SLV Options History — June 2016

In June 2016, SLV traded between $15.19 and $17.85. ATM implied volatility averaged 26.9%, placing in the 46.2% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 5.5% (HV 20d: 21.4%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.34.

Notable Days

2016-06-09: Highest Volume — 164,174 contracts
2016-06-09: Largest IV spike — 10.0% change
2016-06-15: Highest IV Rank — 66.0%
2016-06-15: Largest Expected Move — 8.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.41	$15.19	$17.85	$15.19	$17.85
Max Pain	$15.52	$15.50	$16.00	$16.00	$15.50
ATM IV	26.9%	22.7%	29.7%	23.3%	27.0%
Expected Move	7.7%	6.3%	8.5%	6.3%	7.8%
HV 20d	21.4%	18.6%	23.4%	18.6%	23.4%
HV 60d	23.4%	22.2%	24.6%	23.8%	23.2%
IV Rank	46.2%	16.8%	66.0%	21.0%	46.9%
IV Percentile	62.6%	7.9%	91.3%	15.5%	63.5%
Term Structure	-0.0%	-0.6%	0.6%	-0.6%	-0.2%
VWIV	27.8%	22.8%	31.3%	22.8%	27.0%
Skew 25d	-3.0%	-3.9%	-1.0%	-1.7%	-3.9%
Skew 10d	-5.8%	-7.1%	-3.5%	-3.9%	-5.9%
Call IV 25d	29.6%	24.1%	32.9%	25.0%	29.8%
Put IV 25d	26.7%	23.0%	29.7%	23.3%	25.9%
Bid-Ask Spread %	4.69	2.89	7.41	3.37	4.56
Gamma HHI	0.15	0.11	0.23	0.11	0.11
Net GEX	27.3M	8.4M	39.3M	8.9M	30.0M
Net DEX	-589.7M	-986.2M	-173.3M	-173.3M	-986.2M
Net VEX	-4.3M	-4.6M	-3.6M	-3.6M	-4.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.34	0.15	0.51	0.41	0.22
Total Volume	94,306.455	49,914	164,174	55,998	159,024
Total OI	1,645,764.455	1,523,845	1,814,139	1,574,238	1,631,487

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
2016-06-01	$15.19	$16.00	23.3%	6.3%	18.6%	21.0%	22.8%	-1.7%	-0.6%	8.9M	-173.3M	-3.6M	0.41	3.37	39,693	16,305	1,174,125	400,113
2016-06-02	$15.22	$15.50	22.7%	6.6%	18.7%	16.8%	23.3%	-1.0%	-0.1%	8.4M	-174.2M	-3.6M	0.31	4.05	47,151	14,734	1,182,568	405,913
2016-06-03	$15.61	$15.50	23.4%	6.8%	21.4%	21.8%	24.5%	-2.8%	-0.1%	17.9M	-323.8M	-3.9M	0.39	6.08	63,892	25,020	1,203,405	410,628
2016-06-06	$15.68	$15.50	23.7%	6.9%	21.2%	24.1%	25.1%	-2.8%	0.0%	20.6M	-351.8M	-4.0M	0.23	3.55	62,561	14,566	1,223,946	408,913
2016-06-07	$15.62	$15.50	23.8%	6.9%	18.7%	24.4%	25.4%	-3.0%	0.5%	20.2M	-337.8M	-4.0M	0.21	5.43	47,588	10,025	1,241,594	415,736
2016-06-08	$16.20	$15.50	25.3%	7.3%	22.8%	34.8%	26.1%	-3.1%	-0.1%	31.1M	-554.8M	-4.2M	0.24	4.71	103,814	25,323	1,259,641	417,082
2016-06-09	$16.47	$15.50	27.8%	8.0%	22.8%	52.5%	31.3%	-3.5%	0.3%	33.4M	-667.1M	-4.4M	0.15	5.13	143,174	21,000	1,265,334	422,940
2016-06-10	$16.50	$15.50	27.7%	7.9%	21.7%	51.9%	28.4%	-3.3%	0.0%	34.8M	-694.0M	-4.5M	0.43	5.14	75,579	32,214	1,327,445	430,166
2016-06-13	$16.57	$15.50	29.2%	8.3%	21.7%	62.5%	29.4%	-3.8%	-0.1%	35.4M	-700.3M	-4.5M	0.50	4.15	58,754	29,487	1,308,495	439,720
2016-06-14	$16.54	$15.50	29.0%	8.3%	21.7%	61.3%	29.9%	-3.5%	0.1%	36.3M	-696.7M	-4.5M	0.34	3.72	48,541	16,613	1,318,737	443,917
2016-06-15	$16.66	$15.50	29.7%	8.5%	21.8%	66.0%	30.5%	-3.2%	-0.5%	39.3M	-748.1M	-4.6M	0.26	5.90	69,671	18,416	1,328,450	451,047
2016-06-16	$16.32	$15.50	29.4%	8.4%	21.9%	63.5%	31.0%	-2.8%	-0.4%	39.0M	-605.8M	-4.5M	0.27	4.97	108,194	28,891	1,342,411	453,205
2016-06-17	$16.58	$15.50	28.9%	8.3%	20.9%	60.3%	30.1%	-2.6%	-0.1%	24.1M	-758.8M	-4.5M	0.36	6.47	110,175	39,486	1,356,762	457,377
2016-06-20	$16.66	$15.50	27.8%	8.0%	20.9%	52.8%	29.0%	-2.5%	0.4%	26.4M	-620.2M	-4.5M	0.46	4.34	51,149	23,773	1,202,813	321,032
2016-06-21	$16.39	$15.50	27.8%	8.0%	21.7%	52.3%	28.6%	-2.3%	-0.0%	24.9M	-547.6M	-4.4M	0.51	2.89	39,142	20,020	1,216,679	330,298
2016-06-22	$16.42	$15.50	28.3%	8.1%	21.2%	56.4%	30.3%	-2.7%	-0.2%	25.1M	-554.5M	-4.4M	0.48	5.56	33,650	16,264	1,223,332	337,148
2016-06-23	$16.50	$15.50	26.6%	7.8%	21.2%	44.2%	27.7%	-2.4%	0.6%	27.1M	-578.4M	-4.4M	0.46	7.41	43,341	19,909	1,231,025	337,656
2016-06-24	$16.89	$15.50	28.4%	8.2%	22.4%	56.6%	29.2%	-3.3%	0.1%	27.6M	-694.7M	-4.5M	0.24	3.92	73,962	18,061	1,236,662	341,426
2016-06-27	$16.88	$15.50	28.9%	8.3%	22.0%	60.1%	29.9%	-3.9%	-0.1%	28.6M	-676.9M	-4.5M	0.25	3.79	68,610	16,928	1,220,100	333,151
2016-06-28	$16.90	$15.50	26.3%	7.4%	21.1%	42.0%	26.0%	-3.5%	0.2%	30.3M	-693.2M	-4.4M	0.33	3.32	45,711	15,229	1,239,961	336,561
2016-06-29	$17.39	$15.50	26.5%	7.5%	22.4%	43.3%	25.9%	-3.7%	0.2%	31.2M	-836.0M	-4.5M	0.39	4.64	114,090	45,012	1,238,202	339,615
2016-06-30	$17.85	$15.50	27.0%	7.8%	23.4%	46.9%	27.0%	-3.9%	-0.2%	30.0M	-986.2M	-4.6M	0.22	4.56	129,878	29,146	1,269,955	361,532