SLV Options History — October 2010

In October 2010, SLV traded between $21.51 and $24.17. ATM implied volatility averaged 31.6%, placing in the 55.2% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 4.5% (HV 20d: 27.0%). Max pain ranged from $19.00 to $22.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.49.

Notable Days

2010-10-14: Highest Volume — 245,144 contracts
2010-10-13: Largest IV spike — 15.5% change
2010-10-29: Highest IV Rank — 77.7%
2010-10-14: Largest Expected Move — 10.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$22.97	$21.51	$24.17	$21.65	$24.17
Max Pain	$21.00	$19.00	$22.00	$19.00	$22.00
ATM IV	31.6%	25.7%	36.0%	25.7%	36.0%
Expected Move	9.1%	7.4%	10.2%	7.4%	9.2%
HV 20d	27.0%	13.7%	36.3%	13.7%	36.3%
HV 60d	22.2%	18.7%	25.0%	18.7%	25.0%
IV Rank	55.2%	25.4%	77.7%	25.4%	77.7%
IV Percentile	62.3%	21.4%	93.3%	21.4%	93.3%
Term Structure	1.0%	-0.4%	2.0%	2.0%	1.6%
VWIV	32.4%	26.5%	36.1%	26.5%	33.7%
Skew 25d	-1.0%	-3.4%	1.1%	1.1%	-1.1%
Skew 10d	-1.2%	-3.7%	2.8%	2.8%	-0.6%
Call IV 25d	33.3%	26.6%	38.3%	26.6%	34.6%
Put IV 25d	32.3%	27.7%	35.7%	27.7%	33.6%
Bid-Ask Spread %	2.88	1.47	3.78	1.47	2.24
Gamma HHI	0.15	0.11	0.22	0.16	0.14
Net GEX	21.7M	17.1M	29.1M	23.1M	24.2M
Net DEX	-1.23B	-1.60B	-989.8M	-1.11B	-1.38B
Net VEX	-4.8M	-5.2M	-4.2M	-4.3M	-5.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.20	0.94	0.94	0.29
Total Volume	105,481.857	46,507	245,144	87,307	91,340
Total OI	1,512,117.095	1,293,204	1,768,269	1,487,205	1,489,362

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
2010-10-01	$21.65	$19.00	25.7%	7.4%	13.7%	25.4%	26.5%	1.1%	2.0%	23.1M	-1.11B	-4.3M	0.94	1.47	45,075	42,232	934,971	552,234
2010-10-04	$21.51	$20.00	26.2%	8.0%	14.4%	27.9%	28.1%	-1.0%	1.8%	22.6M	-1.06B	-4.2M	0.84	3.51	35,659	29,860	936,531	564,289
2010-10-05	$22.34	$20.00	27.5%	8.3%	18.1%	34.3%	29.7%	-0.6%	1.1%	22.1M	-1.25B	-4.2M	0.50	2.78	97,806	48,702	942,504	575,705
2010-10-06	$22.69	$20.00	28.2%	8.5%	18.4%	37.9%	30.2%	-1.3%	1.2%	21.6M	-1.33B	-4.2M	0.29	3.07	93,548	27,499	961,393	595,118
2010-10-07	$22.02	$20.00	30.0%	8.8%	22.0%	47.4%	31.7%	-0.9%	0.6%	21.4M	-1.17B	-4.4M	0.43	3.40	114,873	49,695	983,761	606,788
2010-10-08	$22.73	$20.00	28.9%	8.7%	23.7%	41.6%	31.2%	-1.4%	1.3%	21.8M	-1.32B	-4.4M	0.32	3.19	94,158	29,727	1,000,103	629,009
2010-10-11	$22.78	$21.00	31.8%	8.8%	23.8%	56.3%	31.3%	-1.8%	1.0%	23.5M	-1.34B	-4.3M	0.27	3.78	55,315	15,113	1,014,133	637,581
2010-10-12	$22.84	$21.00	28.7%	8.6%	22.9%	40.6%	31.0%	-1.1%	1.5%	27.3M	-1.35B	-4.4M	0.53	3.25	59,078	31,458	1,025,445	643,179
2010-10-13	$23.49	$21.00	33.2%	9.0%	24.1%	63.2%	32.5%	-2.1%	1.3%	29.1M	-1.49B	-4.6M	0.20	2.57	123,584	24,355	1,038,175	659,829
2010-10-14	$24.03	$21.00	35.6%	10.2%	24.7%	75.8%	36.1%	-2.5%	-0.1%	28.0M	-1.60B	-4.7M	0.35	2.60	181,471	63,673	1,041,294	662,749
2010-10-15	$23.75	$21.00	34.2%	9.8%	25.4%	68.4%	34.8%	-3.4%	1.4%	22.9M	-1.53B	-5.0M	0.51	2.66	92,483	47,428	1,070,252	698,017
2010-10-18	$23.96	$21.00	33.7%	9.7%	25.2%	65.9%	34.5%	-2.1%	0.6%	18.7M	-1.26B	-4.9M	0.71	2.43	47,522	33,831	858,748	434,456
2010-10-19	$22.84	$21.00	34.5%	9.9%	32.0%	70.1%	35.3%	-1.1%	-0.4%	17.3M	-1.03B	-5.1M	0.41	3.51	98,072	39,775	870,641	446,445
2010-10-20	$23.33	$21.00	33.1%	9.5%	32.5%	63.0%	34.0%	-0.6%	1.3%	19.2M	-1.15B	-5.2M	0.30	2.64	51,849	15,562	901,468	463,864
2010-10-21	$22.59	$22.00	33.7%	9.7%	35.1%	65.8%	34.4%	-1.1%	0.3%	17.5M	-989.8M	-5.1M	0.69	3.07	66,144	45,744	900,829	469,483
2010-10-22	$22.76	$22.00	31.9%	9.2%	34.9%	56.9%	32.8%	-0.4%	1.0%	17.1M	-1.01B	-5.2M	0.67	3.08	27,824	18,683	908,658	491,921
2010-10-25	$23.10	$22.00	33.1%	9.5%	35.0%	63.1%	33.8%	0.3%	0.6%	18.3M	-1.09B	-5.2M	0.57	2.90	40,753	23,069	915,065	497,170
2010-10-26	$23.28	$22.00	33.3%	9.6%	34.9%	64.0%	33.8%	-0.6%	0.4%	18.8M	-1.13B	-5.1M	0.42	2.30	56,992	24,160	919,173	504,140
2010-10-27	$23.07	$22.00	32.2%	9.2%	35.2%	58.3%	32.9%	0.2%	0.6%	19.7M	-1.10B	-5.2M	0.81	3.06	33,411	27,220	940,574	502,549
2010-10-28	$23.43	$22.00	31.5%	9.0%	35.3%	54.8%	32.1%	0.1%	1.2%	20.9M	-1.18B	-5.1M	0.20	2.90	58,640	11,736	949,494	517,359
2010-10-29	$24.17	$22.00	36.0%	9.2%	36.3%	77.7%	33.7%	-1.1%	1.6%	24.2M	-1.38B	-5.2M	0.29	2.24	70,884	20,456	975,741	513,621