SLV Options History — May 2010

In May 2010, SLV traded between $17.11 and $19.12. ATM implied volatility averaged 33.5%, placing in the 62.5% IV rank vs the trailing year. The 30-day expected move averaged 9.6%. IV traded above realized volatility by 0.2% (HV 20d: 33.3%). 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 12 of 20 days. Put/call ratio averaged 0.45.

Notable Days

2010-05-11: Highest Volume — 149,794 contracts
2010-05-11: Largest IV spike — 14.0% change
2010-05-20: Highest IV Rank — 88.7%
2010-05-20: Largest Expected Move — 11.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.06	$17.11	$19.12	$18.42	$18.03
Max Pain	$16.95	$16.00	$17.00	$17.00	$17.00
ATM IV	33.5%	25.6%	40.4%	25.6%	31.7%
Expected Move	9.6%	7.3%	11.6%	7.3%	9.1%
HV 20d	33.3%	20.9%	37.4%	20.9%	37.3%
HV 60d	26.3%	22.6%	27.9%	22.6%	27.5%
IV Rank	62.5%	32.2%	88.7%	32.2%	55.6%
IV Percentile	52.5%	11.1%	96.8%	11.1%	36.5%
Term Structure	0.2%	-2.3%	2.3%	1.1%	1.8%
VWIV	34.5%	25.7%	41.2%	25.7%	33.1%
Skew 25d	0.4%	-1.8%	1.9%	1.1%	0.1%
Skew 10d	1.0%	-2.4%	3.4%	2.8%	0.8%
Call IV 25d	34.7%	25.9%	40.6%	25.9%	33.1%
Put IV 25d	35.0%	27.0%	41.7%	27.0%	33.2%
Bid-Ask Spread %	3.13	1.68	5.39	2.50	2.31
Gamma HHI	0.19	0.16	0.23	0.22	0.19
Net GEX	11.7M	5.2M	17.4M	13.1M	11.4M
Net DEX	-415.3M	-640.7M	-200.8M	-420.2M	-410.0M
Net VEX	-3.1M	-3.3M	-2.8M	-2.9M	-3.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.45	0.18	0.73	0.44	0.29
Total Volume	67,081.9	30,468	149,794	30,468	42,180
Total OI	961,705.9	835,287	1,073,754	835,287	992,443

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
2010-05-03	$18.42	$17.00	25.6%	7.3%	20.9%	32.2%	25.7%	1.1%	1.1%	13.1M	-420.2M	-2.9M	0.44	2.50	21,204	9,264	559,960	275,327
2010-05-04	$17.59	$17.00	27.6%	7.9%	26.8%	39.8%	28.7%	0.5%	0.0%	8.3M	-281.9M	-2.8M	0.71	3.14	38,300	27,338	561,326	275,805
2010-05-05	$17.11	$17.00	29.3%	8.4%	28.3%	46.4%	30.0%	1.6%	-0.2%	5.2M	-200.8M	-2.8M	0.36	3.75	56,787	20,693	567,267	287,967
2010-05-06	$17.32	$17.00	32.4%	9.3%	28.7%	58.1%	33.0%	1.5%	-0.6%	7.3M	-264.6M	-2.9M	0.36	4.20	49,378	17,748	589,537	294,296
2010-05-07	$18.00	$17.00	33.1%	9.7%	31.5%	61.0%	34.4%	0.3%	-0.6%	11.8M	-411.1M	-3.1M	0.57	5.39	57,119	32,621	612,180	297,077
2010-05-10	$18.11	$16.00	30.8%	8.9%	31.2%	52.1%	32.2%	-0.9%	0.5%	13.7M	-445.3M	-3.0M	0.39	4.15	45,514	17,776	628,375	304,250
2010-05-11	$18.95	$17.00	35.1%	9.8%	35.0%	68.5%	34.9%	-1.8%	-0.2%	16.6M	-608.4M	-3.1M	0.18	3.60	126,551	23,243	648,574	312,026
2010-05-12	$19.12	$17.00	33.2%	9.6%	34.9%	61.4%	34.4%	-1.0%	0.4%	17.4M	-640.7M	-3.2M	0.20	3.27	99,143	19,549	666,670	322,381
2010-05-13	$18.99	$17.00	34.0%	9.7%	35.0%	64.2%	35.5%	-0.3%	0.5%	16.1M	-610.8M	-3.3M	0.21	3.71	54,697	11,526	673,218	330,832
2010-05-14	$18.93	$17.00	34.9%	10.0%	31.8%	67.7%	36.0%	-1.0%	0.2%	16.4M	-609.2M	-3.3M	0.42	4.19	36,534	15,418	689,218	334,311
2010-05-17	$18.53	$17.00	36.0%	10.3%	33.1%	71.9%	36.5%	-0.3%	-0.7%	15.0M	-517.0M	-3.2M	0.31	3.27	32,433	9,992	686,407	338,901
2010-05-18	$18.57	$17.00	34.8%	10.0%	33.1%	67.2%	35.8%	-0.3%	0.1%	15.6M	-530.4M	-3.2M	0.51	2.92	25,713	13,153	698,524	340,969
2010-05-19	$17.87	$17.00	37.4%	10.7%	35.7%	77.2%	38.3%	0.7%	-0.9%	12.1M	-377.0M	-3.2M	0.60	2.29	43,197	25,886	705,320	342,044
2010-05-20	$17.35	$17.00	40.4%	11.6%	37.2%	88.7%	41.2%	1.1%	-2.3%	8.4M	-280.7M	-3.2M	0.70	2.61	52,565	36,653	713,698	343,788
2010-05-21	$17.29	$17.00	37.7%	10.8%	36.7%	78.5%	38.1%	1.3%	-0.7%	7.3M	-283.0M	-3.1M	0.73	2.71	37,169	27,125	720,444	353,310
2010-05-24	$17.56	$17.00	35.1%	10.1%	37.2%	68.6%	36.1%	1.9%	0.5%	8.7M	-314.9M	-3.1M	0.61	1.68	38,457	23,428	625,484	288,493
2010-05-25	$17.54	$17.00	35.3%	10.1%	37.2%	69.1%	36.7%	1.3%	0.9%	8.6M	-315.6M	-3.1M	0.60	2.15	21,385	12,779	636,948	299,563
2010-05-26	$17.74	$17.00	34.4%	9.9%	37.4%	65.9%	35.3%	1.8%	1.2%	9.6M	-357.5M	-3.1M	0.34	2.67	34,739	11,955	646,627	302,273
2010-05-27	$18.12	$17.00	31.8%	9.1%	37.3%	55.9%	33.5%	-0.1%	2.3%	11.9M	-427.2M	-3.2M	0.41	2.01	51,272	21,154	663,957	304,328
2010-05-28	$18.03	$17.00	31.7%	9.1%	37.3%	55.6%	33.1%	0.1%	1.8%	11.4M	-410.0M	-3.2M	0.29	2.31	32,578	9,602	682,088	310,355