SLV Options History — April 2016

In April 2016, SLV traded between $14.21 and $16.98. ATM implied volatility averaged 27.2%, placing in the 48.6% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded above realized volatility by 1.6% (HV 20d: 25.7%). Max pain ranged from $14.00 to $15.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2016-04-22: Highest Volume — 193,529 contracts
2016-04-19: Largest IV spike — 13.9% change
2016-04-21: Highest IV Rank — 78.2%
2016-04-21: Largest Expected Move — 9.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.52	$14.21	$16.98	$14.34	$16.98
Max Pain	$14.71	$14.00	$15.00	$14.00	$15.00
ATM IV	27.2%	22.8%	31.5%	23.0%	29.5%
Expected Move	7.8%	6.2%	9.0%	6.2%	8.5%
HV 20d	25.7%	21.3%	29.3%	26.7%	21.3%
HV 60d	24.2%	23.5%	25.2%	24.2%	24.5%
IV Rank	48.6%	17.9%	78.2%	18.8%	64.8%
IV Percentile	66.3%	9.5%	98.8%	11.1%	90.9%
Term Structure	-0.2%	-0.8%	0.4%	0.2%	-0.5%
VWIV	28.0%	23.0%	33.0%	23.0%	29.8%
Skew 25d	-2.8%	-4.2%	-1.5%	-2.0%	-3.5%
Skew 10d	-5.2%	-8.0%	-3.0%	-4.2%	-5.9%
Call IV 25d	29.8%	24.5%	34.9%	24.5%	32.7%
Put IV 25d	27.0%	22.5%	31.4%	22.5%	29.2%
Bid-Ask Spread %	3.49	2.51	5.80	3.61	5.61
Gamma HHI	0.15	0.10	0.33	0.11	0.30
Net GEX	24.5M	8.9M	45.3M	12.9M	45.3M
Net DEX	-481.1M	-845.2M	-127.3M	-168.7M	-845.2M
Net VEX	-3.6M	-4.2M	-3.0M	-3.1M	-4.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.25	0.67	0.39	0.37
Total Volume	131,448.238	73,530	193,529	140,060	174,811
Total OI	1,679,653.429	1,427,037	1,873,873	1,688,382	1,704,157

Daily Data (21 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
2016-04-01	$14.34	$14.00	23.0%	6.2%	26.7%	18.8%	23.0%	-2.0%	0.2%	12.9M	-168.7M	-3.1M	0.39	3.61	101,040	39,020	1,326,904	361,478
2016-04-04	$14.21	$14.50	22.8%	6.6%	26.0%	17.9%	24.1%	-2.2%	0.1%	8.9M	-127.3M	-3.0M	0.46	2.82	64,900	29,941	1,332,751	370,570
2016-04-05	$14.40	$14.50	23.2%	6.8%	26.2%	20.4%	24.3%	-1.5%	0.1%	12.6M	-178.6M	-3.1M	0.33	2.53	63,409	21,193	1,340,229	383,325
2016-04-06	$14.35	$14.50	23.8%	6.8%	25.3%	24.4%	25.5%	-2.1%	-0.3%	12.1M	-165.0M	-3.1M	0.26	3.26	58,424	15,106	1,356,360	385,737
2016-04-07	$14.49	$14.50	24.1%	7.0%	25.6%	26.7%	25.4%	-2.0%	0.2%	17.3M	-223.9M	-3.2M	0.40	2.82	84,947	33,681	1,373,311	387,394
2016-04-08	$14.63	$14.50	23.4%	6.8%	24.7%	21.9%	25.2%	-2.1%	0.4%	19.0M	-279.8M	-3.3M	0.33	2.97	81,048	26,808	1,402,103	400,673
2016-04-11	$15.15	$14.50	25.9%	7.4%	27.7%	39.6%	27.4%	-2.5%	-0.1%	30.3M	-461.8M	-3.4M	0.34	2.87	130,802	44,126	1,410,085	399,233
2016-04-12	$15.42	$14.50	27.8%	7.8%	28.3%	52.4%	28.1%	-3.2%	-0.4%	35.5M	-542.1M	-3.6M	0.26	2.51	144,247	36,845	1,427,771	395,111
2016-04-13	$15.44	$14.50	27.4%	7.8%	27.7%	49.4%	27.5%	-3.6%	-0.2%	35.9M	-562.2M	-3.6M	0.25	3.01	124,831	30,853	1,438,485	406,257
2016-04-14	$15.34	$14.50	26.8%	7.6%	26.9%	45.6%	26.6%	-3.1%	-0.6%	29.6M	-507.8M	-3.5M	0.38	2.70	84,739	32,213	1,434,945	413,746
2016-04-15	$15.45	$14.50	26.4%	7.6%	25.7%	42.8%	26.5%	-2.5%	-0.0%	42.7M	-550.4M	-3.6M	0.34	4.92	95,135	32,220	1,453,560	420,313
2016-04-18	$15.42	$15.00	25.9%	7.4%	25.2%	39.3%	25.9%	-3.1%	0.2%	22.2M	-414.6M	-3.6M	0.33	3.36	60,713	19,851	1,111,893	315,144
2016-04-19	$16.11	$15.00	29.5%	8.4%	29.3%	64.5%	29.7%	-4.2%	-0.5%	25.7M	-615.1M	-3.8M	0.36	5.67	111,537	40,630	1,120,870	319,581
2016-04-20	$16.16	$15.00	29.0%	8.3%	29.3%	60.9%	30.0%	-4.1%	0.0%	25.3M	-619.7M	-3.8M	0.38	2.63	110,381	42,118	1,138,231	340,346
2016-04-21	$16.21	$15.00	31.5%	9.0%	24.0%	78.2%	33.0%	-3.9%	-0.5%	24.0M	-627.9M	-4.0M	0.61	3.23	110,377	67,061	1,158,279	359,517
2016-04-22	$16.14	$15.00	31.3%	9.0%	24.0%	76.9%	32.8%	-3.2%	0.3%	20.5M	-603.7M	-4.1M	0.66	2.89	116,519	77,010	1,182,497	394,508
2016-04-25	$16.17	$15.00	30.2%	8.6%	24.0%	69.4%	31.1%	-3.6%	-0.7%	19.7M	-571.9M	-4.0M	0.65	2.71	69,668	45,542	1,138,934	432,118
2016-04-26	$16.29	$15.00	30.7%	8.8%	24.0%	73.1%	31.0%	-2.8%	-0.8%	21.4M	-608.8M	-4.1M	0.50	2.92	78,111	38,942	1,157,419	452,822
2016-04-27	$16.38	$15.00	29.7%	8.5%	23.3%	65.7%	30.5%	-2.3%	-0.8%	24.3M	-648.6M	-4.2M	0.51	5.80	63,180	32,064	1,186,952	467,451
2016-04-28	$16.78	$15.00	30.1%	8.5%	24.1%	68.5%	30.1%	-2.2%	-0.4%	28.4M	-779.2M	-4.2M	0.67	4.37	75,737	50,633	1,195,727	475,935
2016-04-29	$16.98	$15.00	29.5%	8.5%	21.3%	64.8%	29.8%	-3.5%	-0.5%	45.3M	-845.2M	-4.2M	0.37	5.61	127,549	47,262	1,215,421	488,736