SLV Options History — October 2016

In October 2016, SLV traded between $16.42 and $17.86. ATM implied volatility averaged 24.1%, placing in the 25.1% IV rank vs the trailing year. The 30-day expected move averaged 7.0%. IV traded below realized volatility by 2.0% (HV 20d: 26.1%). Max pain ranged from $17.00 to $18.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.39.

Notable Days

  • 2016-10-04: Highest Volume — 258,211 contracts
  • 2016-10-04: Largest IV spike — 12.8% change
  • 2016-10-05: Highest IV Rank — 38.7%
  • 2016-10-05: Largest Expected Move — 7.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.77$16.42$17.86$17.86$16.97
Max Pain$17.19$17.00$18.00$17.00$17.00
ATM IV24.1%21.9%26.2%22.4%23.9%
Expected Move7.0%6.3%7.7%6.3%7.0%
HV 20d26.1%23.7%28.5%25.0%23.9%
HV 60d24.6%22.8%25.9%23.2%22.8%
IV Rank25.1%10.3%38.7%14.0%23.9%
IV Percentile31.9%4.0%60.3%7.1%31.7%
Term Structure0.1%-0.9%0.8%0.8%0.4%
VWIV24.9%23.3%27.2%23.4%25.1%
Skew 25d-1.1%-2.0%-0.1%-2.0%-1.9%
Skew 10d-2.3%-4.4%-0.8%-3.7%-3.1%
Call IV 25d25.4%23.9%27.8%24.1%25.7%
Put IV 25d24.3%22.0%26.2%22.1%23.8%
Bid-Ask Spread %4.042.186.505.544.46
Gamma HHI0.120.110.150.140.14
Net GEX19.7M12.4M27.3M27.3M26.2M
Net DEX-364.1M-671.7M-175.4M-671.7M-490.2M
Net VEX-4.7M-4.9M-4.4M-4.9M-4.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.390.230.590.330.58
Total Volume99,222.42955,698258,211154,66775,241
Total OI2,210,231.9052,007,1972,397,2592,053,5712,034,123

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-10-03$17.86$17.0022.4%6.3%25.0%14.0%23.4%-2.0%0.8%27.3M-671.7M-4.9M0.335.54115,93738,7301,662,984390,587
2016-10-04$16.93$17.0025.3%7.3%27.7%32.8%26.1%-1.5%0.5%15.8M-348.6M-4.6M0.516.50171,49586,7161,687,758412,141
2016-10-05$16.86$17.0026.2%7.7%27.6%38.7%27.2%-1.6%0.4%16.8M-337.2M-4.8M0.595.5499,16058,9251,750,608451,500
2016-10-06$16.42$18.0025.5%7.3%28.5%34.2%26.1%-1.2%0.4%12.4M-175.4M-4.4M0.363.82146,32552,3881,746,679478,340
2016-10-07$16.61$17.5025.8%7.4%28.1%35.8%26.2%-0.9%0.3%18.2M-272.4M-4.8M0.543.9071,84038,5721,815,008498,074
2016-10-10$16.76$17.5025.9%7.4%28.4%36.9%26.2%-1.1%-0.3%17.8M-341.5M-4.9M0.312.8053,88216,7591,788,761485,329
2016-10-11$16.57$17.5025.6%7.3%28.2%35.0%26.5%-0.9%-0.2%16.2M-285.8M-4.7M0.373.1941,72615,5181,805,962484,846
2016-10-12$16.65$17.5025.3%7.3%28.3%33.0%26.1%-0.4%0.2%17.2M-306.1M-4.7M0.494.2941,19319,9921,814,055486,852
2016-10-13$16.63$17.5025.0%7.1%28.2%30.8%26.0%-0.1%-0.2%15.6M-297.6M-4.7M0.334.5249,33916,2301,829,549491,947
2016-10-14$16.54$17.5023.7%6.8%28.1%22.2%24.6%-0.4%0.4%17.6M-268.9M-4.6M0.334.2956,07218,7371,848,132492,880
2016-10-17$16.56$17.0023.7%6.8%26.9%22.2%23.8%-0.6%-0.7%16.5M-296.9M-4.5M0.343.2849,13416,8561,842,951470,911
2016-10-18$16.73$17.0023.6%6.8%27.2%21.9%23.6%-0.4%-0.4%19.1M-379.0M-4.6M0.353.5555,94219,3701,859,428473,599
2016-10-19$16.77$17.0023.7%6.8%23.8%22.2%24.0%-0.7%-0.7%18.8M-395.8M-4.7M0.304.5367,01319,8191,861,193476,515
2016-10-20$16.63$17.0022.7%6.5%23.7%15.6%23.4%-0.7%-0.2%19.6M-342.1M-4.5M0.463.9768,39231,2211,887,232476,921
2016-10-21$16.65$17.0023.0%6.6%23.8%18.0%23.5%-0.6%-0.9%20.8M-360.2M-4.6M0.352.2654,10218,9971,909,395487,864
2016-10-24$16.70$17.0023.5%6.9%23.7%20.9%24.7%-1.1%0.5%21.7M-382.1M-4.5M0.304.3342,76412,9341,604,151403,046
2016-10-25$16.88$17.0023.6%6.9%24.2%21.5%24.4%-1.6%0.3%25.7M-445.8M-4.6M0.263.1264,36116,9431,614,243405,235
2016-10-26$16.74$17.0022.7%6.6%24.2%15.7%23.3%-1.9%0.4%23.5M-395.8M-4.5M0.402.1850,59020,2411,636,281409,667
2016-10-27$16.74$17.0021.9%6.6%24.2%10.3%23.3%-1.9%0.6%23.9M-397.6M-4.5M0.234.3781,99519,1991,648,669415,769
2016-10-28$16.88$17.0023.5%6.9%24.4%21.1%24.4%-2.0%0.6%24.0M-455.1M-4.7M0.514.3459,07529,9461,653,076422,609
2016-10-31$16.97$17.0023.9%7.0%23.9%23.9%25.1%-1.9%0.4%26.2M-490.2M-4.7M0.584.4647,74327,4981,615,567418,556