SLV Options History — February 2017

In February 2017, SLV traded between $16.56 and $17.40. ATM implied volatility averaged 20.7%, placing in the 8.3% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 5.4% (HV 20d: 15.3%). Max pain ranged from $15.50 to $16.50. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 16 of 19 days. Put/call ratio averaged 0.27.

Notable Days

  • 2017-02-24: Highest Volume — 144,969 contracts
  • 2017-02-17: Largest IV drop — 5.9% change
  • 2017-02-13: Highest IV Rank — 17.0%
  • 2017-02-08: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.98$16.56$17.40$16.65$17.35
Max Pain$16.00$15.50$16.50$16.00$16.50
ATM IV20.7%18.7%22.4%21.3%20.0%
Expected Move6.0%5.4%6.5%6.2%5.8%
HV 20d15.3%13.4%16.8%15.8%13.4%
HV 60d20.7%18.5%24.5%24.4%18.5%
IV Rank8.3%0.0%17.0%10.6%7.8%
IV Percentile3.9%0.0%11.1%3.2%3.2%
Term Structure0.3%-0.4%0.8%0.5%0.2%
VWIV21.4%19.4%23.2%22.3%20.0%
Skew 25d-1.7%-2.8%-1.0%-1.8%-1.1%
Skew 10d-3.2%-4.9%-2.1%-3.7%-2.1%
Call IV 25d22.2%20.1%23.9%23.0%21.1%
Put IV 25d20.5%18.7%22.4%21.2%20.0%
Bid-Ask Spread %2.071.704.031.911.86
Gamma HHI0.230.140.360.140.15
Net GEX34.5M20.9M53.1M23.4M32.3M
Net DEX-564.2M-667.3M-415.0M-438.4M-628.2M
Net VEX-4.4M-4.6M-4.0M-4.1M-4.6M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.270.140.570.250.30
Total Volume105,292.78974,532144,96974,53280,760
Total OI1,566,2491,434,7161,659,3581,434,7161,627,778

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2017-02-01$16.65$16.0021.3%6.2%15.8%10.6%22.3%-1.8%0.5%23.4M-438.4M-4.1M0.251.9159,59714,9351,119,943314,773
2017-02-02$16.56$16.0020.5%6.1%15.9%5.6%21.6%-1.8%0.4%23.2M-415.0M-4.0M0.392.2678,10630,4401,126,509316,875
2017-02-03$16.56$16.0020.8%6.2%15.8%7.2%22.4%-2.8%0.3%20.9M-416.9M-4.1M0.192.10114,45421,5081,149,461335,741
2017-02-06$16.82$16.0022.0%6.4%16.0%14.7%22.4%-2.4%0.5%28.4M-511.5M-4.3M0.281.9198,32027,7761,185,028312,643
2017-02-07$16.79$16.0022.0%6.4%16.0%15.0%22.3%-2.3%0.5%29.4M-515.5M-4.4M0.181.8886,67015,3941,212,744326,335
2017-02-08$16.85$16.0022.3%6.5%15.6%16.4%22.5%-2.1%0.5%32.6M-552.6M-4.4M0.221.8572,37116,0151,234,062330,869
2017-02-09$16.76$15.5021.2%6.2%15.8%10.0%21.9%-1.4%0.7%32.4M-526.7M-4.4M0.332.0468,37122,6531,245,692329,255
2017-02-10$17.02$15.5021.7%6.3%16.4%12.8%22.5%-2.5%0.8%43.4M-621.7M-4.5M0.202.2096,18418,7911,254,285340,577
2017-02-13$16.90$16.0022.4%6.4%16.8%17.0%23.2%-1.4%-0.4%36.5M-571.7M-4.4M0.161.9478,81212,6811,259,675330,877
2017-02-14$17.00$16.0022.1%6.4%15.4%15.8%22.2%-1.7%-0.4%40.3M-608.8M-4.4M0.182.3577,15614,0521,263,864332,763
2017-02-15$17.04$16.0021.1%6.1%15.1%9.4%21.4%-1.2%0.3%43.6M-615.1M-4.4M0.261.8986,38422,0591,275,934336,807
2017-02-16$17.14$16.0020.8%6.0%15.0%7.5%22.0%-1.0%-0.0%45.9M-654.5M-4.5M0.141.9698,39813,3551,282,712348,946
2017-02-17$17.07$16.0019.6%5.6%15.2%0.0%20.0%-1.0%0.3%53.1M-635.0M-4.4M0.372.0486,40031,7551,308,180351,178
2017-02-21$17.05$16.0019.8%5.7%15.2%0.9%20.4%-1.3%0.1%33.5M-550.0M-4.4M0.571.8270,61239,9001,237,955304,314
2017-02-22$17.09$16.0018.7%5.4%14.9%0.0%19.6%-1.3%0.1%34.0M-560.4M-4.4M0.261.9369,12117,9621,254,520319,189
2017-02-23$17.23$16.0018.8%5.4%14.7%0.7%20.2%-1.7%0.1%35.4M-610.0M-4.4M0.301.7071,70421,4491,263,410325,135
2017-02-24$17.40$16.0019.4%5.5%13.9%4.2%19.5%-1.8%0.3%34.1M-667.3M-4.5M0.141.76127,57717,3921,272,589332,330
2017-02-27$17.29$16.5018.9%5.4%13.4%1.3%19.4%-1.5%0.4%33.1M-620.1M-4.5M0.344.0390,44031,0091,266,852328,931
2017-02-28$17.35$16.5020.0%5.8%13.4%7.8%20.0%-1.1%0.2%32.3M-628.2M-4.6M0.301.8662,15118,6091,283,801343,977