SLYG Options History — January 2022 In January 2022, SLYG traded between $80.05 and $93.78. ATM implied volatility averaged 28.9%, placing in the 42.0% IV rank vs the trailing year. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 6.9% (HV 20d: 22.0%). Max pain ranged from $85.00 to $88.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 4 of 20 days. Put/call ratio averaged 1.63.
Notable Days 2022-01-21 : Highest Volume — 20 contracts2022-01-07 : Largest IV spike — 23.8% change2022-01-25 : Highest IV Rank — 74.8%2022-01-25 : Largest Expected Move — 11.3%Monthly Statistics Metric Avg Min Max Open Close Price $86.80 $80.05 $93.78 $93.12 $82.81 Max Pain $86.94 $85.00 $88.00 $88.00 $85.00 ATM IV 28.9% 21.6% 39.3% 22.2% 31.6% Expected Move 8.1% 6.2% 11.3% 6.4% 9.1% HV 20d 22.0% 19.5% 24.7% 21.7% 24.7% HV 60d 21.2% 19.0% 22.4% 19.0% 22.4% IV Rank 42.0% 18.9% 74.8% 21.0% 50.6% IV Percentile 77.7% 45.6% 96.4% 50.3% 87.5% Term Structure -2.0% -7.1% 0.8% -0.6% -2.2% VWIV 27.1% 20.8% 37.5% 22.6% 29.8% Skew 25d 6.3% -4.0% 21.9% 2.4% 12.9% Skew 10d 5.5% 3.0% 12.4% 4.2% 6.5% Call IV 25d 21.0% 14.9% 29.8% 19.0% 21.9% Put IV 25d 27.3% 19.5% 44.4% 21.4% 34.8% Bid-Ask Spread % 121.98 109.29 135.78 135.78 121.71 Gamma HHI 0.18 0.15 0.23 0.19 0.18 Net GEX -787 -1.3K -204 -835 -816 Net DEX 18.2K 3.7K 34.6K 5.0K 24.6K Net VEX -82 -96 -64 -88 -74 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 1.63 1.00 2.00 2.00 1.43 Total Volume 16.35 15 20 15 17 Total OI 11.05 10 13 10 12
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 2022-01-03 $93.12 $0.00 22.2% 6.4% 21.7% 21.0% 0.0% 2.4% -0.6% -835 5.0K -88 2.00 135.78 N/A N/A 5 10 2 8 2022-01-04 $93.78 $0.00 21.6% 6.2% 19.5% 18.9% 0.0% 3.4% -0.7% -774 3.7K -87 2.00 133.63 N/A N/A 5 10 2 8 2022-01-05 $90.87 $0.00 21.8% 6.2% 21.8% 19.5% 0.0% -4.0% -5.4% -982 8.0K -88 2.00 127.19 N/A N/A 5 10 2 8 2022-01-06 $91.52 $88.00 23.1% 6.6% 21.8% 23.6% 22.6% 6.9% 0.1% -1.1K 10.6K -93 2.00 117.15 N/A N/A 5 10 2 8 2022-01-07 $89.73 $88.00 28.5% 7.1% 22.1% 40.9% 23.3% 2.5% 0.3% -1.1K 12.1K -93 2.00 115.24 N/A N/A 5 10 2 8 2022-01-10 $88.49 $88.00 30.3% 7.6% 22.5% 46.3% 24.3% 5.5% -1.5% -1.3K 18.0K -89 1.67 116.43 N/A N/A 6 10 2 8 2022-01-11 $89.84 $88.00 25.2% 6.5% 23.1% 30.4% 21.6% 7.6% 0.8% -489 10.8K -91 1.67 117.94 N/A N/A 6 10 3 8 2022-01-12 $89.91 $88.00 25.9% 7.4% 22.8% 32.5% 25.4% 5.8% -2.0% -264 9.6K -96 1.67 129.72 N/A N/A 6 10 3 8 2022-01-13 $89.17 $88.00 23.5% 6.7% 22.7% 24.9% 22.8% 1.2% 0.2% -315 10.1K -88 1.67 121.37 N/A N/A 6 10 3 8 2022-01-14 $89.28 $88.00 24.3% 7.0% 21.5% 27.6% 20.8% 5.9% -0.2% -281 12.6K -90 1.43 122.80 N/A N/A 7 10 3 8 2022-01-18 $86.73 $88.00 27.6% 7.9% 23.8% 38.0% 23.4% 1.1% -2.5% -204 14.1K -86 1.43 119.22 N/A N/A 7 10 4 8 2022-01-19 $85.32 $88.00 29.3% 8.4% 23.8% 43.4% 22.3% 1.4% -2.9% -425 21.4K -79 1.25 116.30 N/A N/A 8 10 4 8 2022-01-20 $83.64 $88.00 28.3% 8.1% 22.3% 40.2% 22.8% -3.3% -0.2% -444 25.2K -74 1.25 116.59 N/A N/A 8 10 5 8 2022-01-21 $82.92 $88.00 32.4% 9.3% 21.3% 52.9% 28.5% 3.3% -1.5% -872 29.5K -73 1.00 121.69 N/A N/A 10 10 5 8 2022-01-24 $83.63 $85.00 33.7% 9.7% 21.3% 57.2% 33.4% 21.9% -2.3% -1.3K 26.9K -78 1.67 109.29 N/A N/A 6 10 3 8 2022-01-25 $83.22 $85.00 39.3% 11.3% 20.1% 74.8% 34.9% 12.6% -5.8% -1.1K 27.8K -79 1.67 121.86 N/A N/A 6 10 3 8 2022-01-26 $81.49 $85.00 36.0% 10.3% 20.6% 64.2% 37.5% 16.7% -7.1% -968 26.7K -72 1.67 133.57 N/A N/A 6 10 3 8 2022-01-27 $80.05 $85.00 37.3% 10.7% 20.8% 68.3% 34.0% 12.8% -2.8% -1.1K 32.2K -64 1.67 118.28 N/A N/A 6 10 3 8 2022-01-28 $80.44 $85.00 36.2% 10.4% 21.1% 65.0% 32.9% 9.9% -3.7% -1.2K 34.6K -65 1.43 123.90 N/A N/A 7 10 3 8 2022-01-31 $82.81 $85.00 31.6% 9.1% 24.7% 50.6% 29.8% 12.9% -2.2% -816 24.6K -74 1.43 121.71 N/A N/A 7 10 4 8
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