SLV Options History — August 2016

In August 2016, SLV traded between $17.62 and $19.61. ATM implied volatility averaged 24.6%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 1.4% (HV 20d: 23.2%). Max pain ranged from $18.00 to $18.50. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 16 of 23 days. Put/call ratio averaged 0.44.

Notable Days

2016-08-12: Highest Volume — 186,813 contracts
2016-08-05: Largest IV drop — 9.3% change
2016-08-02: Highest IV Rank — 56.5%
2016-08-02: Largest Expected Move — 8.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.55	$17.62	$19.61	$19.43	$17.72
Max Pain	$18.02	$18.00	$18.50	$18.00	$18.00
ATM IV	24.6%	22.2%	28.9%	28.6%	23.7%
Expected Move	7.0%	6.4%	8.2%	8.1%	6.4%
HV 20d	23.2%	19.5%	25.4%	24.9%	19.7%
HV 60d	25.3%	24.6%	25.8%	25.5%	25.5%
IV Rank	28.4%	12.8%	56.5%	54.6%	22.5%
IV Percentile	32.0%	5.2%	83.3%	81.3%	20.6%
Term Structure	0.3%	-0.5%	1.2%	-0.4%	0.4%
VWIV	25.2%	22.6%	29.6%	29.2%	22.6%
Skew 25d	-2.2%	-4.5%	-0.7%	-4.5%	-1.5%
Skew 10d	-3.9%	-7.4%	-1.4%	-7.4%	-3.3%
Call IV 25d	26.3%	23.8%	32.1%	32.0%	25.1%
Put IV 25d	24.2%	21.7%	28.1%	27.4%	23.6%
Bid-Ask Spread %	2.19	1.68	3.61	1.94	1.91
Gamma HHI	0.14	0.11	0.17	0.15	0.12
Net GEX	29.6M	17.7M	46.0M	44.4M	17.7M
Net DEX	-933.4M	-1.38B	-592.5M	-1.30B	-629.7M
Net VEX	-5.5M	-6.0M	-5.2M	-5.9M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.44	0.20	0.77	0.40	0.52
Total Volume	94,852.826	57,450	186,813	99,861	69,110
Total OI	2,087,570.696	1,943,766	2,238,002	2,023,630	2,057,232

Daily Data (23 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
2016-08-01	$19.43	$18.00	28.6%	8.1%	24.9%	54.6%	29.2%	-4.5%	-0.4%	44.4M	-1.30B	-5.9M	0.40	1.94	71,262	28,599	1,580,185	443,445
2016-08-02	$19.61	$18.00	28.9%	8.2%	24.9%	56.5%	29.6%	-3.9%	-0.3%	46.0M	-1.38B	-6.0M	0.46	1.98	82,231	37,489	1,594,983	456,239
2016-08-03	$19.40	$18.00	27.4%	7.7%	25.2%	46.1%	27.1%	-3.3%	-0.4%	44.9M	-1.28B	-5.9M	0.32	1.98	59,602	19,008	1,607,361	464,836
2016-08-04	$19.34	$18.00	26.9%	7.7%	23.9%	43.5%	27.4%	-3.5%	-0.2%	44.4M	-1.25B	-5.9M	0.35	1.91	74,637	26,183	1,620,149	470,035
2016-08-05	$18.73	$18.00	24.4%	7.1%	25.1%	27.1%	26.1%	-1.9%	-0.3%	30.1M	-964.8M	-5.6M	0.26	2.21	135,033	34,879	1,628,555	478,017
2016-08-08	$18.74	$18.00	23.9%	6.9%	24.9%	23.7%	26.0%	-2.4%	0.4%	31.8M	-986.7M	-5.6M	0.30	1.91	59,214	17,987	1,634,074	469,504
2016-08-09	$18.86	$18.00	23.5%	6.9%	24.8%	21.1%	24.8%	-2.5%	0.6%	32.5M	-1.03B	-5.6M	0.39	1.68	41,587	16,054	1,616,796	472,710
2016-08-10	$19.17	$18.00	24.0%	7.1%	24.9%	24.4%	25.9%	-2.5%	0.7%	40.0M	-1.17B	-5.7M	0.34	1.84	66,993	22,903	1,619,642	473,239
2016-08-11	$18.97	$18.00	24.4%	7.2%	25.1%	27.2%	25.8%	-2.9%	0.7%	35.7M	-1.08B	-5.6M	0.27	2.43	84,974	23,029	1,640,998	481,425
2016-08-12	$18.73	$18.00	22.2%	6.5%	25.3%	12.8%	24.3%	-2.4%	0.5%	29.1M	-983.6M	-5.5M	0.20	2.36	155,797	31,016	1,674,133	477,796
2016-08-15	$18.83	$18.00	22.6%	6.5%	25.4%	14.8%	23.7%	-2.1%	0.6%	31.7M	-1.04B	-5.5M	0.50	1.91	44,040	22,166	1,679,351	482,469
2016-08-16	$18.82	$18.00	23.2%	6.6%	25.2%	18.9%	24.1%	-2.0%	0.6%	31.6M	-1.03B	-5.5M	0.33	1.72	71,910	24,055	1,691,145	483,060
2016-08-17	$18.68	$18.00	23.2%	6.6%	23.4%	18.8%	24.2%	-1.2%	0.8%	27.0M	-967.0M	-5.5M	0.39	3.61	47,382	18,667	1,718,641	484,978
2016-08-18	$18.77	$18.00	22.9%	6.5%	21.7%	17.0%	23.1%	-1.6%	1.2%	29.1M	-1.01B	-5.5M	0.38	3.31	49,743	18,723	1,733,438	492,157
2016-08-19	$18.34	$18.00	23.4%	6.6%	22.9%	20.6%	23.5%	-0.7%	1.0%	25.3M	-806.8M	-5.4M	0.54	1.95	84,323	45,605	1,747,007	490,995
2016-08-22	$17.95	$18.50	24.6%	6.9%	24.0%	28.2%	24.3%	-1.3%	-0.0%	21.2M	-694.0M	-5.3M	0.47	2.11	72,587	34,390	1,551,538	392,228
2016-08-23	$17.95	$18.00	25.2%	7.0%	23.8%	32.1%	24.7%	-0.8%	0.1%	21.3M	-702.6M	-5.3M	0.53	2.06	37,551	19,899	1,570,917	403,653
2016-08-24	$17.62	$18.00	25.4%	7.0%	19.9%	33.2%	24.7%	-1.7%	0.0%	17.9M	-592.5M	-5.3M	0.77	2.25	47,301	36,583	1,578,360	411,382
2016-08-25	$17.63	$18.00	24.7%	6.9%	19.9%	29.1%	24.9%	-1.4%	0.1%	18.1M	-603.0M	-5.3M	0.59	2.38	61,155	35,882	1,599,248	422,355
2016-08-26	$17.70	$18.00	24.1%	6.7%	19.5%	25.2%	24.4%	-2.0%	-0.5%	19.9M	-634.6M	-5.3M	0.62	2.43	70,407	43,701	1,626,991	434,705
2016-08-29	$17.89	$18.00	24.9%	6.9%	20.1%	30.2%	24.4%	-2.0%	0.1%	21.4M	-702.1M	-5.3M	0.48	1.94	43,404	20,943	1,585,734	436,858
2016-08-30	$17.68	$18.00	24.1%	6.7%	19.7%	25.3%	24.0%	-1.7%	0.4%	19.5M	-632.2M	-5.2M	0.70	2.50	43,288	30,323	1,598,602	436,960
2016-08-31	$17.72	$18.00	23.7%	6.4%	19.7%	22.5%	22.6%	-1.5%	0.4%	17.7M	-629.7M	-5.2M	0.52	1.91	45,579	23,531	1,606,418	450,814