SLV Options History — September 2016

In September 2016, SLV traded between $17.86 and $19.05. ATM implied volatility averaged 23.9%, placing in the 23.6% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 0.9% (HV 20d: 24.8%). Max pain ranged from $16.50 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.38.

Notable Days

2016-09-21: Highest Volume — 191,534 contracts
2016-09-06: Largest IV spike — 8.4% change
2016-09-13: Highest IV Rank — 38.6%
2016-09-12: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.33	$17.86	$19.05	$17.95	$18.20
Max Pain	$16.64	$16.50	$18.00	$18.00	$16.50
ATM IV	23.9%	20.8%	26.2%	24.7%	21.0%
Expected Move	6.8%	5.9%	7.4%	6.7%	5.9%
HV 20d	24.8%	20.4%	26.6%	20.7%	25.9%
HV 60d	25.7%	23.5%	26.8%	24.6%	23.5%
IV Rank	23.6%	3.1%	38.6%	28.8%	4.4%
IV Percentile	27.6%	1.6%	54.4%	36.9%	2.0%
Term Structure	0.2%	-0.4%	1.0%	0.0%	0.5%
VWIV	24.5%	20.9%	26.9%	23.9%	20.9%
Skew 25d	-2.3%	-3.6%	-0.6%	-2.0%	-1.8%
Skew 10d	-4.1%	-6.7%	-1.1%	-3.7%	-4.7%
Call IV 25d	25.8%	22.1%	28.0%	26.1%	22.1%
Put IV 25d	23.5%	19.9%	26.1%	24.1%	20.3%
Bid-Ask Spread %	4.70	2.29	8.05	2.50	6.93
Gamma HHI	0.13	0.12	0.16	0.12	0.14
Net GEX	32.5M	20.8M	49.2M	20.8M	36.5M
Net DEX	-898.8M	-1.19B	-684.1M	-715.6M	-857.3M
Net VEX	-5.2M	-5.6M	-4.9M	-5.3M	-5.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.38	0.14	0.65	0.14	0.45
Total Volume	93,745.333	49,962	191,534	126,566	101,185
Total OI	2,133,373.19	2,030,641	2,255,243	2,078,339	2,194,375

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
2016-09-01	$17.95	$18.00	24.7%	6.7%	20.7%	28.8%	23.9%	-2.0%	0.0%	20.8M	-715.6M	-5.3M	0.14	2.50	111,512	15,054	1,617,276	461,063
2016-09-02	$18.42	$18.00	22.9%	5.9%	20.4%	17.0%	21.0%	-1.9%	0.5%	29.4M	-925.4M	-5.4M	0.38	2.29	66,654	25,009	1,666,504	460,637
2016-09-06	$19.05	$16.50	24.8%	7.2%	23.8%	29.5%	25.4%	-3.4%	0.2%	43.2M	-1.19B	-5.6M	0.23	3.22	88,501	20,419	1,679,398	447,441
2016-09-07	$18.79	$16.50	23.4%	6.9%	24.2%	20.4%	24.5%	-2.9%	0.1%	39.6M	-1.07B	-5.5M	0.35	5.53	61,303	21,643	1,683,266	451,683
2016-09-08	$18.61	$16.50	23.1%	6.6%	23.6%	18.5%	23.5%	-2.1%	-0.1%	37.0M	-1.00B	-5.4M	0.39	3.61	59,159	22,792	1,698,536	456,963
2016-09-09	$18.12	$16.50	24.8%	7.0%	25.1%	29.6%	25.3%	-0.6%	0.1%	25.0M	-796.9M	-5.3M	0.59	3.30	62,436	36,880	1,702,947	456,937
2016-09-12	$18.20	$16.50	25.9%	7.4%	24.9%	36.6%	26.9%	-1.8%	0.1%	26.7M	-823.0M	-5.3M	0.24	5.58	109,991	26,019	1,705,571	452,320
2016-09-13	$17.94	$16.50	26.2%	7.4%	25.1%	38.6%	26.9%	-1.8%	-0.4%	23.3M	-742.1M	-5.2M	0.32	4.72	57,569	18,505	1,750,647	456,093
2016-09-14	$18.02	$16.50	25.8%	7.3%	25.3%	36.1%	26.3%	-1.6%	-0.3%	23.1M	-771.6M	-5.3M	0.23	5.90	55,603	12,695	1,762,056	459,201
2016-09-15	$18.06	$16.50	25.2%	7.2%	25.2%	32.0%	26.2%	-1.6%	-0.0%	23.5M	-799.1M	-5.3M	0.33	4.88	46,545	15,465	1,783,448	459,437
2016-09-16	$17.86	$16.50	24.1%	6.9%	25.3%	25.2%	25.0%	-1.1%	0.2%	29.5M	-684.1M	-5.2M	0.65	5.18	64,437	41,652	1,794,045	461,198
2016-09-19	$18.20	$16.50	24.5%	7.0%	25.1%	27.4%	25.7%	-2.3%	-0.1%	34.2M	-881.5M	-5.2M	0.31	4.94	45,524	14,060	1,646,265	384,376
2016-09-20	$18.27	$16.50	25.1%	7.2%	23.9%	31.4%	25.2%	-2.8%	-0.4%	35.2M	-903.0M	-5.2M	0.41	2.92	35,524	14,438	1,650,687	387,650
2016-09-21	$18.86	$16.50	25.4%	7.3%	26.3%	33.4%	26.8%	-3.3%	0.1%	45.3M	-1.13B	-5.4M	0.36	8.05	141,137	50,397	1,658,005	391,182
2016-09-22	$18.88	$16.50	24.1%	6.9%	25.1%	25.0%	25.1%	-3.6%	0.1%	49.2M	-1.18B	-5.3M	0.51	4.68	62,648	31,886	1,697,097	413,714
2016-09-23	$18.67	$16.50	22.3%	6.4%	25.6%	13.3%	24.6%	-2.8%	0.6%	39.2M	-1.07B	-5.2M	0.51	4.60	52,649	27,078	1,700,341	430,058
2016-09-26	$18.40	$16.50	23.1%	6.6%	26.4%	18.4%	23.6%	-3.1%	0.9%	32.7M	-899.7M	-5.0M	0.56	5.28	33,357	18,539	1,654,877	414,522
2016-09-27	$18.18	$16.50	23.1%	6.5%	26.6%	18.1%	24.8%	-2.3%	0.2%	28.9M	-805.5M	-4.9M	0.26	4.81	83,041	21,539	1,661,030	418,480
2016-09-28	$18.19	$16.50	21.7%	6.2%	26.2%	9.2%	22.1%	-2.4%	1.0%	31.3M	-829.4M	-5.0M	0.31	5.02	67,133	20,493	1,683,029	417,546
2016-09-29	$18.11	$16.50	20.8%	5.9%	26.2%	3.1%	21.5%	-2.5%	0.9%	29.4M	-798.9M	-5.0M	0.55	4.84	69,628	38,553	1,710,102	420,834
2016-09-30	$18.20	$16.50	21.0%	5.9%	25.9%	4.4%	20.9%	-1.8%	0.5%	36.5M	-857.3M	-5.1M	0.45	6.93	69,784	31,401	1,748,867	445,508