SLV Options History — September 2017

In September 2017, SLV traded between $15.74 and $17.11. ATM implied volatility averaged 18.3%, placing in the 23.1% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.1% (HV 20d: 17.2%). Max pain ranged from $15.50 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.37.

Notable Days

2017-09-06: Highest Volume — 120,007 contracts
2017-09-05: Largest IV spike — 10.8% change
2017-09-05: Highest IV Rank — 42.7%
2017-09-05: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.45	$15.74	$17.11	$16.73	$15.74
Max Pain	$15.80	$15.50	$16.00	$15.50	$16.00
ATM IV	18.3%	17.0%	21.1%	19.1%	17.0%
Expected Move	5.3%	4.9%	6.0%	5.2%	4.9%
HV 20d	17.2%	14.1%	19.5%	19.5%	16.3%
HV 60d	18.7%	18.1%	19.5%	18.5%	18.9%
IV Rank	23.1%	13.9%	42.7%	28.3%	13.9%
IV Percentile	22.3%	4.4%	55.6%	34.1%	4.4%
Term Structure	0.0%	-0.4%	0.4%	-0.1%	-0.0%
VWIV	18.9%	17.7%	21.2%	18.8%	17.9%
Skew 25d	-1.4%	-2.9%	-0.3%	-1.7%	-0.8%
Skew 10d	-2.9%	-5.8%	-0.9%	-4.1%	-1.8%
Call IV 25d	19.7%	18.4%	23.4%	20.8%	18.4%
Put IV 25d	18.3%	17.1%	20.5%	19.2%	17.6%
Bid-Ask Spread %	1.77	1.61	2.10	1.87	2.06
Gamma HHI	0.14	0.12	0.16	0.13	0.12
Net GEX	23.3M	12.7M	33.7M	30.7M	12.7M
Net DEX	-399.4M	-680.1M	-154.9M	-556.3M	-154.9M
Net VEX	-3.7M	-4.2M	-3.2M	-4.1M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.24	0.59	0.24	0.28
Total Volume	76,023.3	41,623	120,007	73,388	60,642
Total OI	1,719,417.2	1,623,939	1,784,801	1,690,928	1,784,801

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
2017-09-01	$16.73	$15.50	19.1%	5.2%	19.5%	28.3%	18.8%	-1.7%	-0.1%	30.7M	-556.3M	-4.1M	0.24	1.87	59,200	14,188	1,318,236	372,692
2017-09-05	$16.90	$15.50	21.1%	6.0%	19.5%	42.7%	21.2%	-2.9%	-0.1%	32.2M	-604.7M	-4.1M	0.27	1.74	65,288	17,882	1,311,240	362,400
2017-09-06	$16.88	$15.50	19.8%	5.7%	19.5%	33.7%	21.0%	-2.2%	-0.0%	33.2M	-582.1M	-4.0M	0.31	1.61	91,626	28,381	1,318,535	369,133
2017-09-07	$17.11	$15.50	19.4%	5.5%	17.3%	30.9%	19.9%	-2.9%	-0.0%	33.7M	-680.1M	-4.2M	0.44	1.79	80,887	35,350	1,352,049	382,814
2017-09-08	$17.02	$15.50	18.3%	5.3%	17.3%	22.9%	19.7%	-2.5%	0.1%	30.5M	-632.6M	-4.2M	0.43	1.72	67,647	29,119	1,368,869	399,677
2017-09-11	$16.77	$15.50	18.7%	5.4%	18.3%	25.7%	19.1%	-1.4%	-0.0%	29.9M	-538.2M	-4.0M	0.38	1.74	44,080	16,702	1,361,110	390,082
2017-09-12	$16.90	$15.50	17.8%	5.0%	18.4%	19.2%	18.2%	-1.5%	-0.3%	29.8M	-569.3M	-4.0M	0.42	1.74	29,232	12,391	1,358,424	395,492
2017-09-13	$16.77	$15.50	18.0%	5.2%	16.2%	20.5%	18.2%	-1.0%	-0.0%	29.1M	-515.1M	-3.8M	0.43	1.72	40,119	17,403	1,361,006	397,773
2017-09-14	$16.77	$16.00	17.8%	5.1%	14.1%	19.7%	18.4%	-1.1%	-0.0%	29.4M	-499.8M	-3.8M	0.40	1.77	41,187	16,672	1,363,918	402,917
2017-09-15	$16.63	$16.00	17.3%	5.0%	14.5%	15.7%	17.7%	-1.0%	-0.4%	22.9M	-464.0M	-3.7M	0.30	1.71	49,023	14,823	1,370,163	404,600
2017-09-18	$16.27	$16.00	18.8%	5.4%	16.7%	26.4%	19.2%	-1.1%	0.1%	17.8M	-283.2M	-3.4M	0.59	1.66	66,330	38,840	1,266,561	357,378
2017-09-19	$16.36	$16.00	18.8%	5.4%	16.8%	26.4%	19.4%	-1.5%	-0.3%	19.2M	-310.4M	-3.5M	0.31	1.78	59,483	18,566	1,283,855	373,101
2017-09-20	$16.20	$16.00	18.0%	5.2%	17.2%	20.6%	18.3%	-0.3%	0.0%	18.7M	-270.9M	-3.5M	0.58	1.61	57,907	33,493	1,302,645	373,709
2017-09-21	$16.03	$16.00	17.7%	5.1%	17.6%	18.6%	18.1%	-0.8%	0.2%	13.3M	-218.2M	-3.4M	0.33	1.75	52,336	17,378	1,307,854	388,471
2017-09-22	$16.05	$16.00	17.7%	5.1%	17.3%	18.4%	18.8%	-1.2%	-0.0%	16.0M	-234.6M	-3.5M	0.39	1.74	36,562	14,188	1,325,713	389,761
2017-09-25	$16.21	$16.00	18.4%	5.4%	17.5%	23.9%	19.2%	-1.3%	0.4%	18.9M	-288.2M	-3.5M	0.41	1.66	49,444	20,492	1,311,978	379,851
2017-09-26	$15.91	$16.00	17.6%	5.1%	16.4%	17.9%	18.0%	-1.1%	0.4%	14.4M	-191.4M	-3.2M	0.29	1.77	54,405	15,937	1,320,670	384,201
2017-09-27	$15.83	$16.00	17.8%	5.2%	16.4%	19.3%	18.3%	-1.1%	0.2%	14.3M	-175.5M	-3.2M	0.36	1.92	59,869	21,529	1,334,563	389,168
2017-09-28	$15.95	$16.00	17.4%	5.0%	16.7%	16.6%	18.2%	-1.2%	0.4%	18.5M	-218.6M	-3.4M	0.24	2.10	58,088	13,777	1,356,652	396,282
2017-09-29	$15.74	$16.00	17.0%	4.9%	16.3%	13.9%	17.9%	-0.8%	-0.0%	12.7M	-154.9M	-3.2M	0.28	2.06	47,522	13,120	1,386,171	398,630