SLV Options History — September 2010

In September 2010, SLV traded between $18.96 and $21.40. ATM implied volatility averaged 27.6%, placing in the 32.4% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 10.4% (HV 20d: 17.2%). Max pain ranged from $18.00 to $19.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.42.

Notable Days

2010-09-03: Highest Volume — 126,332 contracts
2010-09-09: Largest IV spike — 5.4% change
2010-09-13: Highest IV Rank — 39.3%
2010-09-08: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.19	$18.96	$21.40	$18.96	$21.31
Max Pain	$18.38	$18.00	$19.00	$18.00	$19.00
ATM IV	27.6%	25.6%	29.3%	25.8%	27.9%
Expected Move	8.0%	7.3%	8.7%	7.4%	8.0%
HV 20d	17.2%	13.2%	20.5%	19.8%	13.8%
HV 60d	21.1%	18.5%	22.3%	22.0%	18.5%
IV Rank	32.4%	22.5%	39.3%	22.5%	36.3%
IV Percentile	31.3%	21.0%	40.5%	21.0%	36.5%
Term Structure	1.4%	-0.0%	3.3%	3.3%	0.6%
VWIV	29.0%	26.5%	32.1%	29.2%	28.4%
Skew 25d	-0.3%	-2.0%	1.8%	1.8%	-0.1%
Skew 10d	-4.7%	-91.5%	8.3%	8.3%	-0.2%
Call IV 25d	29.4%	26.4%	32.0%	27.1%	28.9%
Put IV 25d	29.2%	26.8%	31.6%	28.9%	28.9%
Bid-Ask Spread %	5.27	1.68	67.37	4.69	1.71
Gamma HHI	0.24	0.17	0.34	0.20	0.17
Net GEX	20.4M	14.6M	23.9M	14.6M	22.8M
Net DEX	-817.2M	-1.07B	-541.3M	-541.3M	-1.04B
Net VEX	-4.1M	-4.4M	-3.8M	-3.9M	-4.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.42	0.23	0.82	0.82	0.67
Total Volume	68,493.238	25,835	126,332	25,835	65,337
Total OI	1,370,059	1,228,533	1,469,089	1,228,533	1,469,089

Daily Data (21 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
2010-09-01	$18.96	$18.00	25.8%	7.4%	19.8%	22.5%	29.2%	1.8%	3.3%	14.6M	-541.3M	-3.9M	0.82	4.69	14,156	11,679	742,251	486,282
2010-09-02	$19.28	$18.00	26.5%	7.6%	20.4%	25.6%	27.9%	0.7%	2.9%	16.5M	-608.5M	-3.8M	0.37	67.37	52,070	19,404	745,837	487,736
2010-09-03	$19.42	$18.00	27.3%	8.6%	20.5%	29.0%	31.5%	0.4%	-0.0%	18.2M	-651.9M	-3.9M	0.51	2.41	83,447	42,885	766,836	495,520
2010-09-07	$19.36	$18.00	28.6%	8.7%	20.3%	34.9%	31.4%	-0.6%	0.4%	19.0M	-648.0M	-4.1M	0.32	2.29	36,350	11,525	796,381	520,762
2010-09-08	$19.50	$18.00	27.6%	8.7%	20.3%	30.5%	32.1%	-0.1%	0.7%	20.2M	-684.6M	-4.1M	0.26	2.06	49,153	12,737	807,689	525,403
2010-09-09	$19.32	$18.00	29.1%	8.3%	18.0%	38.1%	30.2%	-0.5%	1.2%	20.2M	-662.1M	-4.1M	0.31	2.60	54,134	16,739	826,754	530,339
2010-09-10	$19.42	$18.00	28.6%	8.2%	17.9%	35.9%	29.3%	0.3%	0.6%	20.0M	-688.3M	-4.1M	0.39	2.30	26,722	10,467	825,488	538,229
2010-09-13	$19.54	$18.00	29.3%	8.4%	17.9%	39.3%	29.9%	-0.8%	0.4%	20.5M	-729.0M	-4.1M	0.71	1.78	40,822	29,002	834,124	541,345
2010-09-14	$20.05	$18.00	28.5%	8.2%	19.1%	35.5%	29.5%	-2.0%	1.5%	22.7M	-843.6M	-4.0M	0.63	2.29	60,753	38,232	840,877	556,304
2010-09-15	$20.17	$18.00	28.1%	8.1%	19.1%	33.8%	28.9%	-1.5%	1.1%	23.9M	-866.9M	-4.0M	0.29	2.16	54,121	15,569	855,426	565,167
2010-09-16	$20.35	$18.00	28.3%	8.1%	18.7%	34.5%	29.9%	-1.6%	1.3%	21.8M	-917.6M	-4.1M	0.36	1.93	64,216	23,238	865,217	570,701
2010-09-17	$20.29	$18.00	27.8%	8.0%	18.5%	32.8%	28.6%	-0.5%	1.4%	21.9M	-890.7M	-4.1M	0.23	1.89	86,924	19,883	876,510	576,429
2010-09-20	$20.29	$18.00	27.2%	7.8%	16.2%	30.1%	28.4%	-0.2%	1.5%	19.0M	-793.3M	-4.2M	0.46	1.75	41,527	19,009	840,335	483,460
2010-09-21	$20.59	$19.00	27.6%	7.9%	16.3%	34.8%	28.4%	-0.5%	1.4%	19.8M	-854.6M	-4.2M	0.51	2.14	60,598	31,157	847,098	491,460
2010-09-22	$20.71	$19.00	26.9%	7.7%	15.5%	31.4%	27.8%	-0.0%	2.2%	20.3M	-881.6M	-4.4M	0.29	1.98	40,279	11,490	867,437	510,506
2010-09-23	$20.66	$19.00	26.8%	7.7%	13.2%	31.0%	27.4%	-0.5%	1.9%	20.7M	-876.2M	-4.4M	0.38	1.71	28,565	10,719	877,595	514,701
2010-09-24	$21.01	$19.00	25.6%	7.3%	13.8%	25.1%	26.5%	0.4%	3.1%	21.4M	-955.7M	-4.3M	0.37	1.68	45,281	16,717	882,037	518,600
2010-09-27	$20.99	$19.00	26.5%	7.6%	14.0%	29.7%	27.3%	-0.3%	2.2%	21.3M	-955.7M	-4.3M	0.40	1.74	22,770	9,136	889,310	526,150
2010-09-28	$21.29	$19.00	27.7%	7.9%	13.8%	35.5%	28.6%	0.1%	1.0%	21.3M	-1.00B	-4.3M	0.27	2.03	63,985	17,216	891,258	528,236
2010-09-29	$21.40	$19.00	27.6%	7.9%	13.4%	34.8%	28.6%	-0.6%	1.4%	23.0M	-1.07B	-4.3M	0.36	2.26	59,069	21,275	922,284	534,076
2010-09-30	$21.31	$19.00	27.9%	8.0%	13.8%	36.3%	28.4%	-0.1%	0.6%	22.8M	-1.04B	-4.3M	0.67	1.71	39,179	26,158	925,637	543,452