SLV Options History — February 2011

In February 2011, SLV traded between $27.69 and $33.11. ATM implied volatility averaged 34.2%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.9% (HV 20d: 31.3%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 17 of 19 days. Put/call ratio averaged 0.54.

Notable Days

2011-02-28: Highest Volume — 422,075 contracts
2011-02-09: Largest IV drop — 14.6% change
2011-02-28: Highest IV Rank — 41.9%
2011-02-24: Largest Expected Move — 10.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.17	$27.69	$33.11	$27.87	$33.11
Max Pain	$28.37	$27.00	$30.00	$28.00	$30.00
ATM IV	34.2%	28.7%	41.1%	40.0%	41.1%
Expected Move	9.4%	8.7%	10.9%	9.0%	10.3%
HV 20d	31.3%	26.1%	34.2%	33.3%	31.5%
HV 60d	32.5%	30.2%	35.7%	35.7%	32.5%
IV Rank	27.7%	16.6%	41.9%	39.6%	41.9%
IV Percentile	67.8%	42.1%	90.1%	87.7%	90.1%
Term Structure	0.8%	-1.0%	2.7%	2.0%	0.6%
VWIV	33.7%	31.3%	39.1%	32.1%	36.9%
Skew 25d	-0.0%	-2.8%	1.8%	1.8%	-0.1%
Skew 10d	-0.1%	-5.8%	2.8%	2.6%	-0.6%
Call IV 25d	34.0%	30.9%	40.7%	31.5%	37.2%
Put IV 25d	34.0%	31.5%	39.9%	33.3%	37.1%
Bid-Ask Spread %	2.68	1.64	3.18	2.00	2.46
Gamma HHI	0.13	0.09	0.19	0.10	0.10
Net GEX	33.4M	12.1M	52.2M	12.5M	40.8M
Net DEX	-1.88B	-2.79B	-864.6M	-925.4M	-2.79B
Net VEX	-10.9M	-13.4M	-8.2M	-8.3M	-13.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.23	1.17	0.71	0.29
Total Volume	223,367.053	83,433	422,075	168,360	422,075
Total OI	2,208,127.368	1,862,313	2,534,323	1,862,313	2,377,688

Daily Data (19 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
2011-02-01	$27.87	$28.00	40.0%	9.0%	33.3%	39.6%	32.1%	1.8%	2.0%	12.5M	-925.4M	-8.3M	0.71	2.00	98,620	69,740	1,036,501	825,812
2011-02-02	$27.69	$28.00	37.0%	8.7%	31.8%	33.4%	31.3%	1.7%	2.7%	12.1M	-864.6M	-8.2M	0.56	1.64	73,034	40,738	1,055,123	834,900
2011-02-03	$28.29	$28.00	33.7%	8.9%	32.4%	26.8%	31.9%	0.5%	2.3%	18.8M	-1.09B	-8.5M	0.60	2.50	141,211	85,409	1,088,547	851,394
2011-02-04	$28.40	$27.00	31.6%	9.0%	32.3%	22.4%	31.8%	-0.4%	0.9%	21.2M	-1.21B	-9.0M	0.73	2.94	82,593	60,390	1,142,073	872,935
2011-02-07	$28.66	$28.00	32.9%	8.9%	32.2%	25.0%	31.5%	-0.6%	1.4%	22.6M	-1.21B	-8.9M	0.57	2.96	53,160	30,273	1,114,471	882,325
2011-02-08	$29.64	$28.00	33.7%	9.0%	34.2%	26.6%	31.8%	-0.3%	0.4%	30.6M	-1.54B	-8.7M	0.25	2.72	179,986	44,722	1,117,633	894,467
2011-02-09	$29.52	$28.00	28.7%	9.0%	33.5%	16.6%	32.0%	-0.0%	0.8%	33.5M	-1.60B	-9.5M	0.53	3.07	131,605	69,210	1,189,202	904,652
2011-02-10	$29.46	$28.00	31.2%	8.9%	33.5%	21.6%	31.5%	0.4%	1.3%	33.0M	-1.61B	-10.2M	0.23	3.05	166,328	38,436	1,227,705	934,493
2011-02-11	$29.21	$28.00	30.7%	8.8%	31.0%	20.6%	31.4%	-0.0%	1.2%	34.5M	-1.73B	-11.3M	0.38	3.02	78,399	29,715	1,340,646	948,198
2011-02-14	$29.96	$28.00	31.3%	9.0%	31.7%	21.7%	32.7%	-0.0%	0.1%	42.4M	-2.00B	-11.2M	1.06	3.18	161,723	171,420	1,335,142	943,240
2011-02-15	$30.00	$28.00	31.9%	9.1%	31.5%	23.0%	32.7%	0.5%	0.2%	42.3M	-2.00B	-11.6M	1.17	2.82	118,104	137,867	1,363,681	1,006,127
2011-02-16	$29.96	$28.00	30.8%	8.8%	31.5%	20.8%	31.8%	0.8%	0.4%	40.7M	-1.96B	-11.9M	0.54	2.46	86,991	47,092	1,385,718	1,059,013
2011-02-17	$31.03	$28.00	31.6%	9.1%	27.9%	22.5%	32.4%	-0.2%	0.8%	52.2M	-2.42B	-12.0M	0.31	2.79	214,019	65,883	1,412,954	1,062,406
2011-02-18	$31.79	$28.00	34.6%	9.9%	28.3%	28.6%	35.4%	-0.9%	0.4%	44.4M	-2.72B	-12.4M	0.38	2.92	277,009	104,027	1,455,057	1,079,266
2011-02-22	$32.26	$29.00	37.5%	10.7%	26.6%	34.5%	39.0%	-2.8%	0.4%	39.0M	-2.53B	-12.5M	0.41	2.19	208,924	85,123	1,332,233	874,487
2011-02-23	$32.71	$29.00	37.3%	10.7%	26.1%	34.0%	38.4%	-1.6%	-0.2%	41.3M	-2.67B	-12.8M	0.50	2.66	135,094	67,179	1,372,067	906,445
2011-02-24	$31.20	$30.00	37.9%	10.9%	32.7%	35.4%	39.1%	0.8%	-1.0%	35.2M	-2.12B	-12.9M	0.57	2.74	194,138	110,572	1,394,358	913,772
2011-02-25	$32.56	$30.00	36.1%	10.3%	33.0%	31.8%	36.9%	0.3%	0.4%	37.9M	-2.64B	-13.4M	0.43	2.79	114,497	48,668	1,445,209	974,480
2011-02-28	$33.11	$30.00	41.1%	10.3%	31.5%	41.9%	36.9%	-0.1%	0.6%	40.8M	-2.79B	-13.1M	0.29	2.46	326,360	95,715	1,418,775	958,913