SLV Options History — January 2018

In January 2018, SLV traded between $15.97 and $16.57. ATM implied volatility averaged 17.1%, placing in the 26.6% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 3.3% (HV 20d: 13.8%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 0.33.

Notable Days

  • 2018-01-24: Highest Volume — 180,558 contracts
  • 2018-01-24: Largest IV spike — 15.6% change
  • 2018-01-24: Highest IV Rank — 52.4%
  • 2018-01-29: Largest Expected Move — 5.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.18$15.97$16.57$16.21$16.36
Max Pain$15.52$15.00$16.00$15.00$16.00
ATM IV17.1%16.0%18.9%18.0%18.0%
Expected Move5.0%4.6%5.6%5.1%5.4%
HV 20d13.8%10.9%16.9%15.6%16.7%
HV 60d16.1%15.6%17.1%16.3%16.7%
IV Rank26.6%11.6%52.4%26.8%40.4%
IV Percentile25.3%1.2%69.8%43.7%48.8%
Term Structure0.0%-0.9%0.7%0.1%0.1%
VWIV17.8%16.6%20.1%19.7%19.1%
Skew 25d-1.4%-2.7%-0.7%-1.1%-1.2%
Skew 10d-2.8%-5.0%-0.8%-2.3%-2.1%
Call IV 25d18.6%17.2%21.2%19.4%19.2%
Put IV 25d17.2%16.0%19.1%18.3%18.0%
Bid-Ask Spread %2.611.5212.311.752.30
Gamma HHI0.220.180.370.220.20
Net GEX32.9M23.1M46.7M31.5M29.5M
Net DEX-471.5M-598.3M-329.1M-506.0M-418.7M
Net VEX-3.6M-3.8M-3.4M-3.6M-3.7M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.330.180.610.180.61
Total Volume91,328.61959,865180,558141,46661,124
Total OI1,688,738.1431,194,2052,002,8051,878,9531,290,466

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2018-01-02$16.21$15.0018.0%5.1%15.6%26.8%19.7%-1.1%0.1%31.5M-506.0M-3.6M0.181.75119,97421,4921,514,263364,690
2018-01-03$16.17$15.0016.6%4.8%15.4%13.8%16.8%-0.7%0.2%33.7M-527.2M-3.6M0.391.5268,53726,5671,534,279366,860
2018-01-04$16.24$15.5017.1%4.9%14.2%21.2%17.8%-1.2%0.0%31.2M-543.5M-3.7M0.351.8950,69217,7891,545,160371,367
2018-01-05$16.23$15.5016.4%4.8%13.6%14.0%17.5%-1.0%0.1%32.4M-544.6M-3.6M0.341.7957,04119,6711,547,771375,981
2018-01-08$16.15$15.5016.4%4.9%12.0%16.0%17.4%-1.6%0.7%33.9M-508.3M-3.5M0.262.1359,86715,4681,544,927370,061
2018-01-09$16.02$15.5016.1%4.7%12.7%12.8%16.6%-0.7%0.3%34.6M-462.5M-3.5M0.291.8565,59519,0641,562,765374,898
2018-01-10$16.02$15.5016.4%4.7%12.0%17.9%17.0%-1.8%-0.0%35.5M-468.6M-3.5M0.281.9554,33014,9851,575,580379,513
2018-01-11$16.01$15.5016.0%4.6%12.1%11.6%16.8%-1.8%0.0%37.9M-459.3M-3.5M0.282.1154,49915,0561,587,093382,193
2018-01-12$16.28$15.5017.3%4.9%11.6%28.9%17.3%-2.6%-0.2%36.6M-598.3M-3.6M0.2012.3191,93318,2231,600,989382,365
2018-01-16$16.24$15.5017.3%5.0%10.9%28.7%18.3%-1.6%-0.9%40.7M-578.7M-3.6M0.214.0982,25717,5391,607,082373,975
2018-01-17$16.05$15.5016.5%4.7%12.0%18.7%16.9%-1.7%-0.1%46.7M-484.4M-3.5M0.251.7477,57419,1941,613,498379,227
2018-01-18$15.97$15.5016.9%4.8%12.3%25.3%17.3%-1.0%-0.1%46.6M-435.4M-3.4M0.432.0674,55532,3001,615,206383,826
2018-01-19$16.05$15.5016.5%4.7%12.3%19.4%16.8%-1.4%-0.2%23.2M-525.3M-3.5M0.241.8569,81716,7091,619,349383,456
2018-01-22$16.04$15.5016.3%4.8%12.4%17.8%16.8%-1.0%0.1%23.1M-329.1M-3.4M0.401.9242,84517,020937,217256,988
2018-01-23$16.08$15.5016.3%4.7%12.2%17.6%16.7%-1.4%0.4%24.1M-342.2M-3.5M0.512.2153,22427,095949,545260,819
2018-01-24$16.57$15.5018.9%5.5%15.4%52.4%19.5%-2.7%-0.2%31.3M-512.6M-3.7M0.242.31145,77634,782959,703260,504
2018-01-25$16.31$15.5018.6%5.4%16.5%48.6%19.4%-1.5%0.1%32.5M-444.3M-3.7M0.372.3986,98831,9731,010,856274,770
2018-01-26$16.41$15.5017.9%5.2%16.4%39.6%18.7%-1.5%0.0%30.6M-464.3M-3.8M0.542.4752,45728,2661,016,588288,223
2018-01-29$16.21$16.0018.8%5.6%16.9%51.4%20.1%-1.6%-0.2%27.2M-387.2M-3.7M0.442.0344,33719,4801,002,312290,987
2018-01-30$16.15$16.0017.7%5.2%16.8%36.2%18.2%-1.5%0.1%27.3M-361.3M-3.6M0.232.0774,53317,2731,013,215294,934
2018-01-31$16.36$16.0018.0%5.4%16.7%40.4%19.1%-1.2%0.1%29.5M-418.7M-3.7M0.612.3038,03523,089992,222298,244