SLYG Options History — May 2021 In May 2021, SLYG traded between $82.41 and $87.94. ATM implied volatility averaged 25.3%. The 30-day expected move averaged 7.0%. IV traded above realized volatility by 3.7% (HV 20d: 21.6%). Max pain ranged from $82.00 to $90.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 9 of 20 days. Put/call ratio averaged 0.22.
Notable Days 2021-05-03 : Highest Volume — 5 contracts2021-05-11 : Largest IV spike — 41.2% change2021-05-12 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $85.92 $82.41 $87.94 $87.94 $87.47 Max Pain $83.50 $82.00 $90.00 $90.00 $86.00 ATM IV 25.3% 15.6% 42.0% 25.0% 18.9% Expected Move 7.0% 4.5% 9.1% 7.2% 5.4% HV 20d 21.6% 19.2% 23.9% 19.2% 21.6% Term Structure -0.5% -6.9% 4.6% -0.8% 2.2% VWIV 21.5% 15.9% 30.7% 30.7% 15.9% Skew 25d 6.9% 2.7% 14.5% 4.8% 3.2% Skew 10d 6.5% 1.3% 15.2% 6.4% 4.5% Call IV 25d 18.9% 14.7% 22.7% 19.2% 14.7% Put IV 25d 25.8% 17.9% 34.0% 24.0% 17.9% Bid-Ask Spread % 122.59 105.76 139.74 135.18 129.79 Gamma HHI 0.20 0.15 0.33 0.33 0.20 Net GEX 1.4K -321 3.3K 1.6K 646 Net DEX -881 -11.9K 10.1K -11.9K -6.0K Net VEX -85 -108 -52 -52 -108 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.22 0.00 0.67 0.67 0.00 Total Volume 0.5 0 5 5 0 Total OI 10.35 6 11 6 10
Daily Data (20 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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-05-03 $87.94 $90.00 25.0% 7.2% 0.0% 0.0% 30.7% 4.8% -0.8% 1.6K -11.9K -52 0.67 135.18 N/A N/A 3 2 4 2 2021-05-04 $86.63 $89.00 26.9% 7.7% 0.0% 0.0% 0.0% 5.2% -3.0% 2.4K -8.2K -108 0.00 139.74 N/A N/A 0 0 7 4 2021-05-05 $86.54 $89.00 26.7% 7.7% 0.0% 0.0% 0.0% 5.4% -3.3% 2.6K -7.5K -106 0.00 139.33 N/A N/A 0 0 7 4 2021-05-06 $86.40 $82.00 28.6% 7.4% 0.0% 0.0% 0.0% 3.6% -1.0% 2.4K -4.9K -101 0.00 115.56 N/A N/A 0 0 7 4 2021-05-07 $87.57 $82.00 21.2% 6.4% 19.2% 0.0% 0.0% 10.5% 1.4% 3.3K -7.3K -98 0.00 119.22 N/A N/A 0 0 7 4 2021-05-10 $85.72 $82.00 29.7% 7.3% 20.4% 0.0% 0.0% 7.2% -0.6% 2.1K -6.1K -93 0.00 116.83 N/A N/A 0 0 7 4 2021-05-11 $84.98 $82.00 42.0% 8.4% 19.9% 0.0% 0.0% 9.8% -2.0% 1.3K 2.7K -85 0.00 118.29 N/A N/A 0 0 7 4 2021-05-12 $82.41 $82.00 31.9% 9.1% 22.1% 0.0% 0.0% 14.5% -4.7% 589 8.4K -75 0.00 109.20 N/A N/A 0 0 7 4 2021-05-13 $84.32 $82.00 26.5% 7.6% 23.6% 0.0% 0.0% 13.2% -0.5% 1.2K 4.3K -78 0.00 113.67 N/A N/A 0 0 7 4 2021-05-14 $85.74 $82.00 26.8% 7.7% 23.9% 0.0% 0.0% 10.7% 1.7% 1.8K 2.0K -77 0.00 105.76 N/A N/A 0 0 7 4 2021-05-17 $85.70 $82.00 22.2% 6.4% 23.2% 0.0% 0.0% 8.4% 1.5% 2.1K 2.9K -70 0.00 121.88 N/A N/A 0 0 7 4 2021-05-18 $85.52 $82.00 26.4% 7.6% 22.2% 0.0% 0.0% 10.0% -6.9% 1.7K 3.4K -70 0.00 113.71 N/A N/A 0 0 7 4 2021-05-19 $84.34 $82.00 25.2% 7.2% 21.3% 0.0% 0.0% 8.9% 1.4% 337 10.1K -61 0.00 116.88 N/A N/A 0 0 7 4 2021-05-20 $85.23 $82.00 22.8% 6.5% 21.6% 0.0% 0.0% 7.4% 2.6% 922 7.2K -62 0.00 123.12 N/A N/A 0 0 7 4 2021-05-21 $85.37 $82.00 25.6% 7.3% 20.9% 0.0% 0.0% 3.3% -0.8% -321 7.5K -60 0.00 126.83 N/A N/A 3 0 7 4 2021-05-24 $86.11 $82.00 21.8% 6.3% 21.0% 0.0% 18.1% 2.7% 0.2% 757 -2.4K -98 0.00 120.48 N/A N/A 1 0 5 4 2021-05-25 $85.67 $82.00 23.9% 6.9% 21.0% 0.0% 0.0% 2.8% -2.7% 686 -2.2K -103 0.00 129.88 N/A N/A 0 0 5 4 2021-05-26 $87.04 $82.00 15.6% 4.5% 21.9% 0.0% 15.9% 3.5% 4.6% 1.4K -4.8K -95 0.00 125.60 N/A N/A 0 1 5 4 2021-05-27 $87.77 $86.00 18.1% 5.2% 22.1% 0.0% 0.0% 3.0% 0.5% 402 -4.9K -106 0.00 130.81 N/A N/A 0 0 5 5 2021-05-28 $87.47 $86.00 18.9% 5.4% 21.6% 0.0% 0.0% 3.2% 2.2% 646 -6.0K -108 0.00 129.79 N/A N/A 0 0 5 5
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