SLV Options History — November 2016

In November 2016, SLV traded between $15.53 and $17.61. ATM implied volatility averaged 25.3%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 0.9% (HV 20d: 24.4%). Max pain ranged from $16.50 to $17.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.47.

Notable Days

2016-11-11: Highest Volume — 206,341 contracts
2016-11-11: Largest IV spike — 17.3% change
2016-11-11: Highest IV Rank — 58.9%
2016-11-11: Largest Expected Move — 8.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.46	$15.53	$17.61	$17.42	$15.65
Max Pain	$16.76	$16.50	$17.00	$17.00	$16.50
ATM IV	25.3%	22.5%	29.3%	26.6%	24.3%
Expected Move	7.4%	6.5%	8.3%	8.2%	7.5%
HV 20d	24.4%	13.5%	31.0%	17.2%	28.9%
HV 60d	25.5%	23.2%	27.2%	23.5%	25.3%
IV Rank	32.9%	14.4%	58.9%	41.0%	26.6%
IV Percentile	49.0%	7.5%	92.1%	66.7%	40.5%
Term Structure	-0.1%	-0.8%	0.5%	0.0%	-0.0%
VWIV	26.5%	23.2%	29.7%	29.0%	26.3%
Skew 25d	-1.0%	-3.9%	2.1%	-3.0%	1.0%
Skew 10d	-2.1%	-7.3%	3.8%	-5.2%	1.4%
Call IV 25d	26.5%	22.8%	31.2%	28.8%	24.3%
Put IV 25d	25.5%	22.9%	29.9%	25.7%	25.3%
Bid-Ask Spread %	5.41	2.89	14.95	4.71	5.07
Gamma HHI	0.12	0.09	0.17	0.12	0.10
Net GEX	19.0M	2.4M	49.6M	32.3M	6.7M
Net DEX	-355.0M	-810.2M	-19.6M	-695.1M	-117.2M
Net VEX	-4.4M	-5.1M	-3.8M	-5.1M	-3.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.23	0.93	0.71	0.35
Total Volume	95,784.619	43,467	206,341	142,619	60,948
Total OI	2,098,568.667	1,954,451	2,248,774	2,057,501	2,007,012

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
2016-11-01	$17.42	$17.00	26.6%	8.2%	17.2%	41.0%	29.0%	-3.0%	0.0%	32.3M	-695.1M	-5.1M	0.71	4.71	83,345	59,274	1,629,273	428,228
2016-11-02	$17.56	$17.00	26.5%	8.1%	17.2%	40.4%	29.2%	-3.9%	0.2%	35.3M	-769.2M	-5.1M	0.50	4.47	72,700	36,247	1,652,668	441,265
2016-11-03	$17.42	$17.00	26.4%	7.5%	14.2%	40.1%	26.0%	-2.8%	0.1%	32.4M	-693.2M	-5.0M	0.65	4.12	62,639	40,483	1,647,356	454,556
2016-11-04	$17.46	$17.00	28.1%	8.0%	13.8%	50.9%	29.7%	-3.8%	-0.3%	34.7M	-719.7M	-5.1M	0.33	3.15	79,965	26,063	1,653,138	447,809
2016-11-07	$17.28	$17.00	26.8%	7.7%	14.3%	42.5%	26.7%	-2.7%	0.1%	32.7M	-635.5M	-4.9M	0.23	6.08	87,464	20,516	1,647,616	431,861
2016-11-08	$17.40	$17.00	27.1%	7.6%	13.5%	44.4%	28.0%	-2.9%	-0.5%	37.5M	-702.7M	-5.0M	0.28	5.57	86,397	24,596	1,685,589	437,838
2016-11-09	$17.44	$17.00	24.2%	7.1%	13.5%	25.7%	25.3%	-2.1%	0.3%	46.9M	-733.0M	-4.9M	0.45	5.80	65,962	29,584	1,721,447	443,743
2016-11-10	$17.61	$17.00	25.0%	7.3%	13.7%	30.7%	26.5%	-2.3%	0.5%	49.6M	-810.2M	-4.9M	0.51	5.48	48,931	24,807	1,718,235	449,477
2016-11-11	$16.45	$17.00	29.3%	8.3%	28.7%	58.9%	29.6%	-1.2%	-0.3%	19.9M	-306.0M	-4.5M	0.93	14.95	107,017	99,324	1,717,397	457,956
2016-11-14	$16.00	$17.00	28.3%	8.1%	30.2%	52.1%	29.0%	-0.6%	-0.6%	8.0M	-125.1M	-4.2M	0.69	6.20	79,871	54,734	1,691,109	488,328
2016-11-15	$16.21	$17.00	25.4%	7.3%	30.4%	33.3%	26.4%	-0.9%	-0.4%	7.7M	-177.4M	-4.2M	0.36	5.57	68,674	25,041	1,713,641	495,393
2016-11-16	$16.08	$16.50	23.8%	6.8%	30.5%	23.3%	26.5%	-1.1%	0.4%	4.6M	-143.3M	-4.1M	0.33	5.21	67,507	22,326	1,723,652	499,620
2016-11-17	$15.80	$16.50	23.9%	6.9%	30.9%	23.9%	24.7%	0.1%	-0.1%	2.4M	-49.7M	-3.9M	0.42	5.31	78,780	33,079	1,730,464	501,627
2016-11-18	$15.71	$16.50	23.8%	6.8%	30.9%	23.3%	24.4%	0.5%	0.0%	5.8M	-19.6M	-3.8M	0.46	5.09	67,256	31,165	1,732,753	516,021
2016-11-21	$15.72	$16.50	22.7%	6.6%	30.8%	15.6%	23.3%	0.2%	-0.1%	6.1M	-124.1M	-3.8M	0.33	3.76	64,077	21,306	1,524,513	429,938
2016-11-22	$15.79	$16.50	22.5%	6.5%	30.5%	14.4%	23.2%	-0.2%	-0.3%	7.7M	-145.9M	-3.8M	0.41	3.90	30,739	12,728	1,546,924	436,046
2016-11-23	$15.53	$16.50	24.6%	7.1%	30.8%	28.2%	25.3%	1.4%	-0.4%	5.8M	-79.6M	-3.8M	0.54	6.57	52,081	28,308	1,547,774	438,589
2016-11-25	$15.63	$16.50	24.8%	7.3%	31.0%	29.4%	25.3%	2.1%	-0.8%	6.9M	-110.3M	-3.8M	0.47	5.87	37,030	17,483	1,566,173	450,236
2016-11-28	$15.75	$16.50	24.1%	7.2%	31.0%	25.2%	25.3%	1.0%	-0.3%	7.3M	-146.5M	-3.8M	0.47	2.89	31,822	14,853	1,540,712	434,536
2016-11-29	$15.80	$16.50	23.6%	7.3%	30.9%	21.8%	26.0%	0.7%	-0.1%	7.9M	-151.5M	-3.8M	0.46	3.88	38,648	17,707	1,551,534	437,895
2016-11-30	$15.65	$16.50	24.3%	7.5%	28.9%	26.6%	26.3%	1.0%	-0.0%	6.7M	-117.2M	-3.8M	0.35	5.07	45,244	15,704	1,565,916	441,096