SLV Options History — May 2016

In May 2016, SLV traded between $15.21 and $16.65. ATM implied volatility averaged 27.0%, placing in the 47.0% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 4.5% (HV 20d: 22.5%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.55.

Notable Days

2016-05-19: Highest Volume — 144,401 contracts
2016-05-25: Largest IV drop — 6.8% change
2016-05-02: Highest IV Rank — 65.5%
2016-05-02: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.05	$15.21	$16.65	$16.65	$15.21
Max Pain	$15.93	$15.50	$16.00	$15.50	$16.00
ATM IV	27.0%	23.7%	29.6%	29.6%	23.7%
Expected Move	7.7%	6.5%	8.5%	8.5%	6.7%
HV 20d	22.5%	18.5%	25.1%	22.7%	18.5%
HV 60d	24.5%	23.8%	25.0%	24.9%	23.8%
IV Rank	47.0%	23.8%	65.5%	65.5%	24.2%
IV Percentile	68.6%	21.4%	90.9%	90.9%	22.2%
Term Structure	0.4%	-0.2%	1.6%	-0.0%	0.4%
VWIV	27.5%	23.3%	30.9%	30.9%	24.0%
Skew 25d	-2.2%	-3.5%	-1.5%	-3.5%	-1.8%
Skew 10d	-4.0%	-5.5%	-2.9%	-5.5%	-4.5%
Call IV 25d	29.2%	25.5%	32.7%	32.7%	25.8%
Put IV 25d	27.0%	23.9%	29.3%	29.3%	24.1%
Bid-Ask Spread %	3.37	2.42	4.96	2.98	3.09
Gamma HHI	0.14	0.11	0.18	0.13	0.11
Net GEX	19.9M	9.9M	26.8M	24.7M	9.9M
Net DEX	-483.4M	-706.0M	-186.5M	-706.0M	-186.5M
Net VEX	-4.1M	-4.3M	-3.6M	-4.2M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.33	0.96	0.53	0.40
Total Volume	86,883.762	64,406	144,401	123,975	83,373
Total OI	1,666,009.333	1,497,166	1,817,232	1,618,657	1,544,830

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
2016-05-02	$16.65	$15.50	29.6%	8.5%	22.7%	65.5%	30.9%	-3.5%	-0.0%	24.7M	-706.0M	-4.2M	0.53	2.98	80,872	43,103	1,191,163	427,494
2016-05-03	$16.58	$15.50	28.9%	8.5%	23.0%	60.5%	30.0%	-2.9%	-0.0%	24.7M	-683.5M	-4.3M	0.83	2.53	57,350	47,830	1,212,797	439,054
2016-05-04	$16.51	$15.50	27.8%	8.2%	23.1%	52.7%	29.1%	-2.4%	0.2%	23.6M	-651.5M	-4.2M	0.76	3.81	46,265	34,962	1,215,611	458,674
2016-05-05	$16.50	$16.00	27.7%	8.1%	23.2%	51.7%	28.8%	-2.6%	0.4%	24.5M	-653.9M	-4.2M	0.51	2.75	44,121	22,549	1,222,847	464,781
2016-05-06	$16.62	$16.00	27.8%	8.1%	23.2%	52.7%	29.2%	-2.4%	0.4%	24.5M	-698.8M	-4.2M	0.33	4.02	53,097	17,424	1,228,279	467,043
2016-05-09	$16.13	$16.00	27.7%	8.0%	24.0%	51.9%	28.5%	-2.6%	-0.2%	23.3M	-530.1M	-4.0M	0.55	2.42	75,173	41,631	1,212,410	450,461
2016-05-10	$16.28	$16.00	27.4%	7.9%	23.5%	49.9%	27.2%	-2.3%	0.2%	24.1M	-579.9M	-4.1M	0.58	3.13	43,677	25,388	1,235,843	460,145
2016-05-11	$16.55	$16.00	27.6%	7.9%	24.0%	51.2%	28.2%	-2.6%	0.1%	26.8M	-673.6M	-4.2M	0.38	3.05	57,203	21,747	1,244,106	470,124
2016-05-12	$16.23	$16.00	27.0%	7.8%	25.1%	47.0%	28.0%	-2.0%	0.3%	23.9M	-567.2M	-4.1M	0.46	3.53	60,516	28,013	1,264,746	472,121
2016-05-13	$16.26	$16.00	27.1%	7.8%	25.1%	47.6%	28.4%	-2.3%	0.4%	24.2M	-575.2M	-4.2M	0.68	4.13	61,266	41,640	1,261,521	480,294
2016-05-16	$16.31	$16.00	27.6%	7.9%	25.0%	51.1%	28.0%	-2.5%	1.3%	24.2M	-590.7M	-4.2M	0.64	2.55	61,293	39,276	1,248,215	476,721
2016-05-17	$16.34	$16.00	27.8%	8.0%	19.8%	52.6%	28.2%	-1.9%	1.0%	25.1M	-604.7M	-4.2M	0.96	3.04	32,953	31,734	1,264,620	481,221
2016-05-18	$16.01	$16.00	27.4%	7.9%	21.2%	50.0%	27.9%	-1.5%	0.6%	22.4M	-493.3M	-4.2M	0.58	4.96	50,500	29,200	1,285,755	486,542
2016-05-19	$15.68	$16.00	27.1%	7.7%	22.3%	47.7%	27.8%	-1.7%	1.6%	20.4M	-346.4M	-4.1M	0.80	4.48	80,282	64,119	1,288,465	498,113
2016-05-20	$15.69	$16.00	26.7%	7.5%	22.3%	44.9%	27.2%	-1.6%	1.2%	13.2M	-373.9M	-4.0M	0.34	3.26	60,054	20,120	1,313,125	504,107
2016-05-23	$15.59	$16.00	27.6%	7.6%	22.3%	51.0%	27.4%	-2.3%	-0.1%	12.2M	-282.4M	-4.0M	0.39	2.47	46,227	18,179	1,110,975	386,191
2016-05-24	$15.43	$16.00	27.1%	7.5%	22.2%	47.4%	26.7%	-2.5%	0.2%	10.9M	-236.4M	-3.9M	0.39	2.90	47,239	18,434	1,126,813	394,035
2016-05-25	$15.51	$16.00	25.2%	7.0%	22.2%	34.5%	25.0%	-2.5%	0.3%	11.6M	-250.3M	-3.9M	0.36	3.94	63,480	22,893	1,139,267	396,977
2016-05-26	$15.53	$16.00	23.7%	6.5%	19.9%	23.8%	23.3%	-1.6%	0.2%	12.6M	-252.6M	-3.9M	0.57	3.31	41,550	23,501	1,168,490	404,215
2016-05-27	$15.41	$16.00	24.4%	6.6%	19.1%	28.8%	23.4%	-1.6%	0.3%	12.1M	-214.4M	-3.8M	0.56	4.34	55,432	30,893	1,179,342	408,663
2016-05-31	$15.21	$16.00	23.7%	6.7%	18.5%	24.2%	24.0%	-1.8%	0.4%	9.9M	-186.5M	-3.6M	0.40	3.09	59,600	23,773	1,153,765	391,065