SLV Options History — November 2009

In November 2009, SLV traded between $16.16 and $18.52. ATM implied volatility averaged 35.4%, placing in the 36.3% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded above realized volatility by 0.8% (HV 20d: 34.6%). Max pain ranged from $16.00 to $17.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.49.

Notable Days

2009-11-16: Highest Volume — 110,809 contracts
2009-11-27: Largest IV spike — 7.9% change
2009-11-03: Highest IV Rank — 42.8%
2009-11-03: Largest Expected Move — 11.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.61	$16.16	$18.52	$16.16	$18.15
Max Pain	$16.80	$16.00	$17.00	$16.00	$17.00
ATM IV	35.4%	32.3%	38.6%	37.5%	35.7%
Expected Move	10.2%	9.3%	11.1%	10.8%	10.2%
HV 20d	34.6%	30.4%	38.3%	32.7%	30.4%
HV 60d	32.2%	30.8%	33.5%	32.2%	31.4%
IV Rank	36.3%	30.3%	42.8%	40.6%	37.0%
IV Percentile	25.4%	8.2%	48.2%	41.0%	28.0%
Term Structure	1.0%	-0.1%	3.4%	0.8%	1.4%
VWIV	36.5%	33.5%	39.7%	39.2%	36.6%
Skew 25d	0.3%	-0.6%	1.8%	1.1%	0.7%
Skew 10d	1.4%	-1.7%	4.2%	2.1%	2.9%
Call IV 25d	36.6%	33.3%	40.2%	38.1%	36.2%
Put IV 25d	36.9%	34.1%	40.1%	39.2%	36.9%
Bid-Ask Spread %	4.72	3.51	6.14	5.21	4.27
Gamma HHI	0.18	0.13	0.24	0.13	0.23
Net GEX	11.6M	4.3M	15.8M	4.3M	14.8M
Net DEX	-570.3M	-756.2M	-274.1M	-274.1M	-624.7M
Net VEX	-2.9M	-3.0M	-2.7M	-2.9M	-2.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.28	0.97	0.58	0.31
Total Volume	37,690	15,804	110,809	15,804	22,354
Total OI	1,300,162.7	1,218,135	1,404,753	1,228,340	1,264,080

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 Vol	Put Vol	Call OI	Put OI
2009-11-02	$16.16	$16.00	37.5%	10.8%	32.7%	40.6%	39.2%	1.1%	0.8%	4.3M	-274.1M	-2.9M	0.58	5.21	10,032	5,772	702,208	526,132
2009-11-03	$17.00	$16.00	38.6%	11.1%	34.4%	42.8%	39.7%	-0.3%	-0.1%	7.0M	-437.7M	-3.0M	0.28	3.57	35,013	9,758	704,383	528,921
2009-11-04	$17.14	$16.00	37.6%	10.8%	34.3%	40.8%	38.7%	1.8%	0.4%	8.3M	-475.0M	-3.0M	0.55	3.83	22,617	12,541	717,288	531,272
2009-11-05	$17.12	$16.00	35.4%	10.2%	33.8%	36.5%	37.0%	1.2%	1.2%	8.7M	-477.7M	-3.0M	0.97	4.52	22,212	21,572	725,120	535,286
2009-11-06	$17.09	$17.00	34.2%	10.3%	33.8%	33.9%	36.8%	0.2%	0.6%	8.7M	-470.9M	-3.0M	0.29	4.12	18,431	5,305	739,633	551,685
2009-11-09	$17.29	$17.00	35.1%	10.1%	34.0%	35.9%	36.6%	-0.6%	1.1%	10.1M	-517.6M	-2.9M	0.66	5.99	29,325	19,419	742,305	555,004
2009-11-10	$17.03	$17.00	33.9%	10.1%	34.4%	33.4%	35.7%	-0.1%	1.0%	8.8M	-455.0M	-3.0M	0.62	5.27	12,423	7,679	751,359	566,860
2009-11-11	$17.29	$17.00	33.7%	10.1%	34.9%	33.0%	36.0%	-0.2%	0.7%	10.3M	-516.9M	-2.9M	0.43	5.33	26,931	11,510	752,637	570,217
2009-11-12	$16.92	$17.00	35.2%	10.1%	34.2%	36.0%	36.0%	-0.5%	1.1%	7.8M	-430.3M	-3.0M	0.48	4.58	14,678	7,016	758,089	579,052
2009-11-13	$17.15	$17.00	34.6%	9.9%	34.4%	34.8%	35.1%	-0.6%	0.8%	9.3M	-484.6M	-2.9M	0.38	5.18	13,668	5,220	760,399	580,340
2009-11-16	$18.01	$17.00	36.4%	10.4%	38.3%	38.3%	37.5%	1.3%	0.2%	14.2M	-694.8M	-2.8M	0.29	5.95	85,807	25,002	763,490	581,884
2009-11-17	$18.13	$17.00	36.2%	10.4%	37.9%	38.0%	36.9%	-0.1%	0.4%	15.4M	-721.8M	-2.8M	0.43	4.33	28,510	12,334	787,072	589,439
2009-11-18	$18.23	$17.00	36.3%	10.4%	37.8%	38.1%	36.9%	-0.5%	0.3%	15.8M	-748.6M	-2.9M	0.51	5.15	40,862	20,921	795,255	596,317
2009-11-19	$18.26	$17.00	36.1%	10.3%	37.8%	37.7%	36.4%	-0.2%	0.4%	15.8M	-756.2M	-2.9M	0.38	6.14	19,240	7,389	802,853	601,900
2009-11-20	$18.22	$17.00	35.2%	10.1%	37.8%	36.0%	35.7%	-0.4%	1.0%	14.3M	-740.1M	-2.8M	0.45	3.93	22,874	10,347	786,922	598,335
2009-11-23	$18.27	$17.00	35.4%	10.1%	35.1%	36.3%	35.9%	0.6%	0.7%	14.5M	-650.8M	-2.8M	0.63	3.51	27,932	17,469	716,753	501,382
2009-11-24	$18.25	$17.00	32.9%	9.4%	33.1%	31.4%	33.5%	0.9%	2.4%	14.5M	-642.2M	-2.8M	0.68	4.47	15,141	10,363	726,290	512,783
2009-11-25	$18.52	$17.00	32.3%	9.3%	30.5%	30.3%	33.9%	0.8%	3.4%	15.5M	-701.4M	-2.8M	0.50	4.33	29,335	14,556	731,463	513,946
2009-11-27	$17.95	$17.00	34.9%	10.0%	31.8%	35.4%	35.5%	0.3%	2.1%	13.6M	-585.1M	-2.8M	0.43	4.65	22,617	9,625	735,125	519,775
2009-11-30	$18.15	$17.00	35.7%	10.2%	30.4%	37.0%	36.6%	0.7%	1.4%	14.8M	-624.7M	-2.7M	0.31	4.27	17,055	5,299	743,147	520,933