SLV Options History — March 2020 In March 2020, SLV traded between $11.14 and $16.30. ATM implied volatility averaged 49.8%, placing in the 72.8% IV rank vs the trailing year. The 30-day expected move averaged 14.5%. IV traded below realized volatility by 2.9% (HV 20d: 52.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 3 of 22 days. Put/call ratio averaged 0.36.
Notable Days 2020-03-13 : Highest Volume — 482,411 contracts2020-03-13 : Largest IV spike — 60.9% change2020-03-09 : Highest IV Rank — 100.0%2020-03-18 : Largest Expected Move — 27.1%Monthly Statistics Metric Avg Min Max Open Close Price $13.91 $11.14 $16.30 $15.61 $13.07 Max Pain $16.14 $16.00 $17.00 $17.00 $16.00 ATM IV 49.8% 22.0% 94.7% 22.0% 44.4% Expected Move 14.5% 6.9% 27.1% 7.2% 13.3% HV 20d 52.6% 29.7% 76.3% 29.7% 72.9% HV 60d 34.9% 22.4% 46.9% 22.6% 46.9% IV Rank 72.8% 38.2% 100.0% 49.7% 38.2% IV Percentile 95.3% 76.6% 100.0% 76.6% 95.2% Term Structure -1.6% -4.8% 0.2% 0.1% -0.1% VWIV 51.9% 25.6% 94.7% 26.8% 47.6% Skew 25d 2.0% -6.2% 16.3% -1.8% 1.0% Skew 10d 3.2% -11.6% 29.5% -4.2% 2.2% Call IV 25d 50.1% 24.0% 87.5% 24.0% 45.1% Put IV 25d 52.0% 21.8% 103.7% 22.1% 46.1% Bid-Ask Spread % 2.60 1.20 4.14 1.60 2.27 Gamma HHI 0.11 0.07 0.16 0.13 0.09 Net GEX 19.0M 1.4M 51.4M 22.7M 7.9M Net DEX -64.9M -847.3M 643.4M -153.7M 114.1M Net VEX -7.6M -9.1M -5.6M -7.1M -7.0M Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.36 0.11 1.44 0.27 0.37 Total Volume 246,902.773 126,189 482,411 199,138 140,398 Total OI 4,125,972.409 3,779,565 4,442,503 3,779,565 4,222,735
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 2020-03-02 $15.61 $17.00 22.0% 7.2% 29.7% 49.7% 26.8% -1.8% 0.1% 22.7M -153.7M -7.1M 0.27 1.60 156,669 42,469 2,777,202 1,002,363 2020-03-03 $15.99 $17.00 25.6% 8.3% 30.5% 70.1% 30.8% -4.5% -0.6% 40.1M -526.0M -8.0M 0.21 1.94 348,044 74,137 2,843,106 1,007,123 2020-03-04 $16.06 $17.00 22.1% 6.9% 30.6% 50.4% 25.6% -4.0% -0.3% 42.2M -553.9M -8.1M 0.22 1.20 103,682 22,507 2,929,521 1,039,398 2020-03-05 $16.30 $16.00 28.0% 7.3% 31.1% 84.0% 28.9% -6.2% -0.9% 51.4M -847.3M -8.9M 0.11 1.59 192,775 21,992 2,961,593 1,045,325 2020-03-06 $16.18 $16.00 27.5% 7.6% 30.9% 81.3% 29.3% -5.9% -1.0% 48.7M -757.1M -8.8M 0.19 1.82 224,238 43,268 3,007,445 1,046,765 2020-03-09 $15.82 $16.00 32.9% 9.1% 31.8% 100.0% 33.7% -5.4% -1.0% 38.0M -546.1M -9.1M 0.27 1.80 220,142 59,706 2,943,803 1,040,180 2020-03-10 $15.77 $16.00 25.0% 7.1% 31.7% 59.7% 25.8% -4.0% -0.2% 36.5M -381.1M -8.1M 0.32 1.49 159,013 50,215 3,006,168 1,035,484 2020-03-11 $15.64 $16.00 26.7% 7.7% 31.7% 68.7% 27.5% -2.6% 0.2% 30.1M -287.9M -8.4M 0.53 1.52 121,289 63,934 2,984,330 1,055,893 2020-03-12 $14.62 $16.00 31.8% 8.9% 39.2% 94.6% 31.7% 0.7% -0.9% 3.2M 274.6M -7.3M 0.70 2.52 196,124 137,974 2,963,379 1,101,257 2020-03-13 $13.60 $16.00 51.2% 14.1% 45.3% 100.0% 52.0% 9.7% -4.2% 5.4M 438.3M -6.8M 1.44 3.54 197,416 284,995 3,031,560 1,095,327 2020-03-16 $11.97 $16.00 67.9% 19.2% 61.3% 100.0% 65.9% 9.5% -2.7% 1.4M 643.4M -5.6M 0.61 3.76 277,201 168,320 2,998,584 1,168,095 2020-03-17 $11.91 $16.00 77.3% 22.1% 59.4% 100.0% 77.4% 8.9% -3.3% 5.1M 430.1M -6.5M 0.33 3.51 246,030 80,306 3,127,187 1,155,707 2020-03-18 $11.14 $16.00 94.7% 27.1% 60.8% 100.0% 94.7% 16.3% -3.7% 4.8M 426.3M -6.3M 0.28 3.87 176,287 49,017 3,234,704 1,178,914 2020-03-19 $11.40 $16.00 80.7% 23.3% 62.5% 82.8% 80.5% 12.3% -4.8% 4.4M 421.9M -6.2M 0.22 4.00 184,595 40,992 3,241,855 1,169,136 2020-03-20 $11.65 $16.00 72.3% 20.7% 63.5% 72.5% 73.0% 8.0% 0.1% 5.0M 360.8M -6.5M 0.26 2.53 152,122 39,408 3,266,970 1,175,533 2020-03-23 $12.36 $16.00 70.9% 21.0% 69.0% 70.8% 73.8% 6.1% -1.7% 7.4M 106.4M -7.3M 0.22 3.42 177,269 39,763 2,980,658 1,089,838 2020-03-24 $13.27 $16.00 67.0% 20.0% 75.5% 66.1% 70.2% 3.0% -2.8% 12.4M -174.8M -8.4M 0.15 4.14 214,980 31,242 3,036,571 1,103,231 2020-03-25 $13.52 $16.00 59.7% 18.0% 76.2% 57.1% 64.2% 1.6% -2.1% 13.9M -185.8M -8.4M 0.22 3.12 145,551 31,987 3,047,307 1,107,204 2020-03-26 $13.44 $16.00 56.3% 16.8% 76.3% 52.9% 60.5% 0.1% -1.7% 12.4M -118.6M -8.2M 0.28 3.18 129,196 35,967 3,058,583 1,122,115 2020-03-27 $13.49 $16.00 58.5% 18.0% 73.8% 55.6% 64.2% 0.2% -2.1% 15.9M -146.7M -8.3M 0.44 2.13 117,833 51,614 3,090,069 1,128,719 2020-03-30 $13.14 $16.00 52.4% 16.0% 73.9% 48.1% 57.7% 0.5% -0.6% 8.4M 35.7M -7.5M 0.26 2.21 143,338 37,856 3,044,598 1,105,858 2020-03-31 $13.07 $16.00 44.4% 13.3% 72.9% 38.2% 47.6% 1.0% -0.1% 7.9M 114.1M -7.0M 0.37 2.27 102,715 37,683 3,114,851 1,107,884
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