SLV Options History — March 2010

In March 2010, SLV traded between $16.11 and $17.14. ATM implied volatility averaged 26.6%, placing in the 29.5% IV rank vs the trailing year. The 30-day expected move averaged 7.7%. IV traded above realized volatility by 2.4% (HV 20d: 24.2%). Max pain ranged from $15.00 to $16.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.61.

Notable Days

2010-03-03: Highest Volume — 56,931 contracts
2010-03-24: Largest IV spike — 11.0% change
2010-03-02: Highest IV Rank — 40.6%
2010-03-02: Largest Expected Move — 8.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$16.77	$16.11	$17.14	$16.11	$17.14
Max Pain	$15.87	$15.00	$16.00	$15.00	$16.00
ATM IV	26.6%	23.2%	31.0%	29.3%	23.2%
Expected Move	7.7%	6.6%	8.9%	8.4%	6.6%
HV 20d	24.2%	18.5%	36.2%	35.9%	21.2%
HV 60d	31.2%	30.0%	32.4%	31.7%	30.0%
IV Rank	29.5%	20.8%	40.6%	35.5%	20.8%
IV Percentile	3.2%	0.4%	15.1%	5.6%	0.4%
Term Structure	2.1%	-0.6%	4.0%	1.5%	3.2%
VWIV	28.0%	24.2%	32.2%	30.5%	24.2%
Skew 25d	1.1%	-0.1%	2.4%	1.3%	1.3%
Skew 10d	2.8%	0.0%	6.1%	3.0%	3.5%
Call IV 25d	27.7%	24.0%	31.4%	29.5%	24.0%
Put IV 25d	28.8%	25.2%	33.5%	30.8%	25.2%
Bid-Ask Spread %	2.66	2.10	4.00	3.09	2.19
Gamma HHI	0.16	0.12	0.26	0.12	0.19
Net GEX	7.3M	2.6M	13.4M	4.2M	8.8M
Net DEX	-263.0M	-348.6M	-136.4M	-172.6M	-296.4M
Net VEX	-2.7M	-2.8M	-2.5M	-2.7M	-2.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.31	1.20	0.62	0.58
Total Volume	35,626.478	15,292	56,931	31,086	50,250
Total OI	1,085,070.217	1,007,860	1,147,180	1,046,919	1,079,659

Daily Data (23 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
2010-03-01	$16.11	$15.00	29.3%	8.4%	35.9%	35.5%	30.5%	1.3%	1.5%	4.2M	-172.6M	-2.7M	0.62	3.09	19,233	11,853	603,459	443,460
2010-03-02	$16.56	$15.00	31.0%	8.9%	35.8%	40.6%	32.2%	2.2%	-0.6%	6.3M	-259.7M	-2.8M	0.49	2.82	36,990	18,106	612,922	447,621
2010-03-03	$16.82	$15.00	30.2%	8.6%	36.2%	38.1%	31.0%	0.2%	0.7%	7.9M	-311.5M	-2.8M	0.56	4.00	36,609	20,322	619,650	453,455
2010-03-04	$16.79	$16.00	28.5%	8.2%	35.5%	33.4%	29.9%	0.8%	1.4%	7.0M	-280.7M	-2.8M	0.40	3.41	26,179	10,345	618,545	461,491
2010-03-05	$17.01	$16.00	26.5%	8.2%	24.8%	27.5%	29.6%	0.4%	2.7%	8.3M	-319.7M	-2.8M	0.46	2.36	26,253	11,974	623,759	464,044
2010-03-08	$16.89	$16.00	26.9%	8.2%	24.6%	28.5%	29.4%	0.4%	2.0%	8.6M	-310.2M	-2.8M	0.81	3.08	10,563	8,511	629,325	466,568
2010-03-09	$16.92	$16.00	25.6%	8.1%	23.9%	24.8%	29.8%	0.4%	2.2%	8.7M	-317.3M	-2.8M	0.67	3.31	12,072	8,065	630,086	470,961
2010-03-10	$16.66	$16.00	27.7%	8.2%	24.2%	31.3%	29.9%	1.8%	1.5%	7.0M	-257.8M	-2.7M	0.93	2.64	23,733	22,125	633,026	473,815
2010-03-11	$16.81	$16.00	28.2%	8.1%	23.5%	32.7%	29.6%	1.4%	2.0%	7.8M	-284.9M	-2.7M	0.45	2.84	16,004	7,272	638,627	481,879
2010-03-12	$16.76	$16.00	28.0%	8.0%	22.2%	32.2%	29.0%	1.1%	2.0%	8.2M	-281.5M	-2.7M	0.32	2.75	11,552	3,740	643,688	482,800
2010-03-15	$16.74	$16.00	28.3%	8.1%	21.8%	34.3%	29.5%	0.8%	2.0%	7.9M	-265.9M	-2.7M	0.95	2.14	8,296	7,923	643,318	483,561
2010-03-16	$17.05	$16.00	27.4%	7.9%	18.8%	32.2%	28.4%	0.5%	2.4%	10.6M	-340.4M	-2.7M	0.67	2.65	33,748	22,563	642,691	487,426
2010-03-17	$17.08	$16.00	26.4%	7.6%	18.6%	29.0%	27.4%	-0.1%	2.9%	11.0M	-348.6M	-2.7M	0.38	2.77	16,556	6,346	649,039	491,906
2010-03-18	$17.08	$16.00	24.8%	7.1%	18.5%	24.1%	25.9%	0.7%	4.0%	13.4M	-346.2M	-2.6M	0.51	2.22	22,487	11,433	650,180	491,734
2010-03-19	$16.65	$16.00	25.6%	7.3%	21.2%	26.6%	26.3%	0.2%	2.9%	6.1M	-245.4M	-2.6M	1.20	2.42	25,647	30,654	654,635	492,545
2010-03-22	$16.60	$16.00	25.2%	7.2%	21.1%	27.4%	26.8%	1.1%	1.5%	4.5M	-186.4M	-2.6M	0.55	2.26	24,924	13,622	587,092	420,768
2010-03-23	$16.72	$16.00	23.6%	6.8%	19.3%	22.1%	25.5%	1.4%	2.0%	5.2M	-206.1M	-2.5M	0.90	2.41	15,418	13,906	590,742	425,038
2010-03-24	$16.29	$16.00	26.2%	7.5%	22.0%	31.3%	26.7%	2.3%	2.1%	2.8M	-138.4M	-2.5M	0.59	2.25	33,324	19,606	595,641	430,886
2010-03-25	$16.32	$16.00	26.9%	7.7%	21.8%	33.4%	26.7%	2.4%	1.1%	2.6M	-136.4M	-2.5M	0.88	2.37	18,043	15,965	608,830	437,834
2010-03-26	$16.61	$16.00	24.1%	6.9%	21.7%	24.2%	25.0%	1.5%	2.9%	4.8M	-195.2M	-2.6M	0.31	2.58	12,967	3,989	617,485	443,934
2010-03-29	$17.04	$16.00	24.1%	6.9%	23.3%	24.2%	24.8%	1.6%	2.7%	7.9M	-280.2M	-2.6M	0.43	2.10	32,550	14,077	620,600	443,418
2010-03-30	$16.95	$16.00	24.0%	6.9%	21.5%	23.8%	25.4%	2.1%	2.1%	7.8M	-267.3M	-2.6M	0.42	2.48	16,684	6,930	625,143	443,329
2010-03-31	$17.14	$16.00	23.2%	6.6%	21.2%	20.8%	24.2%	1.3%	3.2%	8.8M	-296.4M	-2.6M	0.58	2.19	31,849	18,401	632,967	446,692