SLYG Options History — November 2021

In November 2021, SLYG traded between $89.29 and $96.26. ATM implied volatility averaged 22.9%, placing in the 27.6% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 7.1% (HV 20d: 15.8%). Max pain ranged from $89.00 to $90.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.98.

Notable Days

2021-11-08: Highest Volume — 24 contracts
2021-11-26: Largest IV spike — 64.5% change
2021-11-30: Highest IV Rank — 72.1%
2021-11-30: Largest Expected Move — 9.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$94.10	$89.29	$96.26	$92.52	$89.29
Max Pain	$89.25	$89.00	$90.00	$89.00	$90.00
ATM IV	22.9%	19.2%	34.6%	19.4%	34.6%
Expected Move	6.4%	5.5%	9.9%	5.6%	9.9%
HV 20d	15.8%	13.7%	19.1%	13.7%	18.4%
HV 60d	16.2%	15.0%	16.9%	16.0%	16.6%
IV Rank	27.6%	13.9%	72.1%	14.5%	72.1%
IV Percentile	54.1%	27.7%	96.8%	31.9%	96.8%
Term Structure	0.2%	-5.9%	2.8%	2.8%	-5.3%
VWIV	26.2%	18.8%	33.3%	18.8%	33.1%
Skew 25d	2.4%	-3.1%	6.4%	2.8%	5.8%
Skew 10d	4.5%	0.8%	11.4%	5.4%	8.1%
Call IV 25d	17.9%	14.0%	24.9%	15.3%	24.0%
Put IV 25d	20.3%	17.0%	29.8%	18.1%	29.8%
Bid-Ask Spread %	127.81	119.90	137.32	136.35	120.77
Gamma HHI	0.50	0.28	0.73	0.36	0.30
Net GEX	2.4K	-769	5.0K	5.0K	-225
Net DEX	-43.3K	-77.4K	16.6K	-64.0K	14.0K
Net VEX	-153	-204	-94	-193	-98
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.98	0.80	1.20	0.83	0.80
Total Volume	18.619	8	24	22	9
Total OI	23.095	5	31	31	6

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
2021-11-01	$92.52	$89.00	19.4%	5.6%	13.7%	14.5%	18.8%	2.8%	2.8%	5.0K	-64.0K	-193	0.83	136.35	N/A	N/A	12	10	13	18
2021-11-02	$92.46	$89.00	22.9%	6.6%	13.8%	27.8%	23.7%	-3.1%	-1.5%	3.8K	-60.0K	-204	0.83	137.32	N/A	N/A	12	10	13	18
2021-11-03	$94.45	$89.00	22.2%	6.4%	14.7%	25.3%	22.1%	5.8%	1.6%	3.3K	-77.4K	-178	0.83	130.10	N/A	N/A	12	10	13	18
2021-11-04	$94.31	$0.00	22.6%	5.9%	14.2%	26.6%	0.0%	1.9%	0.6%	3.3K	-58.6K	-148	0.83	125.98	N/A	N/A	12	10	10	18
2021-11-05	$96.01	$0.00	20.8%	5.8%	14.6%	19.8%	0.0%	4.7%	0.4%	3.0K	-72.3K	-119	0.83	122.79	N/A	N/A	12	10	10	18
2021-11-08	$96.26	$0.00	24.4%	6.0%	14.2%	33.3%	0.0%	0.2%	0.4%	2.7K	-71.4K	-119	1.00	124.25	N/A	N/A	12	12	10	18
2021-11-09	$96.06	$0.00	24.8%	6.0%	14.3%	35.0%	0.0%	1.7%	1.2%	2.4K	-61.2K	-173	1.00	125.79	N/A	N/A	12	12	10	20
2021-11-10	$94.81	$0.00	23.0%	6.6%	15.7%	28.1%	0.0%	1.5%	-0.4%	3.0K	-54.2K	-180	1.20	119.90	N/A	N/A	10	12	10	20
2021-11-11	$95.48	$0.00	20.7%	5.9%	15.4%	19.5%	0.0%	3.2%	-0.2%	2.7K	-58.4K	-171	1.09	125.58	N/A	N/A	11	12	10	20
2021-11-12	$95.82	$0.00	20.8%	6.0%	15.3%	19.9%	0.0%	3.0%	0.4%	3.0K	-66.0K	-183	1.09	126.96	N/A	N/A	11	12	11	20
2021-11-15	$95.39	$0.00	19.2%	5.5%	15.5%	13.9%	0.0%	-0.7%	2.4%	3.5K	-66.3K	-175	1.09	128.72	N/A	N/A	11	12	11	20
2021-11-16	$95.95	$0.00	19.8%	5.7%	15.5%	16.1%	0.0%	2.7%	2.1%	3.0K	-69.9K	-168	1.09	127.45	N/A	N/A	11	12	11	20
2021-11-17	$95.15	$0.00	19.4%	5.6%	16.1%	14.4%	0.0%	1.2%	2.5%	3.8K	-65.7K	-170	1.09	129.55	N/A	N/A	11	12	11	20
2021-11-18	$94.51	$0.00	19.4%	5.6%	16.5%	14.6%	0.0%	1.4%	1.9%	4.9K	-62.7K	-166	1.09	127.17	N/A	N/A	11	12	11	18
2021-11-19	$93.99	$0.00	22.2%	6.4%	16.7%	25.0%	0.0%	2.5%	0.0%	4.9K	-49.3K	-160	1.09	130.02	N/A	N/A	11	12	10	18
2021-11-22	$94.67	$0.00	20.7%	5.9%	16.7%	19.5%	0.0%	3.6%	1.3%	299	-6.6K	-155	1.00	125.28	N/A	N/A	4	4	4	4
2021-11-23	$93.99	$0.00	22.7%	6.5%	16.9%	27.1%	0.0%	1.4%	-0.1%	307	-4.3K	-155	1.00	129.38	N/A	N/A	4	4	4	4
2021-11-24	$93.73	$0.00	19.3%	5.5%	15.6%	14.2%	0.0%	1.5%	2.4%	-769	13.0K	-100	1.00	133.10	N/A	N/A	4	4	1	4
2021-11-26	$90.73	$0.00	31.8%	9.1%	19.1%	61.4%	0.0%	2.5%	-5.9%	-731	16.6K	-96	1.00	129.13	N/A	N/A	4	4	1	4
2021-11-29	$90.60	$0.00	29.3%	8.4%	19.1%	52.1%	33.3%	6.4%	-3.3%	-733	16.1K	-94	0.80	128.40	N/A	N/A	5	4	1	4
2021-11-30	$89.29	$90.00	34.6%	9.9%	18.4%	72.1%	33.1%	5.8%	-5.3%	-225	14.0K	-98	0.80	120.77	N/A	N/A	5	4	2	4