SLV Options History — July 2016

In July 2016, SLV traded between $18.43 and $19.38. ATM implied volatility averaged 29.3%, placing in the 58.9% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 0.6% (HV 20d: 28.7%). Max pain ranged from $15.50 to $18.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 10 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2016-07-01: Highest Volume — 307,879 contracts
2016-07-05: Largest IV spike — 12.6% change
2016-07-05: Highest IV Rank — 100.0%
2016-07-01: Largest Expected Move — 9.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.00	$18.43	$19.38	$18.77	$19.38
Max Pain	$17.70	$15.50	$18.00	$15.50	$18.00
ATM IV	29.3%	25.9%	35.6%	31.6%	28.4%
Expected Move	8.3%	7.4%	9.6%	9.6%	8.1%
HV 20d	28.7%	26.7%	31.9%	27.2%	30.3%
HV 60d	24.8%	23.8%	25.5%	25.0%	25.5%
IV Rank	58.9%	36.7%	100.0%	79.3%	53.2%
IV Percentile	79.9%	46.0%	100.0%	98.8%	79.8%
Term Structure	-0.1%	-1.2%	0.6%	-0.0%	0.0%
VWIV	30.1%	26.4%	33.9%	32.8%	28.2%
Skew 25d	-3.8%	-6.9%	-2.6%	-4.2%	-3.5%
Skew 10d	-6.4%	-11.8%	-3.9%	-7.5%	-5.4%
Call IV 25d	32.2%	28.1%	40.2%	34.5%	30.6%
Put IV 25d	28.5%	25.0%	33.4%	30.3%	27.1%
Bid-Ask Spread %	3.57	1.92	5.20	4.11	2.16
Gamma HHI	0.11	0.09	0.14	0.11	0.14
Net GEX	34.8M	25.5M	42.0M	29.9M	40.0M
Net DEX	-1.21B	-1.46B	-862.8M	-1.22B	-1.28B
Net VEX	-5.4M	-5.9M	-4.8M	-4.8M	-5.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.21	0.95	0.22	0.46
Total Volume	146,596.85	66,355	307,879	307,879	135,107
Total OI	1,905,294.8	1,625,554	2,122,667	1,625,554	2,040,953

Daily Data (20 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
2016-07-01	$18.77	$15.50	31.6%	9.6%	27.2%	79.3%	32.8%	-4.2%	-0.0%	29.9M	-1.22B	-4.8M	0.22	4.11	253,128	54,751	1,269,681	355,873
2016-07-05	$18.93	$17.00	35.6%	9.6%	27.1%	100.0%	33.1%	-6.9%	-1.2%	30.2M	-1.26B	-5.0M	0.37	3.98	161,612	59,263	1,328,406	381,156
2016-07-06	$19.09	$17.50	34.0%	9.3%	26.7%	89.6%	32.7%	-5.9%	-1.2%	32.8M	-1.33B	-5.2M	0.21	2.82	158,887	34,065	1,392,318	410,838
2016-07-07	$18.70	$17.50	30.6%	8.6%	26.9%	67.1%	31.4%	-5.3%	-0.4%	33.2M	-1.20B	-5.2M	0.32	3.82	109,383	34,609	1,425,530	418,682
2016-07-08	$19.18	$17.50	29.8%	8.5%	27.5%	62.1%	31.2%	-4.2%	-0.8%	34.1M	-1.38B	-5.2M	0.23	3.81	142,462	33,206	1,448,025	428,425
2016-07-11	$19.31	$17.50	31.9%	9.1%	27.4%	75.8%	33.9%	-5.1%	-0.1%	38.0M	-1.42B	-5.4M	0.21	2.52	152,747	31,513	1,488,705	420,149
2016-07-12	$19.10	$17.50	29.7%	8.4%	28.2%	61.3%	32.0%	-4.0%	-0.4%	40.4M	-1.37B	-5.4M	0.31	4.10	141,929	43,735	1,559,516	429,732
2016-07-13	$19.38	$18.00	29.6%	8.5%	28.1%	60.8%	30.5%	-3.3%	0.0%	41.9M	-1.46B	-5.4M	0.34	4.34	99,885	34,160	1,594,112	454,863
2016-07-14	$19.25	$18.00	28.8%	8.2%	28.6%	55.9%	30.1%	-3.5%	-0.0%	42.0M	-1.42B	-5.5M	0.28	4.08	94,512	26,032	1,627,005	472,796
2016-07-15	$19.09	$18.00	27.5%	7.9%	27.3%	46.9%	28.9%	-3.5%	0.0%	32.6M	-1.38B	-5.4M	0.21	3.79	106,257	22,324	1,640,096	482,571
2016-07-18	$19.11	$18.00	26.9%	7.7%	27.2%	43.0%	28.4%	-3.2%	0.1%	33.4M	-1.10B	-5.4M	0.34	4.79	75,802	25,974	1,425,562	367,005
2016-07-19	$18.93	$18.00	25.9%	7.4%	27.8%	36.7%	26.4%	-3.1%	0.1%	32.8M	-1.04B	-5.4M	0.42	3.62	65,147	27,466	1,450,572	376,021
2016-07-20	$18.43	$18.00	26.7%	7.7%	29.2%	41.9%	28.2%	-2.8%	0.1%	25.5M	-862.8M	-5.3M	0.41	4.01	111,997	45,639	1,472,735	382,669
2016-07-21	$18.88	$18.00	27.9%	8.0%	29.8%	50.0%	28.7%	-3.0%	-0.4%	32.7M	-1.04B	-5.5M	0.28	5.20	93,105	25,626	1,491,049	393,335
2016-07-22	$18.67	$18.00	27.4%	7.8%	30.5%	46.5%	29.2%	-2.6%	0.2%	32.1M	-978.8M	-5.5M	0.42	3.91	52,512	21,957	1,522,069	397,371
2016-07-25	$18.55	$18.00	28.0%	8.1%	30.1%	50.2%	29.1%	-2.9%	0.2%	31.1M	-935.9M	-5.4M	0.42	4.40	89,216	37,915	1,498,571	386,569
2016-07-26	$18.67	$18.00	27.6%	7.8%	30.1%	48.0%	28.7%	-2.6%	0.1%	31.4M	-963.8M	-5.4M	0.28	2.15	51,859	14,496	1,512,830	407,441
2016-07-27	$19.35	$18.00	30.2%	8.8%	31.9%	64.5%	30.9%	-3.0%	0.2%	39.8M	-1.24B	-5.8M	0.40	1.96	102,335	40,933	1,530,661	407,790
2016-07-28	$19.20	$18.00	27.3%	7.7%	31.2%	46.1%	27.6%	-2.6%	0.6%	41.6M	-1.24B	-5.8M	0.95	1.92	61,878	58,513	1,591,404	422,810
2016-07-29	$19.38	$18.00	28.4%	8.1%	30.3%	53.2%	28.2%	-3.5%	0.0%	40.0M	-1.28B	-5.9M	0.46	2.16	92,816	42,291	1,587,080	453,873