SLV Options History — September 2019

In September 2019, SLV traded between $15.93 and $18.30. ATM implied volatility averaged 27.2%, placing in the 79.7% IV rank vs the trailing year. The 30-day expected move averaged 7.8%. IV traded below realized volatility by 6.4% (HV 20d: 33.6%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 3 of 20 days. Put/call ratio averaged 0.38.

Notable Days

  • 2019-09-05: Highest Volume — 537,881 contracts
  • 2019-09-25: Largest IV drop — 13.3% change
  • 2019-09-03: Highest IV Rank — 100.0%
  • 2019-09-04: Largest Expected Move — 9.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.94$15.93$18.30$17.89$15.93
Max Pain$15.85$15.00$16.00$16.00$16.00
ATM IV27.2%24.1%30.8%29.7%24.1%
Expected Move7.8%7.0%9.4%9.0%7.2%
HV 20d33.6%24.8%38.4%24.8%38.4%
HV 60d24.6%20.0%27.8%20.3%27.8%
IV Rank79.7%62.0%100.0%100.0%62.0%
IV Percentile96.1%89.7%100.0%100.0%89.7%
Term Structure-0.4%-0.9%0.3%-0.4%0.0%
VWIV28.3%25.9%33.2%30.5%25.9%
Skew 25d-6.3%-8.5%-3.8%-7.7%-3.8%
Skew 10d-11.0%-14.9%-7.4%-12.9%-7.8%
Call IV 25d31.7%27.0%36.0%34.8%27.0%
Put IV 25d25.4%23.1%28.7%27.1%23.3%
Bid-Ask Spread %1.401.091.661.481.09
Gamma HHI0.140.110.160.140.11
Net GEX58.6M31.0M72.0M72.0M31.0M
Net DEX-1.71B-2.87B-809.7M-2.65B-809.7M
Net VEX-7.7M-8.2M-7.0M-7.7M-7.0M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.380.180.860.190.46
Total Volume272,058.75123,421537,881465,149411,140
Total OI3,762,029.353,375,2093,950,8303,375,2093,892,601

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2019-09-03$17.89$16.0029.7%9.0%24.8%100.0%30.5%-7.7%-0.4%72.0M-2.65B-7.7M0.191.48391,26373,8862,535,566839,643
2019-09-04$18.30$16.0030.8%9.4%25.3%100.0%33.2%-8.0%-0.4%71.6M-2.87B-7.8M0.251.50339,89984,3062,572,385876,715
2019-09-05$17.51$15.0028.8%8.1%29.3%88.9%28.5%-8.5%-0.5%66.8M-2.23B-7.7M0.441.62373,989163,8922,566,868930,367
2019-09-06$16.90$15.5029.8%8.3%32.5%94.6%30.2%-6.3%-0.7%56.5M-1.70B-8.2M0.621.66275,563170,5962,698,219993,104
2019-09-09$16.87$15.5028.2%7.8%32.5%85.1%28.4%-6.1%-0.6%60.6M-1.69B-7.9M0.251.37214,22753,8612,715,2231,000,974
2019-09-10$16.88$15.5028.0%7.8%32.5%84.1%27.6%-5.9%-0.8%63.9M-1.72B-8.0M0.331.32109,41536,0412,769,6701,018,466
2019-09-11$16.95$15.5026.7%7.5%32.3%76.7%27.4%-6.4%-0.4%66.3M-1.79B-8.0M0.251.52110,58827,2602,802,1141,027,729
2019-09-12$16.91$16.0027.2%7.7%32.1%79.6%27.5%-7.0%-0.5%64.0M-1.76B-8.0M0.421.39121,89151,5922,830,7431,042,813
2019-09-13$16.36$16.0026.3%7.4%34.5%74.5%26.7%-5.8%-0.4%51.9M-1.19B-7.5M0.331.52356,994117,1382,849,8301,070,865
2019-09-16$16.71$16.0026.2%7.4%35.1%73.6%27.6%-6.9%-0.5%61.1M-1.54B-7.6M0.311.36142,54844,1662,779,5161,037,282
2019-09-17$16.82$16.0027.7%7.9%34.6%82.2%27.2%-5.9%-0.8%65.1M-1.65B-7.7M0.481.4083,13140,2902,807,8891,049,280
2019-09-18$16.66$16.0026.0%7.5%34.4%72.6%27.6%-5.3%-0.6%58.6M-1.50B-7.6M0.361.34110,53539,6052,818,7871,067,782
2019-09-19$16.62$16.0024.4%7.0%34.5%63.5%25.9%-5.4%-0.3%54.0M-1.46B-7.4M0.861.4868,03358,2952,842,0191,079,554
2019-09-20$16.80$16.0026.6%7.7%34.5%76.3%26.6%-4.9%-0.9%55.1M-1.59B-7.6M0.401.48114,16446,0072,831,2971,119,533
2019-09-23$17.46$16.0028.8%8.4%36.1%88.6%29.7%-7.0%-0.2%65.6M-2.01B-7.8M0.231.35255,29458,2592,634,316982,409
2019-09-24$17.45$16.0029.3%8.6%36.0%91.7%31.0%-7.8%-0.4%67.3M-2.03B-8.1M0.181.42149,11826,5492,709,4501,016,997
2019-09-25$16.80$16.0025.4%7.5%37.2%69.4%28.0%-5.5%-0.1%53.3M-1.49B-7.6M0.251.25214,63953,9612,743,9061,027,407
2019-09-26$16.68$16.0024.2%7.1%37.1%62.2%27.9%-5.5%0.3%51.7M-1.40B-7.5M0.711.2388,28162,2532,756,4701,042,851
2019-09-27$16.37$16.0025.3%7.5%37.5%68.9%28.4%-5.4%0.2%36.6M-1.14B-7.4M0.321.27229,57872,9282,773,7031,086,244
2019-09-30$15.93$16.0024.1%7.2%38.4%62.0%25.9%-3.8%0.0%31.0M-809.7M-7.0M0.461.09281,587129,5532,809,6311,082,970