SLV Options History — January 2011

In January 2011, SLV traded between $26.23 and $29.98. ATM implied volatility averaged 35.6%, placing in the 30.5% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.0% (HV 20d: 27.5%). Max pain ranged from $22.00 to $29.00. Net GEX was positive for 15 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.93.

Notable Days

2011-01-20: Highest Volume — 249,541 contracts
2011-01-12: Largest IV drop — 20.3% change
2011-01-05: Highest IV Rank — 43.1%
2011-01-24: Largest Expected Move — 10.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.82	$26.23	$29.98	$29.98	$27.39
Max Pain	$27.25	$22.00	$29.00	$22.00	$28.00
ATM IV	35.6%	28.7%	41.7%	36.7%	40.4%
Expected Move	9.8%	9.3%	10.5%	10.0%	9.6%
HV 20d	27.5%	23.4%	32.9%	30.3%	32.3%
HV 60d	36.4%	35.0%	37.3%	36.3%	37.2%
IV Rank	30.5%	16.5%	43.1%	32.8%	40.5%
IV Percentile	76.3%	42.1%	91.3%	84.5%	88.5%
Term Structure	1.0%	-0.7%	2.5%	2.4%	1.6%
VWIV	35.0%	33.2%	37.0%	35.8%	34.0%
Skew 25d	1.4%	-1.7%	4.3%	-1.7%	0.6%
Skew 10d	3.0%	-3.1%	8.5%	-3.1%	3.0%
Call IV 25d	34.6%	32.0%	37.1%	37.0%	33.9%
Put IV 25d	35.9%	33.9%	39.5%	35.3%	34.4%
Bid-Ask Spread %	2.34	1.88	3.00	2.00	1.99
Gamma HHI	0.13	0.10	0.19	0.13	0.10
Net GEX	10.2M	-10.3M	32.5M	32.5M	9.0M
Net DEX	-1.22B	-2.15B	-386.6M	-2.15B	-774.2M
Net VEX	-7.5M	-8.3M	-6.5M	-6.5M	-8.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.93	0.31	1.59	0.87	0.85
Total Volume	164,598.1	106,231	249,541	170,587	106,231
Total OI	2,095,709.85	1,655,182	2,417,460	2,006,255	1,826,837

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
2011-01-03	$29.98	$22.00	36.7%	10.0%	30.3%	32.8%	35.8%	-1.7%	2.4%	32.5M	-2.15B	-6.5M	0.87	2.00	91,048	79,539	1,213,499	792,756
2011-01-04	$29.08	$22.00	39.3%	10.1%	30.4%	38.2%	36.3%	-1.2%	2.5%	23.0M	-1.81B	-6.8M	0.94	1.94	120,335	112,675	1,218,210	831,972
2011-01-05	$28.61	$22.00	41.7%	10.0%	25.1%	43.1%	35.4%	-0.5%	1.5%	19.2M	-1.64B	-7.0M	1.03	1.97	104,088	107,424	1,240,252	877,964
2011-01-06	$28.42	$22.00	38.0%	9.8%	24.7%	35.7%	35.0%	-0.1%	1.2%	18.5M	-1.57B	-7.0M	1.20	1.88	91,010	109,297	1,255,786	891,210
2011-01-07	$28.10	$29.00	34.2%	10.0%	24.8%	27.8%	35.5%	0.6%	0.8%	-1.5M	-1.42B	-7.1M	1.13	3.00	86,265	97,427	1,269,961	942,165
2011-01-10	$28.29	$29.00	37.7%	9.9%	24.9%	35.0%	35.6%	1.1%	1.1%	16.8M	-1.51B	-7.0M	0.66	2.48	79,334	51,970	1,258,155	936,764
2011-01-11	$28.89	$29.00	36.0%	9.7%	23.4%	31.5%	34.3%	0.7%	1.0%	26.3M	-1.74B	-7.2M	0.80	2.55	85,605	68,422	1,276,737	953,758
2011-01-12	$29.00	$29.00	28.7%	9.4%	23.4%	16.5%	33.2%	0.7%	0.9%	28.1M	-1.74B	-7.4M	0.74	2.86	64,748	47,693	1,270,067	991,656
2011-01-13	$28.00	$29.00	33.5%	9.6%	25.0%	26.2%	35.0%	1.4%	0.6%	11.0M	-1.36B	-7.5M	0.92	2.52	84,586	77,477	1,283,840	1,017,844
2011-01-14	$27.74	$29.00	33.6%	9.6%	25.0%	26.5%	34.6%	1.2%	0.3%	7.6M	-1.26B	-7.5M	0.79	2.89	115,697	90,990	1,292,387	1,044,126
2011-01-18	$28.15	$29.00	33.2%	9.5%	25.5%	25.8%	33.9%	1.0%	0.8%	13.2M	-1.43B	-7.4M	0.31	2.52	114,556	35,315	1,290,710	1,056,545
2011-01-19	$28.08	$29.00	33.8%	9.7%	25.3%	26.9%	34.5%	1.6%	0.7%	6.3M	-1.42B	-7.7M	0.97	2.26	63,248	61,351	1,301,622	1,060,875
2011-01-20	$26.85	$29.00	36.0%	10.3%	29.7%	31.5%	37.0%	2.2%	-0.7%	-10.3M	-954.4M	-7.9M	1.10	2.50	118,798	130,743	1,314,114	1,088,175
2011-01-21	$26.83	$28.00	35.2%	10.1%	29.7%	29.8%	36.0%	2.7%	0.5%	-6.4M	-939.0M	-7.9M	1.40	2.62	79,379	110,748	1,326,843	1,090,617
2011-01-24	$26.36	$28.00	36.5%	10.5%	30.1%	32.4%	36.7%	4.3%	-0.3%	3.2K	-436.1M	-7.8M	1.02	2.26	60,715	61,859	921,054	734,128
2011-01-25	$26.23	$28.00	34.8%	10.0%	30.1%	28.9%	35.5%	4.0%	0.2%	-609.1K	-386.6M	-8.0M	1.59	1.94	59,068	93,954	939,376	759,504
2011-01-26	$26.89	$28.00	32.6%	9.3%	28.9%	24.4%	33.5%	3.6%	1.4%	4.1M	-594.9M	-8.1M	1.00	2.15	72,284	72,214	956,446	772,227
2011-01-27	$26.29	$28.00	33.8%	9.7%	28.9%	26.8%	34.0%	2.4%	0.9%	-384.9K	-440.6M	-8.1M	0.76	2.37	68,311	51,714	985,868	806,783
2011-01-28	$27.30	$28.00	35.5%	9.6%	32.9%	30.5%	34.5%	2.4%	1.9%	6.7M	-760.9M	-8.3M	0.47	2.16	113,056	52,788	1,005,924	817,440
2011-01-31	$27.39	$28.00	40.4%	9.6%	32.3%	40.5%	34.0%	0.6%	1.6%	9.0M	-774.2M	-8.3M	0.85	1.99	57,511	48,720	1,020,165	806,672