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First Advisor

Kenneth Small

Abstract

Volatility is a statistical measure that describes the amount of fluctuation in prices for a given investment; generally, the higher the volatility for an investment, the riskier it is perceived to be. Traders study volatility history so that they can make informed decisions on how to invest capital. The purpose of this article is to analyze implied volatility values, which are derived from the investment's price and are considered the market's estimate of the investment's actual volatility, for silver electronically traded fund (ETF) options in periods of both high and low price movement. In doing so, we desired to see whether or not the general market perception of silver ETF options demonstrated significantly different trends between periods of high and low price movement. Our results demonstrated that implied volatility trends did not show any significant differences between the periods of low and high price movement, and therefore market perception of iShares Silver Trust (SLV) options did not radically change, regardless of the price changes of SLV.

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