SLV Options History — June 2017

In June 2017, SLV traded between $15.56 and $16.74. ATM implied volatility averaged 17.1%, placing in the 4.3% IV rank vs the trailing year. The 30-day expected move averaged 4.9%. IV traded above realized volatility by 3.6% (HV 20d: 13.5%). Max pain ranged from $16.00 to $16.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2017-06-14: Highest Volume — 108,780 contracts
2017-06-26: Largest IV spike — 8.5% change
2017-06-05: Highest IV Rank — 9.3%
2017-06-06: Largest Expected Move — 5.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.02	$15.56	$16.74	$16.38	$15.71
Max Pain	$16.25	$16.00	$16.50	$16.00	$16.00
ATM IV	17.1%	15.0%	18.3%	17.7%	15.0%
Expected Move	4.9%	4.2%	5.3%	5.3%	4.2%
HV 20d	13.5%	11.6%	16.1%	14.3%	11.6%
HV 60d	14.7%	14.1%	15.5%	15.5%	14.5%
IV Rank	4.3%	0.0%	9.3%	6.3%	0.0%
IV Percentile	4.2%	0.0%	10.7%	4.8%	0.0%
Term Structure	0.1%	-1.0%	0.6%	0.6%	-0.0%
VWIV	17.5%	15.1%	19.1%	19.1%	15.1%
Skew 25d	-1.0%	-1.9%	-0.1%	-1.6%	-0.8%
Skew 10d	-1.8%	-3.2%	-0.1%	-1.9%	-0.6%
Call IV 25d	18.2%	15.9%	19.8%	19.7%	15.9%
Put IV 25d	17.2%	15.1%	18.2%	18.1%	15.1%
Bid-Ask Spread %	1.63	1.25	1.86	1.64	1.25
Gamma HHI	0.14	0.09	0.22	0.17	0.21
Net GEX	19.2M	7.5M	36.5M	30.0M	19.5M
Net DEX	-277.7M	-523.2M	-121.8M	-411.6M	-189.7M
Net VEX	-3.9M	-4.5M	-3.6M	-4.4M	-3.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.22	0.58	0.44	0.37
Total Volume	69,491.727	43,706	108,780	65,602	65,057
Total OI	1,728,470.818	1,637,899	1,791,930	1,708,649	1,753,331

Daily Data (22 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
2017-06-01	$16.38	$16.00	17.7%	5.3%	14.3%	6.3%	19.1%	-1.6%	0.6%	30.0M	-411.6M	-4.4M	0.44	1.64	45,481	20,121	1,365,664	342,985
2017-06-02	$16.60	$16.00	18.2%	4.9%	13.6%	8.9%	17.5%	-1.9%	-1.0%	36.5M	-497.5M	-4.5M	0.28	1.70	55,560	15,506	1,377,748	350,452
2017-06-05	$16.63	$16.00	18.3%	5.2%	13.6%	9.3%	18.3%	-1.8%	0.1%	30.0M	-486.1M	-4.5M	0.30	1.75	36,688	10,837	1,356,324	342,527
2017-06-06	$16.74	$16.50	18.1%	5.3%	13.4%	8.5%	18.8%	-1.2%	0.2%	30.8M	-523.2M	-4.5M	0.58	1.73	49,768	29,047	1,358,761	344,837
2017-06-07	$16.64	$16.50	17.8%	5.1%	13.0%	6.7%	18.4%	-1.1%	0.0%	31.2M	-483.7M	-4.4M	0.52	1.70	38,830	20,286	1,365,901	350,007
2017-06-08	$16.48	$16.50	17.4%	5.0%	13.9%	4.6%	18.3%	-1.1%	0.1%	27.0M	-415.0M	-4.3M	0.34	1.81	51,275	17,482	1,374,014	358,952
2017-06-09	$16.30	$16.50	17.7%	5.1%	14.8%	6.4%	18.1%	-1.4%	0.1%	23.2M	-338.8M	-4.2M	0.43	1.70	38,617	16,536	1,391,789	361,974
2017-06-12	$16.04	$16.50	17.9%	5.1%	16.1%	7.3%	18.2%	-0.6%	-0.1%	17.0M	-247.2M	-4.0M	0.36	1.69	51,402	18,369	1,380,237	354,940
2017-06-13	$15.97	$16.50	17.9%	5.1%	15.7%	7.3%	18.4%	-1.0%	-0.1%	14.5M	-218.8M	-3.9M	0.34	1.64	75,311	25,327	1,399,246	358,874
2017-06-14	$15.96	$16.50	17.5%	4.9%	15.1%	5.1%	17.7%	-0.7%	-0.1%	13.9M	-215.0M	-3.9M	0.41	1.74	77,261	31,519	1,408,315	364,311
2017-06-15	$15.88	$16.50	17.1%	4.9%	15.2%	3.2%	17.3%	-0.1%	0.1%	7.5M	-167.7M	-3.9M	0.35	1.69	48,260	16,985	1,407,425	376,021
2017-06-16	$15.79	$16.50	16.3%	4.8%	14.2%	0.0%	16.7%	-0.5%	0.6%	10.4M	-136.5M	-3.7M	0.43	1.86	54,936	23,632	1,418,525	373,405
2017-06-19	$15.60	$16.50	16.5%	4.7%	14.0%	1.0%	17.7%	-1.1%	0.2%	8.9M	-121.8M	-3.6M	0.22	1.45	73,285	16,156	1,316,726	321,173
2017-06-20	$15.59	$16.50	16.4%	4.7%	12.2%	0.2%	16.8%	-0.7%	0.4%	9.4M	-155.3M	-3.6M	0.31	1.68	61,765	19,330	1,353,076	327,683
2017-06-21	$15.56	$16.00	16.2%	4.7%	12.1%	0.0%	16.9%	-0.9%	0.5%	9.0M	-155.1M	-3.6M	0.49	1.52	48,964	24,119	1,380,387	330,492
2017-06-22	$15.68	$16.00	16.2%	4.6%	12.1%	0.0%	16.7%	-1.2%	0.4%	13.6M	-210.0M	-3.7M	0.37	1.27	46,506	17,062	1,398,051	326,974
2017-06-23	$15.80	$16.00	16.3%	4.6%	12.6%	0.5%	16.3%	-0.6%	0.1%	15.2M	-245.2M	-3.7M	0.26	1.68	60,030	15,860	1,411,416	328,663
2017-06-26	$15.69	$16.00	17.7%	5.1%	11.8%	7.7%	18.4%	-1.4%	0.2%	15.2M	-189.6M	-3.7M	0.27	1.62	43,482	11,832	1,375,914	322,977
2017-06-27	$15.81	$16.00	17.8%	5.0%	12.2%	8.0%	17.4%	-1.2%	0.0%	17.7M	-229.8M	-3.8M	0.34	1.57	47,842	16,232	1,394,854	324,164
2017-06-28	$15.91	$16.00	16.7%	4.8%	12.5%	2.6%	17.0%	-1.2%	0.2%	23.3M	-273.1M	-3.8M	0.35	1.50	32,413	11,293	1,411,897	324,277
2017-06-29	$15.74	$16.00	16.2%	4.5%	12.9%	0.0%	16.4%	-0.6%	0.4%	19.1M	-198.0M	-3.6M	0.33	1.74	36,422	12,132	1,414,328	326,741
2017-06-30	$15.71	$16.00	15.0%	4.2%	11.6%	0.0%	15.1%	-0.8%	-0.0%	19.5M	-189.7M	-3.6M	0.37	1.25	47,423	17,634	1,423,696	329,635