SLYG Options History — July 2021 In July 2021, SLYG traded between $83.31 and $89.17. ATM implied volatility averaged 22.7%. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.4% (HV 20d: 18.3%). Max pain ranged from $83.00 to $88.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.20.
Notable Days 2021-07-02 : Highest Volume — 25 contracts2021-07-14 : Largest IV drop — 39.4% change2021-07-19 : Largest Expected Move — 7.6%Monthly Statistics Metric Avg Min Max Open Close Price $86.90 $83.31 $89.17 $89.17 $88.49 Max Pain $86.76 $83.00 $88.00 $83.00 $87.00 ATM IV 22.7% 16.0% 33.2% 17.4% 19.5% Expected Move 5.9% 4.6% 7.6% 5.0% 5.6% HV 20d 18.3% 13.8% 22.9% 14.2% 22.8% HV 60d 18.8% 17.6% 19.7% 18.3% 19.6% Term Structure 1.1% -4.5% 4.4% 2.2% 3.6% VWIV 18.5% 13.0% 23.1% 21.5% 13.0% Skew 25d 6.2% 0.1% 13.5% 4.2% 3.4% Skew 10d 7.5% 1.2% 16.6% 3.6% 1.2% Call IV 25d 15.8% 11.6% 19.0% 13.1% 15.7% Put IV 25d 22.1% 17.3% 30.1% 17.3% 19.1% Bid-Ask Spread % 135.90 125.43 147.93 134.87 137.60 Gamma HHI 0.29 0.22 0.34 0.26 0.31 Net GEX 13.5K 7.3K 18.3K 16.9K 15.8K Net DEX -92.8K -147.6K -37.0K -147.6K -119.6K Net VEX -593 -684 -502 -561 -586 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.20 0.00 1.50 0.00 0.00 Total Volume 2.524 0 25 0 2 Total OI 45.333 41 52 41 44
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 Wall Put Wall Call Vol Put Vol Call OI Put OI 2021-07-01 $89.17 $83.00 17.4% 5.0% 14.2% 0.0% 0.0% 4.2% 2.2% 16.9K -147.6K -561 0.00 134.87 N/A N/A 0 0 36 5 2021-07-02 $88.46 $83.00 21.9% 6.3% 14.5% 0.0% 0.0% 2.7% -4.5% 16.7K -134.9K -553 0.00 133.70 N/A N/A 25 0 36 5 2021-07-06 $87.60 $88.00 26.0% 5.7% 14.6% 0.0% 0.0% 8.9% 1.1% 14.8K -109.2K -674 0.00 134.07 N/A N/A 0 0 41 5 2021-07-07 $87.31 $88.00 22.6% 5.7% 13.8% 0.0% 0.0% 7.6% 2.2% 14.6K -114.7K -676 0.00 135.23 N/A N/A 0 0 41 5 2021-07-08 $86.11 $88.00 29.9% 5.9% 14.2% 0.0% 21.5% 7.7% 1.5% 12.7K -82.3K -621 0.00 136.59 N/A N/A 1 0 41 5 2021-07-09 $88.11 $87.00 21.8% 5.5% 16.2% 0.0% 17.0% 5.7% 2.5% 16.7K -124.2K -684 0.00 131.56 N/A N/A 2 0 42 5 2021-07-12 $88.31 $87.00 26.4% 6.1% 15.9% 0.0% 0.0% 3.0% 0.6% 16.1K -128.2K -654 0.00 138.59 N/A N/A 0 0 41 5 2021-07-13 $87.08 $87.00 33.2% 5.1% 16.7% 0.0% 15.7% 8.8% 4.4% 18.3K -109.6K -623 0.33 128.29 N/A N/A 6 2 41 5 2021-07-14 $85.83 $87.00 20.1% 5.8% 17.4% 0.0% 0.0% 4.1% 2.3% 14.9K -93.9K -654 0.00 135.75 N/A N/A 0 0 45 7 2021-07-15 $85.13 $87.00 24.1% 6.9% 17.5% 0.0% 0.0% 13.5% -1.7% 12.2K -65.3K -600 0.00 140.96 N/A N/A 0 0 45 7 2021-07-16 $84.41 $87.00 20.6% 5.9% 17.5% 0.0% 0.0% 6.2% -1.3% 9.6K -63.2K -581 0.00 125.43 N/A N/A 0 0 45 7 2021-07-19 $83.31 $87.00 26.6% 7.6% 16.4% 0.0% 23.1% 11.7% -0.4% 7.3K -37.0K -502 1.50 127.08 N/A N/A 2 3 39 6 2021-07-20 $86.52 $87.00 24.6% 7.1% 21.0% 0.0% 20.9% 11.2% 3.2% 9.3K -55.6K -539 0.00 133.31 N/A N/A 2 0 37 7 2021-07-21 $87.25 $87.00 17.0% 4.9% 21.0% 0.0% 0.0% 6.9% 1.7% 11.2K -76.2K -580 0.00 147.93 N/A N/A 0 0 37 7 2021-07-22 $85.92 $87.00 23.1% 6.6% 21.6% 0.0% 0.0% 6.4% -0.3% 9.9K -66.0K -583 0.00 131.84 N/A N/A 0 0 37 7 2021-07-23 $86.74 $87.00 22.1% 6.3% 21.5% 0.0% 0.0% 3.4% 0.4% 10.5K -69.3K -564 0.00 144.86 N/A N/A 0 0 37 7 2021-07-26 $87.03 $87.00 17.6% 5.0% 21.4% 0.0% 0.0% 0.1% 2.0% 13.6K -80.0K -549 0.00 136.66 N/A N/A 2 0 37 5 2021-07-27 $86.11 $87.00 23.9% 6.8% 21.6% 0.0% 13.0% 8.3% -0.6% 11.2K -65.8K -526 0.00 134.23 N/A N/A 5 0 37 5 2021-07-28 $87.49 $87.00 22.3% 6.4% 22.5% 0.0% 0.0% 3.1% 2.3% 13.5K -94.9K -564 0.00 137.73 N/A N/A 0 0 39 5 2021-07-29 $88.47 $87.00 16.0% 4.6% 22.9% 0.0% 0.0% 4.2% 2.4% 17.9K -110.8K -575 0.00 147.57 N/A N/A 1 0 39 5 2021-07-30 $88.49 $87.00 19.5% 5.6% 22.8% 0.0% 0.0% 3.4% 3.6% 15.8K -119.6K -586 0.00 137.60 N/A N/A 0 2 39 5
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