SLV Options History — March 2011

In March 2011, SLV traded between $33.37 and $36.77. ATM implied volatility averaged 39.2%, placing in the 37.9% IV rank vs the trailing year. The 30-day expected move averaged 10.7%. IV traded above realized volatility by 5.1% (HV 20d: 34.0%). Max pain ranged from $27.00 to $30.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 0.56.

Notable Days

2011-03-24: Highest Volume — 409,307 contracts
2011-03-07: Largest IV spike — 19.1% change
2011-03-07: Highest IV Rank — 53.0%
2011-03-16: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.05	$33.37	$36.77	$33.87	$36.77
Max Pain	$28.74	$27.00	$30.00	$30.00	$29.00
ATM IV	39.2%	33.6%	46.5%	42.1%	33.6%
Expected Move	10.7%	9.4%	11.9%	10.5%	9.4%
HV 20d	34.0%	29.1%	38.4%	31.7%	29.1%
HV 60d	31.9%	30.5%	32.9%	32.8%	31.6%
IV Rank	37.9%	26.4%	53.0%	44.0%	26.4%
IV Percentile	82.0%	57.1%	97.2%	91.7%	57.1%
Term Structure	-0.1%	-2.8%	2.3%	0.8%	2.3%
VWIV	38.2%	33.4%	41.8%	37.9%	33.4%
Skew 25d	0.5%	-1.8%	2.2%	-0.1%	0.2%
Skew 10d	1.2%	-2.1%	4.7%	-0.3%	1.5%
Call IV 25d	38.2%	33.4%	41.6%	38.0%	33.4%
Put IV 25d	38.7%	33.6%	43.7%	37.9%	33.6%
Bid-Ask Spread %	2.10	1.74	2.67	2.36	2.13
Gamma HHI	0.11	0.10	0.22	0.10	0.11
Net GEX	49.4M	39.5M	69.0M	45.9M	59.3M
Net DEX	-3.57B	-4.01B	-2.97B	-3.29B	-4.01B
Net VEX	-16.5M	-18.4M	-14.9M	-14.9M	-18.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.56	0.33	0.88	0.48	0.67
Total Volume	225,067.696	110,245	409,307	267,625	178,838
Total OI	2,877,912.652	2,569,005	3,087,289	2,569,005	3,041,045

Daily Data (23 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
2011-03-01	$33.87	$30.00	42.1%	10.5%	31.7%	44.0%	37.9%	-0.1%	0.8%	45.9M	-3.29B	-14.9M	0.48	2.36	181,027	86,598	1,561,899	1,007,106
2011-03-02	$33.84	$30.00	40.0%	10.3%	31.9%	39.7%	36.9%	-1.2%	1.2%	48.0M	-3.30B	-15.1M	0.42	2.42	166,431	69,704	1,607,495	1,032,800
2011-03-03	$33.41	$30.00	37.0%	10.0%	32.4%	33.5%	35.8%	-0.8%	1.8%	46.8M	-3.16B	-15.2M	0.57	2.61	113,529	64,511	1,642,351	1,061,015
2011-03-04	$34.69	$27.00	39.0%	10.7%	33.7%	37.7%	38.3%	-1.8%	-0.9%	46.7M	-3.65B	-15.4M	0.34	2.00	239,129	82,299	1,653,303	1,079,926
2011-03-07	$35.23	$27.00	46.5%	11.4%	33.6%	53.0%	40.7%	-0.6%	-2.8%	50.5M	-3.82B	-15.4M	0.51	2.67	263,377	135,565	1,680,985	1,080,011
2011-03-08	$35.18	$28.00	44.3%	11.3%	33.9%	48.5%	40.2%	0.5%	-2.3%	50.3M	-3.79B	-16.1M	0.69	2.00	136,827	93,849	1,735,947	1,140,306
2011-03-09	$35.27	$28.00	36.5%	11.1%	32.8%	32.5%	39.7%	1.9%	-1.5%	50.6M	-3.78B	-16.6M	0.57	2.28	117,114	66,266	1,757,264	1,173,004
2011-03-10	$34.36	$28.00	40.0%	11.5%	34.8%	39.7%	40.6%	0.9%	-1.7%	44.1M	-3.38B	-16.8M	0.57	2.11	166,494	94,826	1,769,631	1,196,532
2011-03-11	$35.03	$28.00	39.9%	11.4%	34.9%	39.5%	40.9%	1.3%	-1.6%	69.0M	-3.72B	-16.8M	0.53	2.25	187,444	100,250	1,797,651	1,208,572
2011-03-14	$35.01	$28.00	39.3%	11.3%	34.5%	38.1%	40.1%	1.7%	-1.6%	51.7M	-3.71B	-16.7M	0.58	1.99	99,889	57,661	1,798,095	1,207,682
2011-03-15	$33.61	$29.00	41.0%	11.8%	38.1%	41.8%	41.8%	1.3%	-2.2%	40.6M	-3.06B	-16.6M	0.53	1.91	182,672	96,223	1,806,714	1,223,347
2011-03-16	$33.37	$29.00	41.6%	11.9%	38.4%	42.9%	41.7%	2.2%	-2.3%	40.0M	-2.97B	-16.9M	0.65	2.08	116,230	75,495	1,839,018	1,233,069
2011-03-17	$33.51	$29.00	40.0%	11.5%	38.3%	39.6%	40.9%	1.9%	-1.0%	39.5M	-3.04B	-17.0M	0.62	2.10	86,866	54,088	1,841,833	1,245,456
2011-03-18	$34.27	$29.00	38.4%	11.0%	37.3%	36.3%	39.1%	1.1%	0.0%	42.7M	-3.38B	-16.7M	0.33	1.82	137,718	44,772	1,829,436	1,246,768
2011-03-21	$35.30	$29.00	36.4%	10.4%	37.7%	32.3%	37.1%	0.5%	0.2%	47.6M	-3.46B	-16.5M	0.46	2.00	123,837	56,820	1,661,916	1,037,163
2011-03-22	$35.54	$29.00	36.5%	10.5%	37.5%	32.5%	37.3%	1.3%	-0.0%	49.6M	-3.58B	-16.5M	0.64	1.97	77,844	49,615	1,693,823	1,055,243
2011-03-23	$36.47	$29.00	35.7%	10.2%	38.1%	30.7%	36.3%	0.0%	0.6%	53.9M	-3.94B	-16.4M	0.42	1.96	180,863	76,493	1,699,470	1,068,731
2011-03-24	$36.12	$29.00	36.5%	10.5%	33.3%	32.4%	37.1%	0.5%	1.5%	54.4M	-3.80B	-16.7M	0.54	1.90	266,352	142,955	1,727,639	1,086,834
2011-03-25	$36.39	$29.00	36.6%	10.2%	30.5%	32.7%	35.9%	0.4%	2.1%	50.2M	-3.85B	-17.7M	0.44	2.05	157,194	69,313	1,769,056	1,142,349
2011-03-28	$36.19	$29.00	43.1%	10.4%	30.5%	46.1%	36.7%	0.5%	1.0%	50.3M	-3.78B	-17.2M	0.64	1.90	83,972	53,335	1,763,695	1,128,347
2011-03-29	$36.17	$29.00	39.2%	10.0%	29.7%	38.1%	35.4%	0.6%	2.0%	49.6M	-3.74B	-17.3M	0.88	1.74	58,764	51,481	1,771,542	1,149,806
2011-03-30	$36.53	$29.00	37.4%	9.6%	29.8%	34.3%	33.8%	-0.1%	1.9%	55.0M	-3.90B	-17.3M	0.78	2.09	130,520	101,507	1,780,589	1,157,527
2011-03-31	$36.77	$29.00	33.6%	9.4%	29.1%	26.4%	33.4%	0.2%	2.3%	59.3M	-4.01B	-18.4M	0.67	2.13	106,785	72,053	1,832,094	1,208,951