SLYG Options History — September 2022

In September 2022, SLYG traded between $67.60 and $76.47. ATM implied volatility averaged 34.9%, placing in the 33.7% IV rank vs the trailing year. The 30-day expected move averaged 9.3%. IV traded above realized volatility by 8.5% (HV 20d: 26.4%). Max pain ranged from $72.00 to $76.00. Net GEX was positive for 4 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.70.

Notable Days

  • 2022-09-13: Highest Volume — 70 contracts
  • 2022-09-14: Largest IV drop — 44.2% change
  • 2022-09-13: Highest IV Rank — 64.5%
  • 2022-09-27: Largest Expected Move — 11.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$71.86$67.60$76.47$73.79$68.17
Max Pain$74.48$72.00$76.00$74.00$72.00
ATM IV34.9%28.2%50.5%33.5%40.5%
Expected Move9.3%7.6%11.9%9.6%11.6%
HV 20d26.4%24.1%27.5%27.5%26.9%
HV 60d25.9%24.3%28.9%28.9%25.9%
IV Rank33.7%20.4%64.5%31.6%44.3%
IV Percentile71.7%40.9%98.4%73.8%92.5%
Term Structure-2.1%-13.1%6.3%-6.8%-2.4%
VWIV29.4%25.4%34.5%28.6%27.4%
Skew 25d7.9%-2.0%15.9%4.0%11.9%
Skew 10d9.9%0.1%23.9%7.2%15.0%
Call IV 25d26.0%17.8%41.1%22.3%34.8%
Put IV 25d33.9%22.4%46.8%26.3%46.8%
Bid-Ask Spread %113.78102.90129.79127.42115.20
Gamma HHI0.450.270.730.280.67
Net GEX-5.1K-10.3K2.0K-5.6K-6.5K
Net DEX68.7K-11.7K155.2K38.6K128.6K
Net VEX-305-441-138-398-374
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.700.000.970.600.94
Total Volume30.619070068
Total OI80.9052910810266

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2022-09-01$73.79$74.0033.5%9.6%27.5%31.6%0.0%4.0%-6.8%-5.6K38.6K-3980.00127.42N/AN/A003864
2022-09-02$73.20$74.0030.4%8.7%27.5%25.6%0.0%-2.0%-13.1%-8.0K73.9K-4410.00129.79N/AN/A003864
2022-09-06$72.64$76.0039.5%8.6%27.2%42.7%28.6%9.2%-4.5%-10.2K79.3K-3600.60106.71N/AN/A40243864
2022-09-07$73.69$76.0034.0%8.9%26.8%31.9%29.7%13.7%-0.6%-10.3K50.9K-3690.60115.09N/AN/A40243864
2022-09-08$74.31$76.0034.2%9.0%24.3%32.3%0.0%15.8%-2.5%-5.8K37.4K-3510.00113.04N/AN/A003864
2022-09-09$75.84$76.0028.3%8.6%25.7%20.6%0.0%15.2%-4.2%-1.3K-809-2940.00112.69N/AN/A603864
2022-09-12$76.47$76.0038.7%7.6%24.7%41.1%0.0%9.3%-4.2%-597-3.5K-2210.00102.90N/AN/A004464
2022-09-13$73.55$76.0050.5%7.8%27.5%64.5%25.7%8.0%-1.3%-9.1K62.2K-2400.52117.22N/AN/A46244364
2022-09-14$73.47$76.0028.2%8.1%27.3%20.4%0.0%10.6%5.8%-7.7K36.2K-2590.00109.47N/AN/A004364
2022-09-15$72.95$76.0032.2%9.2%27.3%28.3%0.0%-1.5%-3.7%-9.2K50.2K-2210.00116.93N/AN/A004364
2022-09-16$72.26$76.0030.0%8.6%27.2%24.1%31.4%14.5%4.1%1.4K73.4K-1380.52104.54N/AN/A46244364
2022-09-19$72.93$76.0030.9%8.9%27.3%25.9%0.0%-0.8%-6.0%1.6K1.1K-1430.00117.63N/AN/A00263
2022-09-20$72.37$76.0037.0%10.6%26.3%37.9%0.0%1.7%-7.4%2.0K-3.1K-1680.00108.27N/AN/A00263
2022-09-21$71.44$76.0028.7%8.2%26.3%21.5%34.5%5.9%6.3%1.9K-11.7K-2120.00115.52N/AN/A030323
2022-09-22$70.16$72.0036.0%10.3%26.6%35.8%0.0%5.5%-5.2%-6.8K114.7K-4360.00113.03N/AN/A003233
2022-09-23$68.41$72.0035.3%10.1%26.0%34.5%0.0%7.5%2.6%-6.0K143.6K-3730.00116.69N/AN/A003233
2022-09-26$67.71$72.0034.9%10.0%24.1%33.6%33.2%11.0%3.7%-7.3K135.6K-3490.97109.76N/AN/A34333233
2022-09-27$67.60$72.0041.4%11.9%24.1%46.1%27.7%2.5%-9.3%-5.4K147.3K-3460.94109.29N/AN/A35333233
2022-09-28$69.95$72.0035.3%10.1%26.7%34.0%30.3%15.9%-1.1%-7.1K132.8K-3950.94114.42N/AN/A35333333
2022-09-29$68.16$72.0033.9%9.7%27.5%31.1%25.4%7.5%6.0%-6.3K155.2K-3230.94113.84N/AN/A35333333
2022-09-30$68.17$72.0040.5%11.6%26.9%44.3%27.4%11.9%-2.4%-6.5K128.6K-3740.94115.20N/AN/A35333333