SLV Options History — September 2020

In September 2020, SLV traded between $21.12 and $26.15. ATM implied volatility averaged 46.1%, placing in the 40.4% IV rank vs the trailing year. The 30-day expected move averaged 13.3%. IV traded below realized volatility by 1.2% (HV 20d: 47.3%). Max pain ranged from $21.50 to $23.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 8 of 21 days. Put/call ratio averaged 0.39.

Notable Days

2020-09-23: Highest Volume — 1,061,063 contracts
2020-09-21: Largest IV spike — 24.5% change
2020-09-03: Highest IV Rank — 52.2%
2020-09-01: Largest Expected Move — 15.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.96	$21.12	$26.15	$26.15	$21.68
Max Pain	$22.07	$21.50	$23.00	$23.00	$22.00
ATM IV	46.1%	37.5%	55.7%	55.2%	44.5%
Expected Move	13.3%	10.7%	15.7%	15.7%	13.4%
HV 20d	47.3%	27.4%	72.4%	72.4%	47.4%
HV 60d	55.3%	53.1%	59.6%	53.2%	59.6%
IV Rank	40.4%	29.8%	52.2%	51.5%	38.4%
IV Percentile	78.2%	69.4%	88.5%	88.1%	75.8%
Term Structure	0.3%	-1.1%	4.0%	0.1%	3.4%
VWIV	48.1%	38.5%	56.2%	56.2%	48.9%
Skew 25d	-2.1%	-4.1%	1.4%	-4.1%	-3.2%
Skew 10d	-5.6%	-11.1%	-1.2%	-11.1%	-7.6%
Call IV 25d	48.4%	39.9%	58.6%	58.6%	47.4%
Put IV 25d	46.3%	37.8%	55.4%	54.5%	44.3%
Bid-Ask Spread %	1.57	1.32	1.79	1.79	1.32
Gamma HHI	0.07	0.05	0.09	0.09	0.06
Net GEX	105.4M	50.1M	154.2M	154.2M	57.9M
Net DEX	-5.09B	-7.87B	-2.04B	-7.87B	-2.68B
Net VEX	-25.1M	-29.0M	-21.8M	-29.0M	-22.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.39	0.23	0.58	0.31	0.43
Total Volume	486,063.524	283,914	1,061,063	571,054	435,416
Total OI	9,043,873.429	8,482,021	9,350,939	8,823,116	9,167,877

Daily Data (21 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
2020-09-01	$26.15	$23.00	55.2%	15.7%	72.4%	51.5%	56.2%	-4.1%	0.1%	154.2M	-7.87B	-29.0M	0.31	1.79	434,724	136,330	6,524,087	2,299,029
2020-09-02	$25.55	$23.00	54.5%	15.3%	71.7%	50.6%	54.3%	-3.0%	-1.0%	139.6M	-7.06B	-28.1M	0.37	1.51	333,017	123,760	6,570,778	2,343,501
2020-09-03	$24.79	$21.50	55.7%	15.5%	68.7%	52.2%	55.4%	-2.6%	-1.1%	119.5M	-6.16B	-27.9M	0.45	1.60	343,134	153,649	6,621,497	2,387,658
2020-09-04	$25.12	$22.00	52.7%	14.8%	68.6%	48.5%	53.7%	-2.6%	-1.1%	129.4M	-6.47B	-28.0M	0.37	1.75	423,324	155,394	6,668,340	2,435,707
2020-09-08	$24.84	$22.00	50.7%	14.4%	67.7%	46.0%	52.7%	-2.9%	-0.4%	122.9M	-6.03B	-26.4M	0.23	1.72	362,560	85,100	6,513,517	2,406,580
2020-09-09	$25.18	$22.00	46.6%	13.3%	45.2%	40.9%	49.4%	-3.0%	-0.1%	138.1M	-6.43B	-26.3M	0.24	1.65	321,109	77,406	6,599,505	2,416,757
2020-09-10	$24.93	$22.00	44.7%	12.8%	45.4%	38.7%	47.3%	-2.7%	-0.2%	135.3M	-6.12B	-25.9M	0.39	1.78	322,155	126,461	6,641,341	2,437,262
2020-09-11	$24.89	$22.00	43.3%	12.4%	38.4%	36.9%	45.0%	-1.4%	0.0%	124.8M	-5.94B	-25.7M	0.39	1.67	272,671	106,981	6,686,567	2,493,554
2020-09-14	$25.34	$22.00	47.7%	13.6%	37.0%	42.3%	49.1%	-1.9%	-0.6%	136.4M	-6.52B	-26.2M	0.47	1.71	288,511	136,754	6,591,129	2,453,550
2020-09-15	$25.20	$22.00	44.1%	12.6%	33.8%	37.8%	46.3%	-1.5%	-0.6%	131.8M	-6.33B	-26.0M	0.42	1.60	202,186	84,744	6,681,146	2,530,513
2020-09-16	$25.22	$22.00	42.0%	12.0%	33.1%	35.3%	44.8%	-2.5%	0.1%	133.3M	-6.35B	-25.7M	0.32	1.54	215,599	68,315	6,708,216	2,563,504
2020-09-17	$25.15	$22.00	39.4%	11.3%	29.2%	32.1%	41.3%	-1.8%	-0.1%	129.2M	-6.20B	-25.0M	0.54	1.54	200,718	108,400	6,748,350	2,577,763
2020-09-18	$24.97	$22.00	37.5%	10.7%	27.4%	29.8%	38.5%	-2.0%	0.1%	116.4M	-5.93B	-24.5M	0.31	1.54	287,766	88,165	6,753,697	2,597,242
2020-09-21	$22.93	$22.00	46.7%	13.6%	39.4%	41.1%	48.7%	-0.8%	-0.5%	71.5M	-3.66B	-23.2M	0.45	1.61	700,028	313,386	6,175,523	2,306,498
2020-09-22	$22.77	$22.00	42.1%	12.1%	39.4%	35.4%	44.9%	-1.3%	-0.1%	71.3M	-3.51B	-23.2M	0.53	1.56	265,241	141,176	6,354,008	2,404,500
2020-09-23	$21.12	$22.00	46.3%	13.6%	46.7%	40.6%	48.8%	1.4%	-0.3%	50.2M	-2.04B	-21.8M	0.41	1.53	753,614	307,449	6,392,570	2,449,072
2020-09-24	$21.45	$22.00	45.5%	13.2%	45.0%	39.6%	47.3%	-0.5%	0.5%	50.1M	-2.43B	-23.0M	0.43	1.45	495,749	213,242	6,465,864	2,526,765
2020-09-25	$21.37	$22.00	42.8%	12.4%	44.9%	36.3%	45.5%	-0.3%	-0.0%	56.7M	-2.34B	-22.5M	0.58	1.33	274,772	158,742	6,600,656	2,558,443
2020-09-28	$22.05	$22.00	43.5%	12.6%	46.3%	37.1%	45.4%	-3.4%	4.0%	64.6M	-3.10B	-23.0M	0.33	1.41	216,960	71,616	6,560,535	2,558,179
2020-09-29	$22.55	$22.00	43.6%	12.7%	46.1%	37.3%	47.0%	-3.8%	4.0%	79.9M	-3.67B	-23.9M	0.24	1.39	324,430	76,580	6,596,293	2,553,769
2020-09-30	$21.68	$22.00	44.5%	13.4%	47.4%	38.4%	48.9%	-3.2%	3.4%	57.9M	-2.68B	-22.4M	0.43	1.32	304,149	131,267	6,600,607	2,567,270