SLYG Options History — December 2023 In December 2023, SLYG traded between $76.45 and $84.87. ATM implied volatility averaged 23.2%, placing in the 17.0% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 2.8% (HV 20d: 20.4%). Max pain ranged from $76.00 to $80.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 8 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2023-12-01 : Highest Volume — 18 contracts2023-12-21 : Largest IV spike — 35.8% change2023-12-12 : Highest IV Rank — 40.2%2023-12-01 : Largest Expected Move — 7.4%Monthly Statistics Metric Avg Min Max Open Close Price $80.74 $76.45 $84.87 $76.59 $83.91 Max Pain $77.70 $76.00 $80.00 $80.00 $76.00 ATM IV 23.2% 16.3% 35.7% 25.9% 22.4% Expected Move 5.7% 4.3% 7.4% 7.4% 6.4% HV 20d 20.4% 17.4% 24.5% 24.5% 19.6% HV 60d 20.2% 19.3% 21.0% 19.3% 20.6% IV Rank 17.0% 4.1% 40.2% 21.9% 15.4% IV Percentile 47.7% 1.6% 96.4% 71.8% 46.4% Term Structure -1.4% -7.6% 3.2% -7.6% -5.6% VWIV 22.1% 14.3% 27.0% 24.8% 27.0% Skew 25d 0.4% -7.3% 5.1% 4.6% 1.9% Skew 10d -0.3% -10.2% 3.3% 3.0% 0.8% Call IV 25d 17.7% 12.9% 23.2% 18.9% 20.9% Put IV 25d 18.2% 11.9% 23.5% 23.5% 22.8% Bid-Ask Spread % 129.17 106.47 141.71 137.42 134.50 Gamma HHI 0.69 0.26 0.80 0.26 0.58 Net GEX 9.1K 914 12.8K 914 12.8K Net DEX -117.9K -227.5K -8.9K -8.9K -227.5K Net VEX -198 -251 -50 -50 -251 Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 0.00 0.00 0.00 0.00 0.00 Total Volume 1.75 0 18 18 0 Total OI 26.75 7 39 7 39
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 2023-12-01 $76.59 $80.00 25.9% 7.4% 24.5% 21.9% 0.0% 4.6% -7.6% 914 -8.9K -50 0.00 137.42 N/A N/A 18 0 4 3 2023-12-04 $77.50 $78.00 23.6% 5.5% 23.1% 17.7% 0.0% 1.2% 1.2% 8.5K -55.4K -232 0.00 137.26 N/A N/A 0 0 22 3 2023-12-05 $76.51 $78.00 23.4% 5.4% 23.2% 17.3% 0.0% 1.5% 0.1% 8.4K -50.8K -227 0.00 140.36 N/A N/A 0 0 22 3 2023-12-06 $76.45 $78.00 27.9% 5.6% 23.2% 25.6% 0.0% -0.2% -5.7% 7.5K -52.0K -221 0.00 133.90 N/A N/A 0 0 22 3 2023-12-07 $76.91 $78.00 23.1% 5.7% 22.4% 16.8% 0.0% 3.1% -0.4% 8.3K -50.5K -223 0.00 140.29 N/A N/A 0 0 22 3 2023-12-08 $77.63 $78.00 28.7% 5.6% 21.9% 27.2% 0.0% 0.4% -0.4% 8.9K -59.4K -226 0.00 140.02 N/A N/A 0 0 22 3 2023-12-11 $77.91 $78.00 31.8% 5.2% 21.7% 33.0% 0.0% -1.5% 2.5% 10.6K -60.6K -219 0.00 141.71 N/A N/A 0 0 22 3 2023-12-12 $77.94 $78.00 35.7% 4.3% 21.7% 40.2% 0.0% 5.0% 3.2% 11.1K -59.5K -215 0.00 139.10 N/A N/A 0 0 22 3 2023-12-13 $80.36 $78.00 23.4% 6.7% 17.4% 17.3% 24.8% 4.4% -7.4% 9.7K -95.9K -215 0.00 134.37 N/A N/A 6 0 22 3 2023-12-14 $82.34 $78.00 19.2% 5.5% 18.9% 9.5% 0.0% 0.4% 0.7% 12.0K -159.6K -233 0.00 132.94 N/A N/A 0 0 27 3 2023-12-15 $81.80 $78.00 18.5% 5.3% 18.2% 8.2% 0.0% 0.0% 1.2% 12.7K -156.1K -232 0.00 133.55 N/A N/A 0 0 27 3 2023-12-18 $81.77 $78.00 20.5% 5.9% 18.2% 12.0% 0.0% -0.4% -2.5% 10.7K -136.9K -227 0.00 115.63 N/A N/A 0 0 25 3 2023-12-19 $83.49 $78.00 20.1% 5.8% 19.1% 11.2% 0.0% 5.1% -1.5% 9.9K -157.0K -196 0.00 111.76 N/A N/A 0 0 25 3 2023-12-20 $82.42 $78.00 16.3% 4.7% 19.4% 4.1% 0.0% -0.8% -2.1% 9.0K -157.5K -190 0.00 120.74 N/A N/A 0 0 25 3 2023-12-21 $83.19 $78.00 22.2% 6.4% 19.5% 15.0% 0.0% -3.0% -0.9% 9.6K -154.0K -197 0.00 124.84 N/A N/A 0 0 25 3 2023-12-22 $83.79 $78.00 22.7% 6.5% 19.5% 15.9% 14.3% -3.2% -1.2% 8.6K -164.3K -177 0.00 113.68 N/A N/A 0 1 25 3 2023-12-26 $84.75 $76.00 19.2% 5.5% 19.5% 9.4% 0.0% -7.3% 0.6% 8.1K -177.4K -136 0.00 125.84 N/A N/A 1 0 25 4 2023-12-27 $84.87 $76.00 18.9% 5.4% 18.7% 8.9% 0.0% -5.1% -4.1% 7.7K -179.9K -173 0.00 119.00 N/A N/A 0 0 26 4 2023-12-28 $84.69 $76.00 20.9% 6.0% 18.9% 12.6% 27.0% 2.8% 1.5% 7.4K -194.1K -127 0.00 106.47 N/A N/A 9 0 26 4 2023-12-29 $83.91 $76.00 22.4% 6.4% 19.6% 15.4% 0.0% 1.9% -5.6% 12.8K -227.5K -251 0.00 134.50 N/A N/A 0 0 35 4
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