SLYG Options History — December 2021

In December 2021, SLYG traded between $87.28 and $93.27. ATM implied volatility averaged 30.6%, placing in the 51.1% IV rank vs the trailing year. The 30-day expected move averaged 7.9%. IV traded above realized volatility by 7.3% (HV 20d: 23.3%). Max pain ranged from $90.00 to $90.00. Net GEX was positive for 1 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 1.93.

Notable Days

  • 2021-12-15: Highest Volume — 15 contracts
  • 2021-12-15: Largest IV drop — 48.2% change
  • 2021-12-01: Highest IV Rank — 100.0%
  • 2021-12-01: Largest Expected Move — 12.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$90.58$87.28$93.27$88.41$93.01
Max Pain$90.00$90.00$90.00$90.00$90.00
ATM IV30.6%20.6%47.3%43.5%21.3%
Expected Move7.9%5.9%12.5%12.5%6.1%
HV 20d23.3%17.7%27.4%18.6%23.7%
HV 60d18.8%16.7%19.6%16.7%19.2%
IV Rank51.1%15.8%100.0%100.0%18.2%
IV Percentile78.1%35.4%100.0%100.0%44.4%
Term Structure-1.6%-12.5%1.6%-12.5%-1.6%
VWIV38.1%36.9%39.3%39.3%36.9%
Skew 25d8.0%1.0%17.1%10.3%1.0%
Skew 10d6.9%1.5%17.1%1.5%2.2%
Call IV 25d19.7%16.6%27.6%25.9%19.1%
Put IV 25d27.7%20.0%42.0%36.3%20.0%
Bid-Ask Spread %120.60103.98136.16119.49136.16
Gamma HHI0.230.170.380.310.17
Net GEX-1.0K-2.4K49-251-895
Net DEX22.9K5.2K32.7K14.0K6.7K
Net VEX-122-163-90-97-98
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.931.602.501.602.00
Total Volume13.72712151315
Total OI9.318610610

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2021-12-01$88.41$90.0043.5%12.5%18.6%100.0%39.3%10.3%-12.5%-25114.0K-971.60119.49N/AN/A5824
2021-12-02$89.78$90.0038.1%10.9%17.7%80.6%38.0%15.6%-6.9%-93631.0K-1601.60119.72N/AN/A5828
2021-12-03$87.65$90.0042.8%12.3%19.2%97.4%36.9%14.4%-8.8%-87332.5K-1561.60119.08N/AN/A5828
2021-12-06$90.25$0.0037.1%8.9%21.2%77.2%0.0%17.1%-1.7%-86829.8K-1581.60103.98N/AN/A5828
2021-12-07$91.94$0.0033.0%7.7%22.5%62.4%0.0%9.3%-0.2%-84224.1K-1631.60112.73N/AN/A5828
2021-12-08$92.58$0.0032.0%7.0%22.8%58.8%0.0%10.3%-0.0%-90922.2K-1581.60118.69N/AN/A5828
2021-12-09$91.02$0.0031.6%7.4%23.1%57.5%0.0%8.4%-0.2%-75125.8K-1571.60118.41N/AN/A5828
2021-12-10$90.46$0.0033.5%7.6%22.8%64.2%0.0%5.4%-0.3%-87528.1K-1521.60118.66N/AN/A5828
2021-12-13$89.78$0.0040.0%7.4%22.8%87.6%0.0%4.7%-0.9%-71030.7K-1421.60118.91N/AN/A5828
2021-12-14$88.92$0.0047.3%8.1%22.9%100.0%0.0%9.4%-0.6%-71932.7K-1431.60114.91N/AN/A5828
2021-12-15$89.86$0.0024.5%7.0%23.2%28.2%0.0%11.5%-0.5%4931.8K-1312.00112.81N/AN/A51028
2021-12-16$88.12$0.0028.7%8.2%23.9%41.4%0.0%6.6%-1.8%-2.2K30.6K-1052.00110.76N/AN/A51028
2021-12-17$88.73$0.0027.6%7.9%24.1%37.8%0.0%4.4%-0.9%-2.4K29.1K-1002.00119.31N/AN/A51028
2021-12-20$87.28$0.0031.1%8.9%24.6%48.9%0.0%10.8%-1.1%-1.2K25.5K-962.00112.21N/AN/A4816
2021-12-21$89.59$0.0025.6%7.3%26.5%31.6%0.0%11.1%1.4%-1.3K22.2K-992.50116.87N/AN/A41016
2021-12-22$90.91$0.0025.4%7.3%27.2%31.1%0.0%10.0%0.1%-1.3K20.0K-1032.50120.92N/AN/A41018
2021-12-23$91.74$0.0023.2%6.7%27.4%24.2%0.0%5.8%0.2%-1.3K17.7K-1002.50128.70N/AN/A41018
2021-12-27$93.09$0.0023.3%6.7%25.3%24.3%0.0%1.9%-1.8%-1.3K15.2K-932.50134.96N/AN/A41018
2021-12-28$93.19$0.0022.2%6.4%25.3%20.9%0.0%2.7%0.7%-1.1K14.1K-932.50128.02N/AN/A41018
2021-12-29$93.27$0.0020.6%5.9%24.6%15.8%0.0%2.6%0.7%-1.1K14.1K-902.00133.53N/AN/A51018
2021-12-30$93.13$0.0021.0%6.0%24.2%17.1%0.0%2.8%1.6%-8365.2K-952.00134.35N/AN/A51028
2021-12-31$93.01$0.0021.3%6.1%23.7%18.2%0.0%1.0%-1.6%-8956.7K-982.00136.16N/AN/A51028