SLV Options History — December 2016

In December 2016, SLV traded between $14.91 and $16.26. ATM implied volatility averaged 24.9%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 7.1%. IV traded below realized volatility by 0.2% (HV 20d: 25.1%). Max pain ranged from $15.00 to $16.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.53.

Notable Days

  • 2016-12-15: Highest Volume — 149,340 contracts
  • 2016-12-15: Largest IV spike — 11.2% change
  • 2016-12-27: Highest IV Rank — 44.0%
  • 2016-12-01: Largest Expected Move — 7.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$15.54$14.91$16.26$15.67$15.09
Max Pain$15.14$15.00$16.50$16.50$15.00
ATM IV24.9%22.9%27.3%25.3%25.2%
Expected Move7.1%6.6%7.8%7.8%7.0%
HV 20d25.1%17.0%30.8%28.6%24.5%
HV 60d25.5%23.9%26.2%25.2%24.0%
IV Rank29.6%17.3%44.0%33.1%29.8%
IV Percentile44.3%11.9%74.6%55.2%49.2%
Term Structure0.2%-0.4%0.9%-0.3%0.7%
VWIV25.5%23.6%27.8%26.8%25.2%
Skew 25d0.4%-0.9%2.0%1.6%-0.4%
Skew 10d0.1%-1.7%2.9%1.0%-0.8%
Call IV 25d25.4%23.6%27.8%24.8%26.0%
Put IV 25d25.8%23.4%28.7%26.3%25.7%
Bid-Ask Spread %2.781.647.185.992.12
Gamma HHI0.100.080.140.100.10
Net GEX10.6M4.9M17.5M7.3M11.5M
Net DEX-148.3M-346.6M12.1M-133.0M-84.0M
Net VEX-3.7M-4.1M-3.4M-3.9M-3.4M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.530.270.970.550.36
Total Volume74,258.47649,287149,34049,28769,534
Total OI2,108,7682,029,1102,227,5342,029,1102,122,669

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2016-12-01$15.67$16.5025.3%7.8%28.6%33.1%26.8%1.6%-0.3%7.3M-133.0M-3.9M0.555.9931,84617,4411,584,796444,314
2016-12-02$15.84$16.5024.0%7.5%29.2%24.5%26.5%-0.1%-0.0%9.2M-177.5M-3.9M0.407.1854,08421,4171,590,654448,254
2016-12-05$15.86$15.0024.6%7.0%29.1%28.1%25.1%-0.1%0.3%10.9M-201.6M-3.9M0.382.1263,36724,2361,600,354441,394
2016-12-06$15.84$15.0024.1%6.9%29.1%25.1%25.2%-0.3%0.2%11.7M-200.3M-3.9M0.581.7633,09619,1721,625,995443,825
2016-12-07$16.26$15.0024.1%6.9%30.8%24.7%24.7%-0.9%0.7%17.3M-346.6M-4.1M0.462.1869,91731,8841,639,200444,815
2016-12-08$16.13$15.0022.9%6.6%30.8%17.3%23.8%-0.3%0.4%16.8M-297.2M-4.0M0.551.7257,79932,0311,660,232450,453
2016-12-09$15.97$15.0023.1%6.7%30.4%18.7%23.6%-0.1%0.3%17.5M-240.7M-4.0M0.743.3244,82733,3251,687,840466,704
2016-12-12$16.19$15.0023.8%6.7%19.9%22.8%24.1%-0.5%-0.4%17.5M-323.6M-4.1M0.532.5845,56524,1981,688,974467,666
2016-12-13$16.05$15.0023.2%6.6%17.5%19.3%23.8%-0.4%-0.4%15.6M-272.1M-4.0M0.353.8758,19420,3671,692,153470,673
2016-12-14$15.93$15.0023.9%6.8%17.0%23.6%23.9%-0.3%-0.2%14.1M-239.7M-3.9M0.384.4449,65918,7881,705,414470,004
2016-12-15$15.15$15.0026.6%7.5%24.3%41.0%26.9%1.5%-0.4%4.9M12.1M-3.5M0.792.5783,48665,8541,707,950475,006
2016-12-16$15.26$15.0025.1%7.2%24.0%31.8%26.0%0.5%0.2%7.9M-31.7M-3.6M0.542.3148,67526,3121,737,230490,304
2016-12-19$15.17$15.0024.4%6.9%24.0%26.6%24.6%0.8%0.9%6.5M-65.0M-3.5M0.491.6434,17816,8501,624,483438,044
2016-12-20$15.23$15.0026.9%7.7%24.0%43.4%27.5%2.0%0.1%7.4M-87.4M-3.6M0.602.1253,59932,1111,630,513439,791
2016-12-21$15.13$15.0025.7%7.4%24.0%35.6%26.1%0.8%0.3%6.7M-67.3M-3.5M0.651.9433,46721,8391,635,674449,911
2016-12-22$14.98$15.0025.1%7.2%23.6%31.4%25.8%1.5%0.5%5.3M-29.5M-3.4M0.972.2529,55628,7291,645,146451,753
2016-12-23$14.91$15.0025.6%7.3%23.4%34.6%25.9%1.2%0.2%6.0M-14.6M-3.4M0.622.2339,50924,4311,651,798456,790
2016-12-27$15.13$15.0027.3%7.7%23.9%44.0%27.8%0.9%0.4%8.5M-83.9M-3.5M0.552.2041,13122,4491,645,924441,288
2016-12-28$15.20$15.0025.8%7.3%24.0%34.0%25.8%0.6%0.5%9.3M-96.4M-3.5M0.441.9240,74518,0341,654,195446,791
2016-12-29$15.32$15.0025.6%7.2%24.0%32.5%26.0%-0.3%0.4%10.9M-134.0M-3.5M0.272.0161,40116,3251,664,880450,274
2016-12-30$15.09$15.0025.2%7.0%24.5%29.8%25.2%-0.4%0.7%11.5M-84.0M-3.4M0.362.1251,18318,3511,670,621452,048