-0.5%	500.8K	228.5M	-1.8M	0.51	3.07	38,771	19,609	1,767,679	491,283
2016-01-12	$13.17	$13.50	23.4%	6.7%	26.7%	21.1%	24.3%	1.1%	0.4%	-471.2K	234.1M	-1.8M	0.50	3.33	45,573	22,802	1,776,712	493,742
2016-01-13	$13.49	$13.50	24.1%	6.8%	27.3%	25.7%	24.2%	0.9%	-0.4%	6.4M	171.2M	-1.9M	0.63	4.24	41,927	26,400	1,795,705	498,348
2016-01-14	$13.19	$13.50	25.1%	7.1%	28.6%	32.3%	24.9%	1.0%	-0.0%	384.1K	224.6M	-1.9M	0.74	2.79	34,035	25,276	1,804,253	500,509
2016-01-15	$13.25	$13.50	27.1%	7.6%	26.4%	45.6%	27.0%	0.9%	-0.4%	5.9M	205.4M	-1.9M	0.24	3.65	70,636	16,860	1,814,446	505,420
2016-01-19	$13.37	$13.50	24.5%	7.0%	23.7%	28.1%	24.7%	0.6%	0.5%	7.4M	-65.5M	-2.0M	0.54	3.50	39,174	21,227	646,150	193,381
2016-01-20	$13.49	$13.50	24.0%	6.9%	21.9%	25.6%	24.7%	0.3%	0.8%	9.1M	-83.1M	-2.0M	0.35	2.75	53,334	18,793	657,490	202,267
2016-01-21	$13.45	$13.50	24.4%	7.0%	21.3%	28.7%	24.9%	0.8%	0.4%	11.6M	-82.6M	-2.0M	0.42	2.46	44,808	18,769	682,364	205,524
2016-01-22	$13.38	$13.50	23.5%	6.7%	21.4%	22.7%	24.3%	0.1%	0.7%	7.7M	-64.9M	-2.0M	0.47	2.57	34,859	16,511	692,204	210,018
2016-01-25	$13.57	$13.50	23.7%	6.8%	22.0%	23.8%	24.3%	0.7%	0.2%	10.0M	-93.3M	-2.0M	0.32	2.44	46,603	15,035	677,282	205,343
2016-01-26	$13.82	$13.50	24.2%	7.0%	22.9%	27.5%	24.9%	-0.3%	0.5%	13.6M	-147.8M	-2.2M	0.52	3.21	47,420	24,634	695,451	208,164
2016-01-27	$13.81	$13.50	23.4%	6.7%	19.8%	21.7%	23.5%	-0.5%	0.5%	13.6M	-141.8M	-2.2M	0.51	3.29	43,924	22,224	703,512	220,242
2016-01-28	$13.57	$13.50	21.7%	5.9%	21.0%	10.1%	20.6%	0.1%	0.6%	10.4M	-95.2M	-2.1M	0.81	3.37	37,127	30,249	717,277	226,786
2016-01-29	$13.59	$13.50	20.8%	5.4%	20.8%	3.3%	20.1%	0.2%	0.2%	10.3M	-93.8M	-2.1M	0.23	3.75	28,940	6,749	722,555	237,002