SLV Options History — December 2010

In December 2010, SLV traded between $27.70 and $30.18. ATM implied volatility averaged 40.0%, placing in the 39.6% IV rank vs the trailing year. The 30-day expected move averaged 11.1%. IV traded above realized volatility by 2.1% (HV 20d: 37.8%). Max pain ranged from $19.00 to $27.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 15 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2010-12-07: Highest Volume — 415,839 contracts
2010-12-06: Largest IV spike — 21.8% change
2010-12-06: Highest IV Rank — 58.2%
2010-12-01: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.67	$27.70	$30.18	$27.81	$30.18
Max Pain	$21.18	$19.00	$27.00	$26.00	$21.00
ATM IV	40.0%	31.2%	49.0%	47.0%	31.2%
Expected Move	11.1%	9.7%	12.4%	12.4%	9.7%
HV 20d	37.8%	30.8%	46.0%	45.9%	31.0%
HV 60d	36.6%	34.2%	37.6%	34.2%	37.0%
IV Rank	39.6%	21.7%	58.2%	53.9%	21.7%
IV Percentile	87.6%	58.7%	99.2%	98.4%	58.7%
Term Structure	0.5%	-2.1%	2.5%	-1.8%	2.5%
VWIV	39.6%	35.1%	44.3%	44.3%	35.1%
Skew 25d	-1.2%	-3.8%	0.2%	-1.4%	-1.5%
Skew 10d	-2.3%	-6.6%	-0.0%	-2.5%	-2.6%
Call IV 25d	40.4%	35.8%	45.7%	45.7%	36.3%
Put IV 25d	39.3%	34.8%	44.4%	44.4%	34.8%
Bid-Ask Spread %	2.49	1.74	4.09	3.08	1.74
Gamma HHI	0.13	0.11	0.16	0.12	0.13
Net GEX	25.3M	10.5M	35.4M	30.9M	31.9M
Net DEX	-1.97B	-2.43B	-1.67B	-1.95B	-2.26B
Net VEX	-6.6M	-7.1M	-6.1M	-6.3M	-6.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.34	0.97	0.51	0.41
Total Volume	160,860.545	50,142	415,839	151,809	111,143
Total OI	2,062,178.909	1,814,108	2,304,308	1,935,032	2,016,604

Daily Data (22 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
2010-12-01	$27.81	$26.00	47.0%	12.4%	45.9%	53.9%	44.3%	-1.4%	-1.8%	30.9M	-1.95B	-6.3M	0.51	3.08	100,241	51,568	1,239,942	695,090
2010-12-02	$27.93	$26.00	41.7%	11.9%	45.8%	43.1%	42.8%	-0.4%	-2.1%	30.9M	-1.96B	-6.3M	0.61	3.00	117,657	71,766	1,240,518	719,848
2010-12-03	$28.60	$27.00	40.2%	11.8%	42.7%	40.1%	42.2%	-0.7%	-1.7%	30.2M	-2.15B	-6.2M	0.34	2.53	155,881	53,407	1,232,668	746,153
2010-12-06	$29.51	$19.00	49.0%	11.8%	43.3%	58.2%	41.9%	-3.8%	-0.0%	35.4M	-2.43B	-6.1M	0.34	3.05	201,692	69,076	1,255,392	740,827
2010-12-07	$28.08	$20.00	45.3%	11.6%	46.0%	50.5%	42.3%	-2.6%	-0.4%	27.2M	-1.93B	-6.4M	0.91	4.09	218,222	197,617	1,287,505	768,188
2010-12-08	$27.70	$20.00	46.4%	11.9%	44.2%	52.9%	42.7%	-1.9%	0.2%	10.5M	-1.67B	-6.7M	0.95	2.48	170,581	161,402	1,303,074	868,976
2010-12-09	$28.03	$20.00	44.0%	11.8%	43.8%	47.9%	42.1%	-0.8%	-0.1%	13.1M	-1.81B	-6.9M	0.57	2.96	104,565	59,439	1,348,847	896,780
2010-12-10	$27.98	$20.00	41.5%	11.7%	43.6%	42.7%	41.5%	-1.8%	0.4%	15.9M	-1.84B	-7.1M	0.81	2.88	88,676	72,006	1,373,929	906,146
2010-12-13	$28.87	$20.00	47.3%	11.8%	38.1%	54.7%	42.0%	-2.1%	0.2%	28.8M	-2.17B	-7.1M	0.39	2.78	116,173	45,329	1,368,631	905,078
2010-12-14	$28.81	$20.00	45.7%	11.7%	36.7%	51.4%	41.9%	-1.4%	-0.2%	28.7M	-2.13B	-7.0M	0.42	2.31	97,673	40,949	1,373,780	915,180
2010-12-15	$28.08	$20.00	39.6%	11.3%	38.4%	38.7%	40.3%	-0.5%	0.3%	14.1M	-1.78B	-6.8M	0.52	2.49	64,592	33,409	1,353,660	923,579
2010-12-16	$28.28	$20.00	39.2%	11.2%	38.4%	37.9%	40.0%	0.2%	0.7%	13.0M	-1.84B	-6.8M	0.85	2.25	88,836	75,842	1,355,350	934,493
2010-12-17	$28.51	$20.00	38.5%	11.0%	34.3%	36.6%	39.5%	-1.2%	1.6%	23.2M	-1.96B	-6.7M	0.56	2.18	89,355	49,809	1,357,498	946,810
2010-12-20	$28.71	$20.00	36.3%	10.4%	34.1%	32.1%	37.1%	-0.7%	2.0%	25.5M	-1.86B	-6.5M	0.69	2.19	76,437	52,840	1,156,877	657,231
2010-12-21	$28.64	$20.00	35.6%	10.2%	33.8%	30.5%	37.0%	-0.0%	1.7%	26.4M	-1.84B	-6.6M	0.97	2.32	46,485	45,149	1,177,747	683,482
2010-12-22	$28.57	$21.00	34.9%	10.0%	33.5%	29.2%	35.5%	-0.4%	1.4%	26.4M	-1.79B	-6.6M	0.94	2.26	39,682	37,240	1,178,140	708,220
2010-12-23	$28.61	$21.00	34.5%	9.9%	33.5%	28.4%	35.8%	-0.3%	1.6%	23.8M	-1.78B	-6.8M	0.72	2.06	45,056	32,235	1,190,673	733,430
2010-12-27	$28.59	$21.00	36.0%	10.3%	31.1%	31.4%	37.0%	-0.5%	0.9%	25.6M	-1.77B	-6.7M	0.50	2.06	33,531	16,611	1,185,858	731,590
2010-12-28	$29.53	$21.00	36.3%	10.4%	32.4%	32.0%	36.7%	-1.9%	1.5%	31.9M	-2.08B	-6.6M	0.52	2.21	89,107	46,549	1,195,615	737,311
2010-12-29	$29.87	$21.00	35.9%	10.3%	30.9%	31.2%	36.7%	-0.8%	1.3%	32.0M	-2.15B	-6.6M	0.94	1.97	70,837	66,254	1,202,817	750,082
2010-12-30	$29.76	$22.00	33.3%	10.0%	30.8%	25.9%	36.0%	-1.2%	1.4%	32.0M	-2.10B	-6.7M	0.84	1.98	72,876	61,137	1,209,873	794,444
2010-12-31	$30.18	$21.00	31.2%	9.7%	31.0%	21.7%	35.1%	-1.5%	2.5%	31.9M	-2.26B	-6.5M	0.41	1.74	78,617	32,526	1,215,637	800,967