SLV Options History — December 2020

In December 2020, SLV traded between $22.16 and $24.68. ATM implied volatility averaged 40.5%, placing in the 32.9% IV rank vs the trailing year. The 30-day expected move averaged 11.6%. IV traded above realized volatility by 6.6% (HV 20d: 33.9%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 0.29.

Notable Days

2020-12-17: Highest Volume — 725,465 contracts
2020-12-16: Largest IV spike — 12.7% change
2020-12-21: Highest IV Rank — 38.6%
2020-12-21: Largest Expected Move — 12.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$23.27	$22.16	$24.68	$22.31	$24.55
Max Pain	$19.86	$19.00	$22.00	$22.00	$20.00
ATM IV	40.5%	36.4%	45.0%	39.5%	45.0%
Expected Move	11.6%	10.4%	12.9%	11.8%	12.2%
HV 20d	33.9%	27.7%	41.8%	41.8%	27.9%
HV 60d	38.2%	33.8%	41.4%	41.2%	33.8%
IV Rank	32.9%	28.4%	38.6%	32.2%	37.3%
IV Percentile	58.2%	48.8%	70.2%	58.3%	69.4%
Term Structure	0.3%	-0.4%	1.0%	-0.1%	0.9%
VWIV	42.7%	39.2%	46.9%	43.1%	42.9%
Skew 25d	-5.9%	-8.4%	-4.1%	-8.4%	-5.3%
Skew 10d	-10.1%	-17.3%	-5.3%	-17.3%	-6.8%
Call IV 25d	44.8%	40.4%	50.1%	45.3%	48.4%
Put IV 25d	38.8%	35.6%	43.1%	37.0%	43.1%
Bid-Ask Spread %	1.39	1.18	1.84	1.84	1.30
Gamma HHI	0.09	0.06	0.17	0.06	0.10
Net GEX	107.8M	72.3M	173.2M	82.1M	132.1M
Net DEX	-3.96B	-5.25B	-2.80B	-3.13B	-5.14B
Net VEX	-19.5M	-21.0M	-17.6M	-19.6M	-19.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.29	0.15	0.44	0.20	0.39
Total Volume	337,599.409	154,819	725,465	462,544	331,251
Total OI	7,724,716.227	7,213,013	8,191,711	7,213,013	8,191,711

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
2020-12-01	$22.31	$22.00	39.5%	11.8%	41.8%	32.2%	43.1%	-8.4%	-0.1%	82.1M	-3.13B	-19.6M	0.20	1.84	385,077	77,467	5,309,030	1,903,983
2020-12-02	$22.36	$22.00	37.8%	11.2%	41.8%	30.2%	40.1%	-6.7%	0.5%	83.6M	-3.12B	-19.4M	0.21	1.56	239,935	50,864	5,394,609	1,924,244
2020-12-03	$22.40	$19.00	37.9%	10.8%	41.5%	30.3%	40.3%	-5.5%	0.2%	83.2M	-3.10B	-18.9M	0.30	1.55	157,683	47,723	5,470,518	1,949,373
2020-12-04	$22.46	$19.00	37.6%	10.8%	34.7%	29.8%	40.6%	-4.4%	1.0%	104.6M	-3.17B	-19.2M	0.34	1.43	193,819	65,262	5,498,834	1,969,919
2020-12-07	$22.76	$19.50	40.2%	11.4%	35.0%	33.1%	42.0%	-7.1%	-0.4%	92.2M	-3.49B	-19.6M	0.20	1.41	276,332	56,414	5,498,493	1,963,274
2020-12-08	$22.85	$19.50	37.8%	10.9%	28.8%	30.1%	40.9%	-6.3%	0.2%	97.7M	-3.53B	-19.4M	0.20	1.41	178,303	35,862	5,590,197	1,980,917
2020-12-09	$22.19	$19.50	36.7%	10.5%	30.7%	28.8%	39.7%	-5.4%	-0.2%	73.6M	-2.82B	-18.2M	0.29	1.31	228,474	65,875	5,603,219	1,990,246
2020-12-10	$22.32	$19.50	37.9%	10.8%	30.8%	30.3%	39.2%	-5.5%	-0.2%	81.8M	-3.00B	-18.7M	0.38	1.33	120,682	45,806	5,654,607	2,010,179
2020-12-11	$22.24	$19.50	36.4%	10.4%	30.8%	28.4%	40.4%	-5.8%	0.2%	75.2M	-2.90B	-18.2M	0.42	1.29	109,383	45,436	5,687,475	2,013,020
2020-12-14	$22.16	$19.50	36.6%	10.5%	30.2%	28.6%	40.4%	-5.8%	0.6%	72.3M	-2.80B	-17.6M	0.34	1.31	146,456	49,224	5,602,823	1,984,403
2020-12-15	$22.78	$19.50	38.3%	10.9%	31.9%	30.7%	41.6%	-5.4%	-0.2%	95.3M	-3.42B	-18.4M	0.23	1.24	279,961	63,694	5,634,700	2,004,593
2020-12-16	$23.55	$19.50	43.1%	12.4%	33.7%	36.6%	46.4%	-7.9%	-0.3%	116.5M	-4.38B	-19.8M	0.21	1.39	389,687	82,839	5,695,759	2,020,261
2020-12-17	$24.12	$19.50	44.6%	12.8%	34.4%	38.5%	45.6%	-7.9%	-0.3%	144.3M	-5.14B	-20.8M	0.26	1.61	576,169	149,296	5,864,223	2,044,904
2020-12-18	$23.93	$19.50	42.8%	12.3%	34.4%	36.3%	44.1%	-6.6%	-0.1%	173.2M	-4.82B	-21.0M	0.38	1.39	246,631	94,535	5,970,433	2,104,116
2020-12-21	$24.32	$20.00	44.7%	12.9%	34.7%	38.6%	46.9%	-6.1%	0.8%	125.4M	-5.08B	-20.8M	0.18	1.41	368,207	67,073	5,801,320	1,991,832
2020-12-22	$23.38	$20.00	40.3%	11.6%	36.5%	31.4%	43.4%	-5.3%	0.6%	107.3M	-4.04B	-19.9M	0.25	1.35	365,592	90,379	5,877,067	2,011,282
2020-12-23	$23.77	$20.00	42.0%	12.2%	35.9%	33.5%	44.1%	-4.7%	0.8%	117.1M	-4.37B	-20.1M	0.31	1.34	304,067	94,559	5,875,911	2,050,235
2020-12-24	$23.95	$20.00	40.5%	11.7%	35.9%	31.6%	42.5%	-4.1%	0.8%	142.7M	-4.53B	-19.9M	0.44	1.39	109,197	48,250	5,901,118	2,062,659
2020-12-28	$24.41	$20.00	43.9%	12.7%	33.5%	36.0%	45.8%	-5.3%	0.2%	125.5M	-4.96B	-19.7M	0.36	1.26	353,646	127,825	5,818,530	2,030,974
2020-12-29	$24.38	$20.00	43.5%	12.4%	33.5%	35.4%	44.3%	-4.9%	0.5%	119.0M	-4.88B	-19.5M	0.25	1.22	269,107	66,482	5,870,037	2,100,308
2020-12-30	$24.68	$20.00	45.0%	12.4%	27.7%	37.3%	44.4%	-6.1%	0.5%	126.4M	-5.25B	-19.8M	0.15	1.18	323,296	49,367	5,891,997	2,130,424
2020-12-31	$24.55	$20.00	45.0%	12.2%	27.9%	37.3%	42.9%	-5.3%	0.9%	132.1M	-5.14B	-19.9M	0.39	1.30	237,868	93,383	6,039,916	2,151,795