SLV Options History — July 2009

In July 2009, SLV traded between $12.50 and $13.84. ATM implied volatility averaged 30.7%, placing in the 20.1% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded above realized volatility by 3.9% (HV 20d: 26.8%). Max pain ranged from $13.00 to $14.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.47.

Notable Days

2009-07-31: Highest Volume — 39,176 contracts
2009-07-13: Largest IV spike — 97.8% change
2009-07-13: Highest IV Rank — 33.2%
2009-07-06: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$13.19	$12.50	$13.84	$13.55	$13.70
Max Pain	$13.09	$13.00	$14.00	$14.00	$13.00
ATM IV	30.7%	17.1%	34.2%	30.6%	30.0%
Expected Move	9.2%	8.1%	10.3%	8.8%	8.6%
HV 20d	26.8%	22.7%	35.5%	35.5%	26.1%
HV 60d	33.1%	31.0%	35.0%	34.3%	31.2%
IV Rank	20.1%	0.0%	33.2%	0.0%	25.6%
IV Percentile	3.0%	0.0%	8.7%	0.0%	1.9%
Term Structure	2.4%	-0.2%	4.8%	3.9%	2.3%
VWIV	32.5%	28.5%	36.2%	31.2%	30.7%
Skew 25d	-0.2%	-4.1%	8.1%	8.1%	1.6%
Skew 10d	0.9%	-13.2%	24.7%	24.7%	-5.3%
Call IV 25d	33.7%	28.2%	38.0%	28.2%	31.6%
Put IV 25d	33.4%	27.2%	38.0%	36.3%	33.2%
Bid-Ask Spread %	13.60	6.56	23.26	8.34	10.06
Gamma HHI	0.15	0.14	0.17	0.15	0.17
Net GEX	3.1M	1.8M	5.0M	2.8M	4.0M
Net DEX	-56.4M	-123.1M	10.8M	-77.5M	-107.7M
Net VEX	-1.9M	-2.1M	-1.8M	-2.1M	-2.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.47	0.16	1.59	0.17	0.57
Total Volume	16,710.773	5,548	39,176	18,157	39,176
Total OI	832,761.773	733,614	915,031	859,433	781,180

Daily Data (22 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 Vol	Put Vol	Call OI	Put OI
2009-07-01	$13.55	$14.00	30.6%	8.8%	35.5%	0.0%	31.2%	8.1%	3.9%	2.8M	-77.5M	-2.1M	0.17	8.34	15,551	2,606	549,511	309,922
2009-07-02	$13.16	$14.00	33.6%	9.6%	33.5%	8.3%	35.1%	1.1%	0.8%	2.5M	-46.2M	-2.0M	0.20	6.56	22,726	4,530	555,110	309,714
2009-07-06	$13.10	$13.00	34.2%	10.3%	31.3%	9.7%	36.2%	-0.0%	1.7%	2.6M	-37.9M	-1.9M	0.91	23.26	7,181	6,548	565,380	310,376
2009-07-07	$12.89	$13.00	30.3%	10.3%	31.3%	0.0%	36.2%	0.2%	2.5%	2.4M	-20.0M	-1.9M	0.53	13.48	16,261	8,567	568,611	310,085
2009-07-08	$12.69	$13.00	32.7%	10.1%	30.0%	6.5%	36.0%	-1.3%	2.2%	2.0M	2.4M	-1.8M	1.59	16.70	11,123	17,707	577,909	315,075
2009-07-09	$12.67	$13.00	30.4%	9.8%	30.0%	0.2%	35.9%	-0.8%	1.0%	2.2M	3.5M	-1.8M	0.27	18.82	16,585	4,541	579,798	308,200
2009-07-10	$12.50	$13.00	17.1%	9.9%	29.4%	0.0%	30.4%	-2.4%	1.1%	1.8M	10.8M	-1.8M	0.45	16.84	8,292	3,748	589,602	311,108
2009-07-13	$12.66	$13.00	33.8%	10.3%	29.0%	33.2%	35.0%	-1.5%	-0.2%	2.4M	4.8M	-1.8M	0.51	12.35	14,201	7,208	593,279	310,877
2009-07-14	$12.72	$13.00	32.9%	9.4%	22.7%	31.4%	33.1%	-2.3%	3.4%	2.9M	-9.1M	-1.9M	0.64	10.06	6,004	3,859	597,465	312,395
2009-07-15	$13.06	$13.00	33.7%	9.4%	24.6%	32.9%	33.9%	-2.7%	3.3%	4.1M	-45.3M	-1.9M	0.19	13.86	9,522	1,849	600,323	312,124
2009-07-16	$13.09	$13.00	32.3%	9.3%	24.2%	30.2%	33.7%	-1.5%	2.2%	5.0M	-47.5M	-1.9M	0.16	14.19	12,352	1,977	602,681	312,350
2009-07-17	$13.17	$13.00	31.6%	9.0%	24.3%	28.8%	34.6%	-3.4%	4.8%	5.0M	-60.9M	-1.9M	0.30	12.26	9,762	2,906	601,435	308,101
2009-07-20	$13.45	$13.00	31.8%	9.1%	25.7%	29.2%	31.9%	-1.3%	2.0%	2.9M	-86.2M	-2.0M	0.41	20.64	14,194	5,816	497,002	236,612
2009-07-21	$13.33	$13.00	30.8%	8.8%	23.2%	27.3%	31.7%	0.6%	2.4%	2.8M	-76.0M	-1.9M	0.24	17.44	10,075	2,429	504,142	241,199
2009-07-22	$13.45	$13.00	30.9%	8.8%	23.4%	27.4%	30.8%	1.0%	1.9%	3.1M	-98.5M	-2.0M	0.34	9.47	8,615	2,920	509,063	242,032
2009-07-23	$13.52	$13.00	30.3%	8.7%	23.4%	26.2%	30.2%	0.8%	3.6%	3.5M	-98.9M	-2.0M	0.28	8.97	7,175	2,000	513,617	244,257
2009-07-24	$13.66	$13.00	28.2%	8.1%	23.5%	22.1%	28.5%	1.9%	4.7%	3.8M	-108.0M	-2.0M	0.48	11.68	3,759	1,789	516,806	245,269
2009-07-27	$13.84	$13.00	30.8%	8.8%	23.8%	27.3%	31.1%	-1.7%	1.4%	4.2M	-123.1M	-2.0M	0.19	15.39	15,043	2,876	517,906	246,501
2009-07-28	$13.52	$13.00	29.1%	8.3%	24.5%	23.8%	29.2%	-4.1%	3.3%	3.5M	-94.0M	-2.0M	0.33	12.86	6,887	2,239	518,712	247,190
2009-07-29	$13.12	$13.00	30.7%	8.8%	25.7%	27.0%	29.3%	0.1%	3.0%	2.5M	-56.4M	-1.9M	0.98	11.71	10,124	9,954	521,223	248,005
2009-07-30	$13.25	$13.00	30.3%	8.7%	25.5%	26.2%	30.9%	2.5%	2.4%	2.8M	-69.2M	-1.9M	0.67	14.28	4,156	2,804	523,356	255,256
2009-07-31	$13.70	$13.00	30.0%	8.6%	26.1%	25.6%	30.7%	1.6%	2.3%	4.0M	-107.7M	-2.0M	0.57	10.06	24,946	14,230	524,695	256,485