SLV Options History — February 2010

In February 2010, SLV traded between $14.75 and $16.36. ATM implied volatility averaged 32.8%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 9.5%. IV traded below realized volatility by 3.7% (HV 20d: 36.5%). Max pain ranged from $15.00 to $17.00. Net GEX was positive for 11 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.73.

Notable Days

2010-02-04: Highest Volume — 96,345 contracts
2010-02-04: Largest IV spike — 24.0% change
2010-02-05: Highest IV Rank — 59.5%
2010-02-05: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.60	$14.75	$16.36	$16.36	$16.07
Max Pain	$15.68	$15.00	$17.00	$17.00	$15.00
ATM IV	32.8%	28.8%	38.3%	32.3%	28.8%
Expected Move	9.5%	8.3%	11.0%	9.3%	8.3%
HV 20d	36.5%	31.3%	41.4%	35.3%	35.9%
HV 60d	32.4%	30.1%	33.4%	30.1%	32.6%
IV Rank	44.2%	34.1%	59.5%	42.7%	34.1%
IV Percentile	24.4%	3.2%	67.9%	17.1%	3.2%
Term Structure	1.2%	-0.3%	3.0%	1.4%	2.3%
VWIV	34.0%	29.4%	39.5%	32.6%	29.4%
Skew 25d	1.4%	0.2%	2.6%	2.3%	1.9%
Skew 10d	2.6%	0.7%	4.2%	4.2%	4.2%
Call IV 25d	33.5%	29.0%	38.5%	31.9%	29.0%
Put IV 25d	34.8%	30.9%	40.4%	34.2%	30.9%
Bid-Ask Spread %	4.06	3.36	5.65	3.38	3.64
Gamma HHI	0.14	0.11	0.15	0.14	0.12
Net GEX	753.3K	-3.5M	6.4M	886.7K	4.4M
Net DEX	-32.6M	-177.3M	127.8M	-100.4M	-177.3M
Net VEX	-2.6M	-2.8M	-2.4M	-2.5M	-2.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.45	1.13	0.86	0.45
Total Volume	47,067.895	25,700	96,345	44,530	37,818
Total OI	1,043,426.789	916,273	1,155,297	916,273	1,042,049

Daily Data (19 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
2010-02-01	$16.36	$17.00	32.3%	9.3%	35.3%	42.7%	32.6%	2.3%	1.4%	886.7K	-100.4M	-2.5M	0.86	3.38	23,957	20,573	509,227	407,046
2010-02-02	$16.35	$17.00	30.8%	8.8%	31.7%	38.3%	30.8%	1.2%	1.4%	931.4K	-101.6M	-2.6M	0.69	3.44	18,104	12,499	521,043	415,383
2010-02-03	$16.07	$17.00	30.3%	8.7%	31.3%	37.1%	31.3%	0.9%	2.4%	-66.7K	-57.9M	-2.5M	0.86	5.03	18,626	16,079	526,972	418,177
2010-02-04	$15.04	$17.00	37.6%	10.8%	36.9%	57.5%	38.2%	2.5%	-0.0%	-3.0M	97.7M	-2.4M	1.13	4.53	45,203	51,142	538,708	427,521
2010-02-05	$14.90	$16.00	38.3%	11.0%	36.7%	59.5%	39.5%	1.8%	0.1%	-3.2M	105.7M	-2.6M	0.66	5.65	54,735	36,032	561,767	456,000
2010-02-08	$14.75	$15.00	35.9%	10.5%	35.6%	52.8%	37.3%	0.6%	0.6%	-3.5M	127.8M	-2.5M	0.74	3.43	21,936	16,131	589,487	464,432
2010-02-09	$15.12	$15.00	33.8%	10.0%	37.5%	46.8%	35.1%	0.6%	0.8%	-2.2M	66.2M	-2.6M	0.63	4.75	30,939	19,522	597,195	467,023
2010-02-10	$14.95	$16.00	31.3%	9.8%	37.4%	39.7%	35.1%	1.7%	1.1%	-3.0M	93.0M	-2.5M	1.03	4.21	17,826	18,343	613,296	471,050
2010-02-11	$15.37	$15.00	33.4%	9.6%	38.3%	45.8%	33.4%	1.4%	0.9%	-1.1M	21.8M	-2.7M	0.58	3.57	26,113	15,170	617,416	478,614
2010-02-12	$15.24	$15.00	32.5%	9.3%	38.1%	43.0%	33.1%	0.3%	1.7%	-2.1M	47.6M	-2.6M	0.95	4.89	24,110	22,792	624,744	482,870
2010-02-16	$15.82	$16.00	32.4%	9.3%	41.4%	42.8%	33.4%	1.0%	1.3%	3.0M	-73.8M	-2.7M	0.47	3.96	36,065	16,947	640,052	496,118
2010-02-17	$15.74	$16.00	33.4%	9.6%	40.0%	45.6%	33.5%	0.2%	0.3%	2.1M	-43.6M	-2.7M	0.49	3.99	35,775	17,441	635,287	494,914
2010-02-18	$15.88	$16.00	32.0%	9.2%	37.4%	41.7%	33.9%	0.2%	1.7%	5.8M	-85.7M	-2.8M	0.46	3.75	23,562	10,810	652,643	502,654
2010-02-19	$15.97	$15.00	34.2%	9.8%	36.5%	47.9%	35.2%	1.0%	-0.3%	6.4M	-115.5M	-2.8M	0.50	4.17	51,748	25,721	651,977	498,197
2010-02-22	$15.90	$15.00	32.4%	9.3%	36.1%	42.8%	33.5%	1.7%	1.4%	2.8M	-139.5M	-2.7M	0.94	3.36	22,047	20,740	570,882	404,355
2010-02-23	$15.57	$15.00	33.4%	9.6%	36.6%	45.6%	34.3%	2.4%	0.9%	1.6M	-82.0M	-2.7M	0.91	3.88	16,910	15,315	583,042	418,418
2010-02-24	$15.62	$15.00	31.1%	8.9%	35.9%	39.2%	34.3%	2.6%	1.3%	1.7M	-85.1M	-2.7M	0.85	3.54	13,904	11,796	588,766	428,413
2010-02-25	$15.77	$15.00	29.5%	8.5%	36.0%	36.2%	31.2%	1.6%	3.0%	2.6M	-116.6M	-2.7M	0.71	4.00	16,328	11,531	594,766	434,605
2010-02-26	$16.07	$15.00	28.8%	8.3%	35.9%	34.1%	29.4%	1.9%	2.3%	4.4M	-177.3M	-2.8M	0.45	3.64	26,000	11,818	600,933	441,116