SLV Options History — March 2017

In March 2017, SLV traded between $15.99 and $17.44. ATM implied volatility averaged 19.0%, placing in the 5.7% IV rank vs the trailing year. The 30-day expected move averaged 5.4%. IV traded below realized volatility by 0.1% (HV 20d: 19.1%). Max pain ranged from $16.50 to $17.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 15 of 23 days. Put/call ratio averaged 0.45.

Notable Days

2017-03-02: Highest Volume — 184,643 contracts
2017-03-09: Largest IV spike — 11.1% change
2017-03-09: Highest IV Rank — 21.5%
2017-03-09: Largest Expected Move — 6.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.68	$15.99	$17.44	$17.44	$17.25
Max Pain	$16.93	$16.50	$17.00	$16.50	$17.00
ATM IV	19.0%	17.3%	22.3%	18.7%	17.8%
Expected Move	5.4%	4.8%	6.2%	5.3%	4.8%
HV 20d	19.1%	10.5%	21.7%	10.5%	16.9%
HV 60d	18.4%	16.6%	20.2%	18.5%	16.6%
IV Rank	5.7%	0.0%	21.5%	0.1%	3.0%
IV Percentile	3.3%	0.0%	17.5%	0.4%	2.0%
Term Structure	0.2%	-0.7%	0.8%	0.5%	0.4%
VWIV	19.1%	17.2%	21.5%	18.8%	17.2%
Skew 25d	-0.0%	-1.5%	1.9%	-0.2%	-0.5%
Skew 10d	-0.1%	-2.5%	3.8%	-0.4%	-1.0%
Call IV 25d	19.7%	18.3%	22.2%	19.4%	18.5%
Put IV 25d	19.7%	17.3%	24.1%	19.2%	18.0%
Bid-Ask Spread %	1.71	1.59	1.91	1.73	1.72
Gamma HHI	0.14	0.09	0.39	0.15	0.15
Net GEX	21.6M	8.2M	48.8M	32.4M	27.0M
Net DEX	-361.8M	-650.5M	-129.9M	-650.5M	-560.2M
Net VEX	-4.4M	-4.9M	-4.0M	-4.5M	-4.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.23	0.85	0.40	0.40
Total Volume	100,009.043	55,657	184,643	91,369	64,634
Total OI	1,747,009.348	1,640,869	1,882,768	1,640,869	1,804,026

Daily Data (23 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
2017-03-01	$17.44	$16.50	18.7%	5.3%	10.5%	0.1%	18.8%	-0.2%	0.5%	32.4M	-650.5M	-4.5M	0.40	1.73	65,459	25,910	1,290,667	350,202
2017-03-02	$16.82	$16.50	20.5%	6.0%	17.3%	10.5%	21.4%	0.5%	0.1%	22.7M	-391.8M	-4.4M	0.66	1.88	111,296	73,347	1,304,130	361,910
2017-03-03	$17.00	$16.50	19.6%	5.8%	17.5%	5.3%	20.6%	0.2%	0.7%	23.4M	-466.9M	-4.6M	0.59	1.60	67,834	39,819	1,336,696	386,642
2017-03-06	$16.85	$17.00	19.4%	5.5%	17.8%	4.5%	19.5%	0.6%	-0.2%	20.2M	-398.4M	-4.5M	0.41	1.65	53,217	22,032	1,313,805	388,561
2017-03-07	$16.57	$17.00	19.4%	5.5%	18.0%	4.0%	19.2%	1.2%	-0.4%	17.2M	-295.1M	-4.3M	0.32	1.70	68,653	21,988	1,324,626	387,414
2017-03-08	$16.34	$17.00	20.1%	5.6%	18.6%	8.3%	19.9%	0.9%	0.1%	13.9M	-222.4M	-4.2M	0.74	1.68	75,611	55,603	1,337,561	388,728
2017-03-09	$16.05	$17.00	22.3%	6.2%	19.4%	21.5%	21.5%	1.9%	-0.5%	8.2M	-129.9M	-4.1M	0.50	1.74	77,678	39,212	1,357,359	403,373
2017-03-10	$16.11	$17.00	20.7%	5.8%	19.5%	12.0%	20.4%	0.9%	0.1%	10.3M	-153.9M	-4.1M	0.37	1.73	79,037	29,360	1,375,603	414,905
2017-03-13	$16.07	$17.00	20.6%	5.7%	18.4%	11.0%	20.3%	0.8%	-0.5%	9.7M	-153.0M	-4.0M	0.54	1.63	57,486	31,081	1,371,468	404,420
2017-03-14	$15.99	$17.00	20.9%	5.8%	18.3%	12.9%	21.1%	1.8%	-0.4%	8.8M	-136.8M	-4.0M	0.36	1.74	66,907	23,982	1,382,861	400,244
2017-03-15	$16.40	$17.00	20.6%	5.7%	20.7%	11.2%	20.3%	0.5%	-0.7%	18.9M	-274.8M	-4.2M	0.33	1.91	107,360	35,252	1,392,317	400,345
2017-03-16	$16.39	$17.00	18.7%	5.3%	20.6%	0.0%	18.7%	-0.1%	-0.6%	24.4M	-281.4M	-4.2M	0.41	1.65	81,397	33,111	1,432,268	405,930
2017-03-17	$16.45	$17.00	17.9%	5.1%	20.5%	0.0%	18.0%	-0.6%	-0.1%	48.8M	-317.8M	-4.5M	0.69	1.69	64,051	43,998	1,456,598	426,170
2017-03-20	$16.50	$17.00	17.3%	4.9%	20.6%	0.0%	17.8%	-0.9%	0.7%	15.7M	-291.9M	-4.4M	0.61	1.65	49,907	30,554	1,313,448	368,278
2017-03-21	$16.61	$17.00	18.0%	5.1%	20.8%	4.0%	18.4%	-1.4%	0.8%	19.3M	-337.9M	-4.5M	0.36	1.81	66,826	24,052	1,327,101	369,276
2017-03-22	$16.61	$17.00	17.8%	5.1%	20.8%	2.9%	18.3%	-0.8%	0.7%	19.1M	-340.8M	-4.5M	0.37	1.60	40,770	14,887	1,350,967	379,584
2017-03-23	$16.68	$17.00	17.7%	5.0%	20.6%	2.1%	17.7%	-0.5%	0.5%	19.1M	-361.9M	-4.6M	0.28	1.65	52,105	14,554	1,354,304	381,098
2017-03-24	$16.82	$17.00	17.6%	5.0%	20.5%	1.8%	17.4%	-0.9%	0.4%	19.7M	-412.3M	-4.6M	0.23	1.88	64,464	15,095	1,362,460	381,989
2017-03-27	$17.15	$17.00	18.4%	5.1%	21.7%	6.0%	18.4%	-1.5%	0.8%	27.4M	-526.0M	-4.8M	0.32	1.63	90,772	28,645	1,345,162	371,193
2017-03-28	$17.16	$17.00	18.0%	5.0%	21.7%	4.2%	17.9%	-1.1%	0.6%	28.7M	-527.6M	-4.8M	0.25	1.75	93,520	23,266	1,356,557	382,032
2017-03-29	$17.25	$17.00	17.6%	4.9%	21.7%	1.9%	17.9%	-0.9%	0.8%	31.2M	-563.2M	-4.9M	0.31	1.59	60,834	19,020	1,375,410	386,617
2017-03-30	$17.16	$17.00	18.0%	4.9%	17.2%	4.1%	17.5%	-0.1%	0.3%	29.9M	-527.2M	-4.8M	0.85	1.72	51,665	43,957	1,387,878	389,032
2017-03-31	$17.25	$17.00	17.8%	4.8%	16.9%	3.0%	17.2%	-0.5%	0.4%	27.0M	-560.2M	-4.8M	0.40	1.72	46,168	18,466	1,395,885	408,141