SLYG Options History — July 2022

In July 2022, SLYG traded between $70.18 and $78.71. ATM implied volatility averaged 34.1%, placing in the 38.0% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 6.1% (HV 20d: 28.0%). Max pain ranged from $72.00 to $80.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.82.

Notable Days

2022-07-29: Highest Volume — 95 contracts
2022-07-12: Largest IV spike — 87.8% change
2022-07-12: Highest IV Rank — 100.0%
2022-07-08: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$73.44	$70.18	$78.71	$71.07	$78.71
Max Pain	$79.60	$72.00	$80.00	$72.00	$80.00
ATM IV	34.1%	22.4%	68.5%	33.9%	22.4%
Expected Move	8.3%	6.4%	10.1%	9.7%	6.4%
HV 20d	28.0%	20.6%	35.3%	34.8%	21.9%
HV 60d	32.7%	32.3%	33.1%	32.7%	32.5%
IV Rank	38.0%	12.4%	100.0%	42.4%	12.4%
IV Percentile	66.0%	27.0%	100.0%	79.0%	27.0%
Term Structure	-3.0%	-16.1%	4.0%	0.8%	4.0%
VWIV	30.4%	22.0%	38.6%	38.6%	25.0%
Skew 25d	6.4%	-3.0%	13.3%	-1.8%	-0.9%
Skew 10d	7.6%	-10.3%	19.9%	-10.3%	4.6%
Call IV 25d	25.8%	16.9%	37.4%	37.4%	26.5%
Put IV 25d	32.2%	24.1%	40.5%	35.6%	25.7%
Bid-Ask Spread %	113.98	102.11	126.36	118.66	113.77
Gamma HHI	0.23	0.17	0.31	0.26	0.18
Net GEX	-7.0K	-11.1K	-2.3K	-2.3K	-9.3K
Net DEX	101.7K	10.4K	151.3K	83.9K	10.4K
Net VEX	-511	-825	-376	-436	-825
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.53	1.27	0.87	0.79
Total Volume	73.6	59	95	73	95
Total OI	90.8	62	154	62	154

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
2022-07-01	$71.07	$72.00	33.9%	9.7%	34.8%	42.4%	38.6%	-1.8%	0.8%	-2.3K	83.9K	-436	0.87	118.66	N/A	N/A	39	34	30	32
2022-07-05	$71.41	$80.00	43.8%	8.5%	34.9%	65.6%	33.9%	11.8%	0.2%	-7.1K	139.1K	-510	1.00	108.06	N/A	N/A	39	39	30	47
2022-07-06	$71.11	$80.00	41.1%	8.4%	34.8%	59.3%	32.7%	7.0%	1.2%	-6.8K	134.2K	-521	1.00	102.11	N/A	N/A	39	39	30	47
2022-07-07	$72.36	$80.00	42.3%	7.7%	35.3%	62.2%	30.3%	7.8%	0.0%	-6.9K	121.7K	-490	1.00	103.52	N/A	N/A	39	39	30	47
2022-07-08	$72.33	$80.00	48.5%	10.1%	35.1%	76.8%	31.2%	7.7%	-4.6%	-5.6K	115.1K	-565	1.00	111.05	N/A	N/A	39	39	30	47
2022-07-11	$71.15	$80.00	36.5%	8.7%	35.0%	48.4%	33.0%	5.3%	-0.9%	-7.0K	127.7K	-444	1.00	102.80	N/A	N/A	39	39	30	47
2022-07-12	$70.62	$80.00	68.5%	8.4%	34.0%	100.0%	33.4%	8.0%	0.5%	-7.3K	137.7K	-430	1.00	103.25	N/A	N/A	39	39	30	47
2022-07-13	$70.79	$80.00	30.7%	8.8%	28.6%	28.2%	32.3%	8.0%	-1.2%	-7.9K	141.7K	-449	1.00	113.95	N/A	N/A	39	39	30	47
2022-07-14	$70.18	$80.00	32.8%	9.4%	28.8%	32.0%	31.9%	13.1%	-4.6%	-8.1K	151.3K	-439	0.54	115.58	N/A	N/A	39	21	30	47
2022-07-15	$71.61	$80.00	31.3%	9.0%	29.3%	29.2%	29.8%	5.5%	-9.9%	-6.7K	138.9K	-471	0.54	117.53	N/A	N/A	39	21	30	49
2022-07-18	$71.45	$80.00	34.4%	9.9%	20.6%	35.1%	32.3%	-3.0%	-8.3%	-7.9K	137.7K	-431	0.55	126.36	N/A	N/A	38	21	28	49
2022-07-19	$74.21	$80.00	32.5%	9.3%	24.0%	31.6%	30.7%	6.8%	-16.1%	-8.0K	92.2K	-494	0.54	119.52	N/A	N/A	39	21	29	49
2022-07-20	$75.57	$80.00	23.3%	6.7%	24.2%	13.9%	24.9%	5.9%	3.0%	-5.7K	60.5K	-376	0.53	120.63	N/A	N/A	40	21	30	49
2022-07-21	$75.89	$80.00	27.1%	7.8%	23.9%	21.3%	26.7%	10.3%	-2.2%	-4.6K	58.3K	-505	1.27	118.23	N/A	N/A	40	51	31	49
2022-07-22	$74.82	$80.00	26.0%	7.5%	24.4%	19.1%	22.0%	6.5%	0.1%	-8.6K	90.2K	-631	0.53	122.20	N/A	N/A	40	21	31	79
2022-07-25	$75.30	$80.00	28.1%	8.0%	23.0%	23.1%	30.3%	10.5%	-3.6%	-11.1K	105.0K	-623	0.53	123.14	N/A	N/A	40	21	31	79
2022-07-26	$75.13	$80.00	23.2%	6.7%	22.5%	13.9%	30.7%	13.3%	-3.4%	-8.2K	88.3K	-620	0.78	103.86	N/A	N/A	40	31	31	79
2022-07-27	$77.24	$80.00	29.5%	8.5%	23.1%	25.8%	32.7%	7.7%	-14.1%	-3.4K	44.9K	-446	1.05	114.59	N/A	N/A	40	42	31	89
2022-07-28	$77.94	$80.00	26.5%	7.6%	22.4%	20.0%	26.5%	-1.4%	-1.2%	-6.7K	55.0K	-522	0.84	120.85	N/A	N/A	50	42	31	110
2022-07-29	$78.71	$80.00	22.4%	6.4%	21.9%	12.4%	25.0%	-0.9%	4.0%	-9.3K	10.4K	-825	0.79	113.77	N/A	N/A	53	42	44	110