SLV Options History — January 2017

In January 2017, SLV traded between $15.42 and $16.65. ATM implied volatility averaged 22.1%, placing in the 11.0% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 2.2% (HV 20d: 20.0%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 11 of 20 days. Put/call ratio averaged 0.35.

Notable Days

2017-01-17: Highest Volume — 123,067 contracts
2017-01-17: Largest IV spike — 8.0% change
2017-01-03: Highest IV Rank — 36.5%
2017-01-03: Largest Expected Move — 7.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.01	$15.42	$16.65	$15.42	$16.65
Max Pain	$15.90	$15.00	$16.00	$15.00	$16.00
ATM IV	22.1%	19.6%	26.2%	26.2%	21.9%
Expected Move	6.3%	5.6%	7.4%	7.4%	6.3%
HV 20d	20.0%	15.3%	26.1%	25.5%	16.9%
HV 60d	24.2%	23.9%	24.6%	24.0%	24.5%
IV Rank	11.0%	0.0%	36.5%	36.5%	14.2%
IV Percentile	10.7%	0.0%	60.7%	60.7%	6.3%
Term Structure	0.1%	-0.4%	0.8%	-0.2%	0.2%
VWIV	22.7%	19.7%	26.5%	26.5%	22.9%
Skew 25d	-0.3%	-1.8%	0.5%	-0.7%	-1.8%
Skew 10d	-0.9%	-3.8%	0.5%	-2.1%	-3.8%
Call IV 25d	22.9%	20.1%	27.4%	27.4%	23.7%
Put IV 25d	22.6%	20.5%	26.7%	26.7%	21.8%
Bid-Ask Spread %	2.17	1.58	3.71	2.51	1.74
Gamma HHI	0.14	0.10	0.21	0.12	0.13
Net GEX	19.8M	12.9M	30.6M	12.9M	21.4M
Net DEX	-331.8M	-470.8M	-197.9M	-197.9M	-435.2M
Net VEX	-3.8M	-4.1M	-3.5M	-3.5M	-4.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.35	0.20	0.61	0.30	0.23
Total Volume	93,042.85	62,592	123,067	116,923	99,667
Total OI	1,831,354.9	1,329,947	2,176,617	1,944,072	1,423,071

Daily Data (20 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
2017-01-03	$15.42	$15.00	26.2%	7.4%	25.5%	36.5%	26.5%	-0.7%	-0.2%	12.9M	-197.9M	-3.5M	0.30	2.51	90,011	26,912	1,532,707	411,365
2017-01-04	$15.59	$15.00	24.6%	6.8%	25.9%	26.1%	24.8%	-0.1%	-0.1%	14.7M	-230.3M	-3.5M	0.47	2.34	42,589	20,003	1,548,726	417,070
2017-01-05	$15.73	$16.00	24.4%	7.0%	26.1%	24.9%	25.3%	-0.4%	0.0%	17.5M	-277.7M	-3.7M	0.40	3.71	79,262	31,687	1,561,021	417,914
2017-01-06	$15.62	$16.00	23.4%	6.8%	24.3%	18.1%	24.6%	0.1%	0.3%	16.3M	-247.6M	-3.6M	0.23	2.31	99,359	22,539	1,602,294	431,490
2017-01-09	$15.73	$16.00	23.6%	6.8%	24.3%	19.1%	23.9%	-0.2%	-0.1%	19.3M	-289.9M	-3.8M	0.33	1.91	51,504	17,115	1,646,394	419,256
2017-01-10	$15.93	$16.00	22.3%	6.5%	24.6%	10.4%	23.1%	-0.4%	0.2%	23.0M	-353.1M	-3.8M	0.39	2.17	66,141	25,664	1,660,900	418,096
2017-01-11	$15.88	$16.00	22.1%	6.4%	24.1%	8.7%	22.7%	-0.1%	0.1%	23.1M	-339.3M	-3.8M	0.31	2.38	58,719	18,421	1,669,648	424,533
2017-01-12	$15.91	$16.00	21.8%	6.3%	23.9%	7.0%	22.1%	-0.8%	-0.1%	24.2M	-347.8M	-3.8M	0.30	2.29	82,946	24,945	1,678,394	426,218
2017-01-13	$15.94	$16.00	21.2%	6.1%	23.8%	3.0%	21.7%	-0.6%	-0.1%	25.8M	-355.0M	-3.8M	0.26	2.12	67,162	17,223	1,696,134	434,567
2017-01-17	$16.28	$16.00	22.9%	6.6%	16.0%	14.5%	23.4%	-1.1%	-0.4%	30.6M	-470.8M	-4.0M	0.26	2.11	97,811	25,256	1,697,537	427,181
2017-01-18	$16.18	$16.00	21.6%	6.2%	16.3%	5.7%	22.0%	-0.5%	-0.3%	28.2M	-426.6M	-3.9M	0.48	1.87	67,578	32,223	1,701,853	435,513
2017-01-19	$16.12	$16.00	21.9%	6.3%	16.1%	7.5%	22.0%	0.2%	-0.3%	23.9M	-404.9M	-3.9M	0.61	2.11	61,929	37,731	1,706,948	451,289
2017-01-20	$16.17	$16.00	21.5%	6.2%	16.1%	5.0%	21.8%	0.1%	0.0%	16.8M	-441.2M	-3.9M	0.44	2.26	69,138	30,654	1,719,043	457,574
2017-01-23	$16.28	$16.00	21.5%	6.1%	15.8%	5.2%	21.9%	-0.0%	-0.0%	19.0M	-339.5M	-3.9M	0.25	1.96	53,497	13,382	1,055,074	274,873
2017-01-24	$16.19	$16.00	20.6%	5.9%	15.3%	0.0%	21.3%	-0.3%	0.6%	18.7M	-319.8M	-3.9M	0.20	2.32	81,801	16,597	1,069,694	276,933
2017-01-25	$16.11	$16.00	20.0%	5.8%	15.4%	0.0%	20.7%	0.3%	0.8%	16.6M	-287.5M	-3.8M	0.35	1.70	53,500	18,604	1,072,709	283,922
2017-01-26	$15.94	$16.00	19.6%	5.6%	15.6%	0.0%	19.7%	0.5%	0.4%	14.1M	-240.5M	-3.7M	0.50	2.09	53,708	26,958	1,085,100	288,737
2017-01-27	$16.23	$16.00	20.2%	5.8%	16.5%	3.5%	20.8%	0.0%	0.3%	15.7M	-319.4M	-3.9M	0.51	1.58	69,443	35,137	1,094,973	302,386
2017-01-30	$16.23	$16.00	21.3%	6.1%	16.5%	10.2%	21.9%	-0.4%	0.4%	14.6M	-311.4M	-3.9M	0.24	2.00	59,925	14,116	1,096,298	309,663
2017-01-31	$16.65	$16.00	21.9%	6.3%	16.9%	14.2%	22.9%	-1.8%	0.2%	21.4M	-435.2M	-4.1M	0.23	1.74	80,853	18,814	1,111,526	311,545