SLYG Options History — September 2021 In September 2021, SLYG traded between $86.45 and $91.63. ATM implied volatility averaged 22.5%. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.3% (HV 20d: 17.2%). Max pain ranged from $87.00 to $91.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 1.26.
Notable Days 2021-09-09 : Highest Volume — 42 contracts2021-09-28 : Largest IV spike — 73.5% change2021-09-28 : Largest Expected Move — 9.1%Monthly Statistics Metric Avg Min Max Open Close Price $89.08 $86.45 $91.63 $91.06 $87.61 Max Pain $89.14 $87.00 $91.00 $89.00 $87.00 ATM IV 22.5% 17.3% 31.6% 21.8% 30.6% Expected Move 6.4% 5.0% 9.1% 6.2% 8.8% HV 20d 17.2% 15.1% 18.3% 17.3% 16.6% HV 60d 18.1% 17.5% 18.8% 18.0% 18.8% Term Structure -0.7% -14.3% 7.0% 3.0% -14.3% VWIV 21.3% 13.5% 30.9% 22.5% 17.4% Skew 25d 5.6% 0.2% 13.0% 6.2% 0.2% Skew 10d 5.7% -2.9% 15.6% 4.1% 10.3% Call IV 25d 17.5% 11.7% 36.0% 15.5% 24.9% Put IV 25d 23.1% 16.4% 39.8% 21.7% 25.1% Bid-Ask Spread % 134.27 123.73 151.99 130.21 151.99 Gamma HHI 0.19 0.15 0.23 0.21 0.17 Net GEX 381 -8.6K 12.2K 5.4K 193 Net DEX -11.1K -142.1K 77.7K -90.7K 6.4K Net VEX -461 -533 -396 -476 -463 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.26 0.00 6.00 0.25 0.00 Total Volume 4.905 0 42 5 0 Total OI 60.095 32 89 65 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 2021-09-01 $91.06 $89.00 21.8% 6.2% 17.3% 0.0% 22.5% 6.2% 3.0% 5.4K -90.7K -476 0.25 130.21 N/A N/A 4 1 31 34 2021-09-02 $91.63 $91.00 17.3% 5.0% 17.0% 0.0% 0.0% 7.0% 2.4% 9.8K -136.3K -482 0.00 126.73 N/A N/A 0 1 35 34 2021-09-03 $91.19 $91.00 18.1% 5.6% 16.9% 0.0% 0.0% 7.8% 0.8% 12.2K -142.1K -533 0.00 125.56 N/A N/A 0 0 38 35 2021-09-07 $90.38 $91.00 24.5% 6.0% 17.0% 0.0% 0.0% 6.5% 0.9% 9.4K -103.7K -505 0.00 130.03 N/A N/A 0 0 38 35 2021-09-08 $89.67 $91.00 19.5% 5.6% 17.3% 0.0% 25.6% 4.3% 0.4% 7.0K -65.5K -488 0.00 125.18 N/A N/A 0 5 38 35 2021-09-09 $90.00 $91.00 18.9% 5.4% 17.3% 0.0% 0.0% 9.5% 2.0% 9.3K -81.9K -465 1.10 129.41 N/A N/A 20 22 38 35 2021-09-10 $88.84 $89.00 20.7% 5.9% 17.9% 0.0% 0.0% 0.8% 1.4% 1.3K -10.3K -516 0.00 124.94 N/A N/A 0 0 38 39 2021-09-13 $88.91 $89.00 20.6% 5.9% 17.8% 0.0% 0.0% 6.1% 1.6% 3 -4.0K -427 0.00 131.82 N/A N/A 0 10 37 39 2021-09-14 $87.93 $89.00 24.5% 7.0% 18.1% 0.0% 23.1% 7.5% -0.5% -3.5K 45.7K -397 0.00 123.73 N/A N/A 0 3 37 39 2021-09-15 $88.86 $89.00 25.6% 7.3% 17.4% 0.0% 0.0% 6.2% -3.5% -3.1K 28.2K -518 0.00 139.73 N/A N/A 0 1 37 49 2021-09-16 $88.88 $89.00 20.0% 5.7% 17.4% 0.0% 19.9% 7.1% 0.6% -4.7K 38.4K -462 2.00 131.32 N/A N/A 2 4 37 51 2021-09-17 $88.42 $89.00 20.3% 5.8% 16.8% 0.0% 17.9% 5.6% 0.6% -8.6K 77.7K -396 0.75 134.46 N/A N/A 4 3 37 52 2021-09-20 $86.45 $89.00 28.6% 8.2% 17.8% 0.0% 25.0% 5.0% -2.2% -3.6K 56.2K -423 6.00 125.61 N/A N/A 1 6 11 21 2021-09-21 $86.98 $89.00 28.2% 8.1% 17.2% 0.0% 25.0% 13.0% -4.3% -3.4K 45.9K -472 0.00 145.81 N/A N/A 0 1 13 24 2021-09-22 $88.37 $88.00 19.3% 5.5% 18.1% 0.0% 13.5% 4.6% 5.4% -3.1K 29.6K -460 0.00 129.04 N/A N/A 0 1 14 23 2021-09-23 $89.30 $88.00 17.9% 5.1% 18.3% 0.0% 18.9% 4.1% 3.3% -3.2K 17.3K -450 1.00 131.39 N/A N/A 1 1 14 24 2021-09-24 $89.17 $89.00 17.8% 5.1% 17.8% 0.0% 0.0% 0.9% 2.2% -4.2K 19.1K -459 0.00 137.25 N/A N/A 0 0 14 25 2021-09-27 $90.15 $88.00 18.2% 5.2% 15.1% 0.0% 15.6% 4.8% 7.0% -4.6K -519 -406 0.00 149.53 N/A N/A 3 0 14 24 2021-09-28 $88.39 $88.00 31.6% 9.1% 16.6% 0.0% 30.9% 3.8% -10.4% -2.7K 19.3K -434 0.25 148.41 N/A N/A 4 1 14 24 2021-09-29 $88.46 $88.00 29.5% 8.4% 16.6% 0.0% 17.4% 6.7% -10.4% -1.8K 17.1K -443 0.00 147.53 N/A N/A 4 0 17 24 2021-09-30 $87.61 $87.00 30.6% 8.8% 16.6% 0.0% 0.0% 0.2% -14.3% 193 6.4K -463 0.00 151.99 N/A N/A 0 0 20 24
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