SLV Options History — June 2020

In June 2020, SLV traded between $16.16 and $17.06. ATM implied volatility averaged 32.0%, placing in the 23.0% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 4.1% (HV 20d: 27.9%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.27.

Notable Days

2020-06-10: Highest Volume — 339,309 contracts
2020-06-24: Largest IV drop — 9.4% change
2020-06-11: Highest IV Rank — 26.6%
2020-06-15: Largest Expected Move — 10.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.53	$16.16	$17.06	$17.06	$16.97
Max Pain	$15.86	$15.00	$16.00	$15.00	$16.00
ATM IV	32.0%	28.5%	34.9%	33.3%	31.4%
Expected Move	9.2%	8.2%	10.0%	9.9%	8.9%
HV 20d	27.9%	24.7%	33.0%	25.8%	25.3%
HV 60d	36.5%	27.4%	49.6%	49.5%	27.5%
IV Rank	23.0%	18.8%	26.6%	24.5%	22.3%
IV Percentile	77.4%	69.4%	83.3%	81.3%	73.4%
Term Structure	0.2%	-1.3%	1.4%	0.8%	0.1%
VWIV	34.0%	29.6%	37.2%	35.5%	31.9%
Skew 25d	-3.4%	-5.6%	-0.9%	-4.2%	-3.1%
Skew 10d	-5.9%	-9.9%	-1.8%	-6.5%	-5.4%
Call IV 25d	35.3%	30.9%	38.8%	36.2%	34.0%
Put IV 25d	31.9%	28.7%	35.3%	31.9%	31.0%
Bid-Ask Spread %	1.75	1.38	2.05	1.73	1.69
Gamma HHI	0.16	0.12	0.46	0.12	0.46
Net GEX	78.2M	60.6M	177.9M	71.5M	177.9M
Net DEX	-1.85B	-2.31B	-1.56B	-2.31B	-2.14B
Net VEX	-11.9M	-12.8M	-11.4M	-12.8M	-11.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.27	0.11	0.46	0.23	0.27
Total Volume	220,672.955	114,657	339,309	275,926	335,315
Total OI	5,200,742.455	4,887,921	5,459,887	4,887,921	5,332,508

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
2020-06-01	$17.06	$15.00	33.3%	9.9%	25.8%	24.5%	35.5%	-4.2%	0.8%	71.5M	-2.31B	-12.8M	0.23	1.73	224,563	51,363	3,789,562	1,098,359
2020-06-02	$16.81	$15.00	32.0%	9.4%	25.9%	23.0%	33.4%	-2.8%	-0.4%	69.9M	-2.09B	-12.3M	0.25	1.92	178,056	45,065	3,829,955	1,111,118
2020-06-03	$16.53	$15.00	31.7%	9.5%	27.6%	22.6%	34.2%	-3.5%	-0.1%	65.4M	-1.86B	-12.1M	0.33	2.03	150,471	49,876	3,861,226	1,130,344
2020-06-04	$16.52	$16.00	29.3%	8.8%	27.5%	19.7%	31.4%	-3.6%	0.2%	68.6M	-1.83B	-11.9M	0.26	1.68	148,510	38,550	3,901,309	1,147,689
2020-06-05	$16.20	$16.00	28.5%	8.3%	28.5%	18.8%	32.0%	-3.8%	0.0%	60.6M	-1.56B	-11.5M	0.22	1.71	185,490	40,184	3,912,344	1,159,511
2020-06-08	$16.57	$16.00	30.5%	9.0%	29.0%	21.1%	33.4%	-5.2%	1.4%	70.5M	-1.89B	-11.8M	0.21	1.61	208,823	44,810	3,887,874	1,133,023
2020-06-09	$16.40	$16.00	32.4%	8.9%	29.5%	23.5%	34.6%	-5.1%	-1.3%	71.4M	-1.80B	-11.9M	0.39	1.69	82,829	32,000	4,006,994	1,151,035
2020-06-10	$16.89	$16.00	34.0%	9.7%	30.4%	25.4%	36.3%	-5.6%	-0.1%	79.7M	-2.20B	-12.4M	0.12	1.73	303,676	35,633	3,999,300	1,160,484
2020-06-11	$16.44	$16.00	34.9%	9.8%	32.9%	26.6%	37.2%	-3.9%	-0.9%	71.1M	-1.85B	-12.3M	0.24	1.68	200,205	48,022	4,075,504	1,165,784
2020-06-12	$16.27	$16.00	33.4%	9.5%	33.0%	24.7%	35.0%	-0.9%	0.2%	65.5M	-1.65B	-11.8M	0.32	1.61	170,653	54,372	4,081,457	1,179,096
2020-06-15	$16.16	$16.00	34.9%	10.0%	29.6%	26.5%	37.2%	-3.2%	-0.3%	62.6M	-1.60B	-11.7M	0.24	1.38	217,337	52,850	4,040,760	1,164,302
2020-06-16	$16.27	$16.00	32.9%	9.4%	28.5%	24.1%	35.5%	-3.3%	0.5%	70.5M	-1.70B	-11.7M	0.30	1.69	120,608	35,713	4,128,188	1,173,719
2020-06-17	$16.32	$16.00	32.3%	9.3%	27.4%	23.4%	35.0%	-3.7%	0.1%	76.6M	-1.76B	-11.8M	0.29	1.90	88,755	25,902	4,183,514	1,195,501
2020-06-18	$16.21	$16.00	30.8%	8.8%	27.4%	21.5%	34.0%	-3.8%	0.3%	72.1M	-1.65B	-11.4M	0.27	1.69	93,223	25,551	4,210,313	1,211,491
2020-06-19	$16.47	$16.00	33.0%	9.4%	26.4%	24.2%	36.8%	-3.8%	-0.0%	91.7M	-1.92B	-12.0M	0.27	1.94	202,393	54,723	4,234,071	1,225,816
2020-06-22	$16.53	$16.00	33.0%	9.4%	26.4%	24.2%	34.8%	-3.3%	0.5%	77.2M	-1.81B	-12.0M	0.25	2.05	223,105	54,700	4,054,559	1,097,009
2020-06-23	$16.76	$16.00	34.7%	9.9%	26.5%	26.3%	35.5%	-4.4%	0.5%	83.4M	-2.03B	-12.4M	0.31	1.66	160,674	50,292	4,095,893	1,118,109
2020-06-24	$16.35	$16.00	31.4%	9.0%	27.7%	22.3%	33.0%	-1.9%	0.9%	71.2M	-1.63B	-11.5M	0.11	1.82	281,951	31,651	4,138,665	1,132,519
2020-06-25	$16.59	$16.00	29.9%	8.4%	28.1%	20.4%	30.7%	-1.6%	0.8%	81.6M	-1.80B	-11.7M	0.46	1.79	80,139	37,113	4,141,836	1,145,759
2020-06-26	$16.62	$16.00	29.3%	8.2%	26.6%	19.7%	29.6%	-1.4%	1.0%	81.0M	-1.83B	-11.6M	0.34	1.87	172,866	58,212	4,155,967	1,170,227
2020-06-29	$16.63	$16.00	30.9%	8.9%	24.7%	21.7%	31.4%	-2.3%	0.3%	80.0M	-1.82B	-11.5M	0.29	1.59	122,799	35,782	4,122,875	1,160,765
2020-06-30	$16.97	$16.00	31.4%	8.9%	25.3%	22.3%	31.9%	-3.1%	0.1%	177.9M	-2.14B	-11.8M	0.27	1.69	263,368	71,947	4,161,545	1,170,963