SLV Options History — December 2009

In December 2009, SLV traded between $16.53 and $18.89. ATM implied volatility averaged 33.1%, placing in the 33.3% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded above realized volatility by 3.9% (HV 20d: 29.2%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 1.02.

Notable Days

2009-12-29: Highest Volume — 202,863 contracts
2009-12-08: Largest IV spike — 10.7% change
2009-12-08: Highest IV Rank — 41.4%
2009-12-09: Largest Expected Move — 10.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$17.29	$16.53	$18.89	$18.78	$16.54
Max Pain	$15.27	$15.00	$17.00	$17.00	$15.00
ATM IV	33.1%	28.6%	37.9%	34.5%	29.2%
Expected Move	9.5%	8.2%	10.7%	9.9%	8.4%
HV 20d	29.2%	25.0%	32.9%	32.0%	25.0%
HV 60d	32.1%	29.8%	33.2%	32.1%	29.8%
IV Rank	33.3%	25.5%	41.4%	34.7%	26.9%
IV Percentile	17.1%	0.8%	50.0%	20.2%	2.0%
Term Structure	2.4%	1.2%	4.0%	1.4%	3.2%
VWIV	34.2%	29.3%	38.0%	35.6%	30.3%
Skew 25d	0.5%	-0.5%	2.9%	1.9%	2.1%
Skew 10d	1.4%	-2.0%	5.6%	3.2%	3.4%
Call IV 25d	34.4%	28.6%	38.7%	35.1%	30.8%
Put IV 25d	35.0%	30.2%	38.6%	37.0%	32.9%
Bid-Ask Spread %	2.82	2.03	4.42	4.42	2.66
Gamma HHI	0.21	0.16	0.27	0.26	0.16
Net GEX	12.0M	3.0M	17.1M	17.1M	7.9M
Net DEX	-469.0M	-781.5M	-298.6M	-758.1M	-298.6M
Net VEX	-2.6M	-2.8M	-2.3M	-2.6M	-2.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.02	0.25	10.44	0.50	0.27
Total Volume	49,515.818	10,049	202,863	53,706	16,500
Total OI	1,348,850.682	1,263,449	1,429,310	1,263,449	1,426,399

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
2009-12-01	$18.78	$17.00	34.5%	9.9%	32.0%	34.7%	35.6%	1.9%	1.4%	17.1M	-758.1M	-2.6M	0.50	4.42	35,770	17,936	742,195	521,254
2009-12-02	$18.89	$17.00	35.4%	10.2%	27.6%	36.4%	37.4%	-0.4%	1.2%	17.0M	-781.5M	-2.7M	0.43	3.83	33,045	14,090	744,585	528,382
2009-12-03	$18.62	$17.00	33.8%	9.7%	28.5%	33.1%	34.9%	1.7%	1.9%	16.7M	-726.0M	-2.6M	0.37	4.11	30,866	11,377	751,759	535,855
2009-12-04	$18.15	$15.00	33.3%	10.0%	30.3%	32.1%	36.7%	-0.3%	2.3%	15.3M	-627.0M	-2.7M	0.25	2.80	55,237	14,000	761,439	541,554
2009-12-07	$17.82	$15.00	34.3%	10.3%	31.2%	34.1%	36.2%	-0.4%	1.9%	14.0M	-556.8M	-2.6M	0.28	2.82	64,291	18,154	766,806	543,659
2009-12-08	$17.30	$15.00	37.9%	10.5%	32.9%	41.4%	37.6%	-0.3%	1.3%	11.1M	-464.4M	-2.8M	0.45	2.46	30,703	13,731	796,170	544,396
2009-12-09	$17.15	$15.00	37.5%	10.7%	32.6%	40.6%	38.0%	-0.1%	1.4%	10.0M	-422.2M	-2.8M	0.54	2.81	29,269	15,943	798,356	547,542
2009-12-10	$17.09	$15.00	36.9%	10.6%	32.2%	39.4%	37.9%	-0.1%	1.9%	10.1M	-419.3M	-2.8M	0.55	3.10	17,449	9,640	811,329	548,211
2009-12-11	$16.87	$15.00	35.9%	10.3%	31.6%	38.5%	37.2%	0.3%	2.7%	8.9M	-365.4M	-2.8M	0.39	2.80	26,315	10,256	816,922	549,990
2009-12-14	$17.08	$15.00	35.9%	10.3%	31.5%	38.5%	36.9%	-0.1%	2.3%	10.6M	-422.0M	-2.7M	0.26	2.63	23,062	5,892	823,902	551,008
2009-12-15	$17.09	$15.00	34.5%	9.9%	25.6%	35.7%	35.5%	-0.3%	3.0%	11.1M	-435.4M	-2.7M	0.53	2.41	25,541	13,458	830,741	551,946
2009-12-16	$17.36	$15.00	33.8%	9.7%	26.3%	34.1%	34.5%	0.0%	3.5%	14.1M	-525.3M	-2.7M	0.53	2.64	22,166	11,746	849,062	556,503
2009-12-17	$16.79	$15.00	33.6%	9.6%	28.3%	33.7%	34.7%	0.5%	3.0%	9.5M	-364.5M	-2.6M	0.78	2.78	38,015	29,521	858,821	559,197
2009-12-18	$16.95	$15.00	32.3%	9.3%	28.6%	33.7%	33.2%	0.1%	4.0%	3.0M	-392.1M	-2.7M	0.82	2.94	22,928	18,869	858,443	570,867
2009-12-21	$16.69	$15.00	30.5%	8.7%	28.9%	29.7%	31.2%	1.2%	2.9%	11.6M	-361.7M	-2.5M	0.35	2.46	24,973	8,759	801,074	511,964
2009-12-22	$16.64	$15.00	30.4%	8.7%	28.8%	29.5%	31.1%	-0.5%	2.5%	11.5M	-357.4M	-2.5M	0.33	2.03	35,789	11,685	803,149	515,044
2009-12-23	$16.81	$15.00	29.1%	8.4%	29.3%	26.7%	29.8%	0.2%	2.6%	13.0M	-397.7M	-2.5M	0.38	2.33	11,279	4,320	814,722	515,694
2009-12-24	$17.17	$15.00	28.6%	8.2%	29.9%	25.5%	29.3%	2.4%	3.2%	14.2M	-458.3M	-2.5M	0.40	2.52	7,153	2,896	820,034	517,212
2009-12-28	$17.22	$15.00	29.5%	8.5%	28.2%	27.5%	30.0%	2.9%	2.5%	16.3M	-483.1M	-2.4M	0.26	2.45	17,174	4,422	820,555	517,980
2009-12-29	$16.81	$15.00	30.5%	8.7%	28.7%	29.7%	33.3%	0.7%	2.0%	12.8M	-392.6M	-2.3M	10.44	2.68	17,733	185,130	824,287	518,881
2009-12-30	$16.53	$15.00	31.2%	8.9%	25.3%	31.2%	31.9%	0.5%	1.9%	8.5M	-308.0M	-2.4M	3.24	2.36	19,381	62,884	821,573	585,253
2009-12-31	$16.54	$15.00	29.2%	8.4%	25.0%	26.9%	30.3%	2.1%	3.2%	7.9M	-298.6M	-2.5M	0.27	2.66	13,032	3,468	820,710	605,689