SLV Options History — March 2016

In March 2016, SLV traded between $14.16 and $15.24. ATM implied volatility averaged 25.2%, placing in the 34.6% IV rank vs the trailing year. The 30-day expected move averaged 7.2%. IV traded above realized volatility by 0.5% (HV 20d: 24.7%). Max pain ranged from $14.00 to $14.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.33.

Notable Days

2016-03-17: Highest Volume — 285,327 contracts
2016-03-11: Largest IV drop — 8.7% change
2016-03-04: Highest IV Rank — 56.0%
2016-03-04: Largest Expected Move — 8.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$14.69	$14.16	$15.24	$14.16	$14.68
Max Pain	$14.02	$14.00	$14.50	$14.00	$14.00
ATM IV	25.2%	23.0%	28.3%	24.7%	23.0%
Expected Move	7.2%	6.5%	8.1%	7.4%	6.5%
HV 20d	24.7%	21.4%	27.9%	24.9%	26.1%
HV 60d	23.6%	22.5%	24.4%	24.4%	23.7%
IV Rank	34.6%	18.8%	56.0%	30.7%	18.8%
IV Percentile	45.4%	10.3%	84.1%	35.3%	10.3%
Term Structure	0.3%	-0.2%	0.8%	0.3%	0.8%
VWIV	26.7%	23.4%	29.4%	26.9%	23.4%
Skew 25d	-3.0%	-4.6%	-1.8%	-2.6%	-3.3%
Skew 10d	-5.8%	-9.5%	-3.9%	-4.5%	-6.4%
Call IV 25d	28.1%	25.9%	31.2%	27.3%	26.3%
Put IV 25d	25.1%	23.1%	27.2%	24.7%	23.1%
Bid-Ask Spread %	3.53	2.25	9.93	3.51	2.98
Gamma HHI	0.13	0.10	0.19	0.10	0.13
Net GEX	21.0M	14.4M	34.7M	14.5M	20.8M
Net DEX	-318.2M	-526.2M	-185.1M	-185.1M	-297.0M
Net VEX	-3.2M	-3.6M	-2.8M	-2.8M	-3.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.33	0.12	0.69	0.33	0.33
Total Volume	113,780.364	53,317	285,327	53,317	74,732
Total OI	1,556,080.227	1,265,968	1,771,606	1,265,968	1,739,799

Daily Data (22 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
2016-03-01	$14.16	$14.00	24.7%	7.4%	24.9%	30.7%	26.9%	-2.6%	0.3%	14.5M	-185.1M	-2.8M	0.33	3.51	39,989	13,328	1,001,132	264,836
2016-03-02	$14.25	$14.00	24.9%	7.3%	24.9%	32.0%	26.7%	-2.5%	0.7%	15.6M	-205.0M	-2.8M	0.51	3.67	37,254	19,014	1,009,697	266,269
2016-03-03	$14.52	$14.00	26.5%	7.7%	24.3%	43.5%	27.8%	-3.5%	0.3%	19.0M	-278.5M	-2.9M	0.32	4.38	77,821	24,784	1,020,710	274,707
2016-03-04	$14.77	$14.00	28.3%	8.1%	24.5%	56.0%	28.4%	-4.2%	-0.2%	20.4M	-358.4M	-3.1M	0.16	4.68	140,398	22,351	1,049,058	283,201
2016-03-07	$14.91	$14.00	26.7%	7.6%	24.5%	44.6%	27.0%	-3.5%	-0.2%	23.3M	-381.7M	-3.1M	0.50	5.05	85,945	42,775	1,078,155	279,752
2016-03-08	$14.61	$14.00	26.0%	7.5%	24.8%	40.2%	27.0%	-3.3%	0.2%	19.6M	-296.4M	-3.1M	0.69	4.47	59,232	41,072	1,107,703	308,626
2016-03-09	$14.54	$14.00	25.5%	7.4%	24.8%	36.8%	27.2%	-2.4%	0.2%	16.9M	-264.8M	-3.1M	0.28	3.34	60,294	17,033	1,120,563	334,892
2016-03-10	$14.83	$14.00	27.6%	7.9%	25.7%	51.1%	29.0%	-2.6%	0.3%	20.9M	-349.4M	-3.2M	0.23	3.37	157,643	35,950	1,123,915	338,899
2016-03-11	$14.74	$14.00	25.2%	7.2%	24.0%	34.3%	26.3%	-2.7%	0.3%	20.7M	-358.9M	-3.4M	0.22	3.09	83,872	18,238	1,219,779	356,384
2016-03-14	$14.74	$14.00	25.0%	7.2%	23.9%	32.8%	25.9%	-2.6%	0.3%	21.0M	-346.4M	-3.3M	0.41	2.71	67,788	27,638	1,206,734	351,422
2016-03-15	$14.55	$14.00	24.2%	6.9%	21.4%	27.4%	24.9%	-2.7%	0.6%	14.8M	-259.7M	-3.2M	0.45	2.53	64,893	29,225	1,210,495	368,013
2016-03-16	$14.88	$14.00	25.0%	7.2%	22.8%	33.1%	26.1%	-1.8%	0.1%	21.4M	-366.2M	-3.3M	0.29	9.93	93,823	27,532	1,232,906	376,630
2016-03-17	$15.24	$14.00	26.9%	7.7%	23.7%	46.5%	29.4%	-3.6%	-0.2%	31.2M	-526.2M	-3.5M	0.12	2.98	254,297	31,030	1,264,211	381,674
2016-03-18	$15.04	$14.00	25.8%	7.4%	24.0%	38.8%	29.0%	-4.6%	-0.1%	34.7M	-491.4M	-3.6M	0.35	3.25	94,491	33,516	1,376,005	395,601
2016-03-21	$15.06	$14.00	25.2%	7.1%	23.3%	34.2%	28.0%	-4.0%	0.6%	28.5M	-426.8M	-3.6M	0.37	2.47	77,218	28,890	1,299,826	339,648
2016-03-22	$15.12	$14.00	24.9%	7.0%	23.2%	32.6%	27.3%	-3.8%	-0.1%	29.3M	-443.0M	-3.6M	0.38	2.25	74,730	28,032	1,311,811	349,383
2016-03-23	$14.50	$14.00	23.6%	6.5%	27.9%	23.5%	26.8%	-2.9%	0.3%	14.4M	-230.0M	-3.3M	0.21	2.84	126,735	26,555	1,324,600	361,288
2016-03-24	$14.44	$14.00	23.7%	6.6%	27.9%	24.0%	24.4%	-2.0%	0.8%	16.3M	-204.9M	-3.3M	0.30	2.57	76,641	23,364	1,360,938	370,702
2016-03-28	$14.46	$14.00	24.0%	6.7%	25.7%	25.7%	25.7%	-2.5%	0.2%	17.7M	-228.0M	-3.2M	0.33	2.59	62,006	20,538	1,343,973	359,532
2016-03-29	$14.61	$14.50	24.2%	7.0%	25.6%	27.5%	25.0%	-2.2%	0.5%	21.3M	-273.3M	-3.3M	0.29	2.48	69,684	20,150	1,356,780	367,527
2016-03-30	$14.48	$14.00	24.1%	6.6%	25.8%	26.8%	24.1%	-2.5%	0.0%	19.8M	-229.4M	-3.2M	0.17	2.60	79,366	13,301	1,372,423	373,566
2016-03-31	$14.68	$14.00	23.0%	6.5%	26.1%	18.8%	23.4%	-3.3%	0.8%	20.8M	-297.0M	-3.3M	0.33	2.98	56,176	18,556	1,362,125	377,674