SLV Options History — February 2020

In February 2020, SLV traded between $15.51 and $17.38. ATM implied volatility averaged 19.5%, placing in the 35.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded below realized volatility by 1.6% (HV 20d: 21.1%). Max pain ranged from $16.50 to $17.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 4 of 19 days. Put/call ratio averaged 0.22.

Notable Days

  • 2020-02-28: Highest Volume — 549,891 contracts
  • 2020-02-28: Largest IV spike — 23.8% change
  • 2020-02-28: Highest IV Rank — 73.3%
  • 2020-02-28: Largest Expected Move — 8.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$16.66$15.51$17.38$16.48$15.51
Max Pain$16.92$16.50$17.00$16.50$17.00
ATM IV19.5%16.4%26.1%19.0%26.1%
Expected Move5.7%4.5%8.1%5.5%8.1%
HV 20d21.1%19.3%29.8%21.0%29.8%
HV 60d17.5%16.3%22.8%17.6%22.8%
IV Rank35.5%17.7%73.3%32.5%73.3%
IV Percentile64.8%46.0%93.3%64.3%93.3%
Term Structure-0.2%-1.1%1.6%-0.2%-0.7%
VWIV21.3%17.4%30.0%21.5%30.0%
Skew 25d-3.6%-4.8%-2.2%-4.0%-2.7%
Skew 10d-6.3%-8.6%-3.8%-7.8%-5.5%
Call IV 25d22.4%18.2%29.7%21.8%29.7%
Put IV 25d18.9%15.9%27.0%17.7%27.0%
Bid-Ask Spread %1.421.161.771.411.77
Gamma HHI0.220.130.250.230.13
Net GEX63.8M17.0M88.0M55.5M17.0M
Net DEX-949.6M-1.55B-84.4M-824.1M-84.4M
Net VEX-7.5M-8.4M-6.7M-7.3M-7.2M
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.080.460.140.46
Total Volume209,254.47465,420549,891179,067549,891
Total OI3,342,715.8423,078,9983,710,4873,078,9983,710,487

Daily Data (19 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call VolPut VolCall OIPut OI
2020-02-03$16.48$16.5019.0%5.5%21.0%32.5%21.5%-4.0%-0.2%55.5M-824.1M-7.3M0.141.41156,51122,5562,273,880805,118
2020-02-04$16.45$16.5018.7%5.3%20.8%30.8%20.0%-3.5%-0.4%58.7M-806.5M-7.3M0.081.57136,65710,7522,346,004820,343
2020-02-05$16.45$16.5017.4%4.9%20.2%23.8%18.3%-3.5%-0.4%57.5M-772.9M-7.2M0.451.5757,31325,9902,329,614825,719
2020-02-06$16.63$17.0017.2%5.3%19.9%22.6%18.8%-4.1%-0.4%67.2M-923.9M-7.2M0.231.6295,04421,4322,350,680841,416
2020-02-07$16.54$17.0017.1%5.3%19.8%21.9%19.4%-3.8%0.1%61.9M-846.0M-7.2M0.081.40124,2299,8082,369,977855,355
2020-02-10$16.60$17.0017.5%5.4%19.4%24.1%19.1%-3.5%1.4%64.8M-885.9M-7.0M0.251.3852,15413,2662,337,671844,069
2020-02-11$16.47$17.0017.5%4.7%19.5%23.9%19.6%-3.1%-1.1%56.8M-771.2M-7.1M0.231.29140,64632,8392,355,633853,373
2020-02-12$16.31$17.0016.4%4.5%19.4%17.7%17.4%-2.2%-0.9%47.8M-619.2M-6.7M0.241.22143,97134,1352,389,105870,674
2020-02-13$16.46$17.0017.1%4.7%19.3%21.7%18.3%-2.7%-0.9%57.0M-748.5M-7.0M0.441.1952,97523,1132,382,079893,882
2020-02-14$16.55$17.0016.9%5.1%19.4%20.4%18.0%-3.3%1.6%66.2M-824.7M-7.1M0.121.4761,0767,5102,395,922911,905
2020-02-18$16.99$17.0020.5%5.9%21.6%41.1%21.6%-3.5%-0.5%77.0M-1.21B-7.7M0.121.35326,20438,0102,364,870901,933
2020-02-19$17.18$17.0019.8%5.7%21.3%37.2%20.4%-3.3%-0.2%88.0M-1.42B-7.7M0.171.16147,71725,2832,467,065918,899
2020-02-20$17.14$17.0019.4%5.6%21.4%34.8%20.6%-2.5%-0.2%87.7M-1.38B-7.9M0.291.40101,54329,5482,507,523935,149
2020-02-21$17.30$17.0021.7%6.1%21.5%48.0%23.8%-4.8%1.1%79.6M-1.55B-8.3M0.201.23232,25947,5802,538,748957,861
2020-02-24$17.38$17.0024.3%7.1%20.9%62.7%25.4%-4.3%-0.7%81.7M-1.55B-8.4M0.131.54350,42144,9202,458,526915,717
2020-02-25$16.87$17.0022.7%6.7%23.7%53.8%25.3%-4.7%-0.7%68.7M-1.10B-8.3M0.201.52332,34065,7902,546,310936,449
2020-02-26$16.71$17.0020.2%6.1%20.6%39.3%22.8%-4.0%-0.4%62.6M-924.2M-7.9M0.161.35204,81132,2652,613,898976,831
2020-02-27$16.52$17.0021.1%6.3%21.0%44.6%23.8%-4.3%-0.8%57.0M-785.5M-8.2M0.221.55184,72540,5512,724,821984,095
2020-02-28$15.51$17.0026.1%8.1%29.8%73.3%30.0%-2.7%-0.7%17.0M-84.4M-7.2M0.461.77376,588173,3032,706,1151,004,372