SLV Options History — May 2011

In May 2011, SLV traded between $32.85 and $42.83. ATM implied volatility averaged 58.9%, placing in the 55.8% IV rank vs the trailing year. The 30-day expected move averaged 15.1%. IV traded below realized volatility by 18.2% (HV 20d: 77.1%). Max pain ranged from $38.00 to $48.00. Net GEX was positive for 8 of 21 trading days. Term structure was in contango for 2 of 21 days. Put/call ratio averaged 0.86.

Notable Days

2011-05-05: Highest Volume — 2,209,664 contracts
2011-05-31: Largest IV spike — 22.3% change
2011-05-02: Highest IV Rank — 100.0%
2011-05-05: Largest Expected Move — 21.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$35.87	$32.85	$42.83	$42.83	$37.60
Max Pain	$40.29	$38.00	$48.00	$43.00	$48.00
ATM IV	58.9%	38.5%	89.1%	81.1%	47.0%
Expected Move	15.1%	12.1%	21.7%	16.9%	12.7%
HV 20d	77.1%	50.1%	84.7%	50.1%	75.9%
HV 60d	52.0%	37.7%	55.8%	37.7%	54.5%
IV Rank	55.8%	23.8%	100.0%	100.0%	36.7%
IV Percentile	92.5%	68.7%	100.0%	100.0%	90.5%
Term Structure	-3.6%	-12.5%	0.7%	-5.4%	-1.2%
VWIV	53.4%	43.2%	77.3%	60.7%	45.2%
Skew 25d	3.0%	-0.6%	5.9%	-0.6%	0.7%
Skew 10d	6.6%	-0.0%	14.2%	-0.0%	1.8%
Call IV 25d	52.3%	42.5%	75.6%	61.5%	44.9%
Put IV 25d	55.3%	44.0%	81.5%	60.9%	45.6%
Bid-Ask Spread %	2.51	1.41	4.14	3.88	1.77
Gamma HHI	0.07	0.05	0.32	0.05	0.07
Net GEX	-2.3M	-42.6M	106.9M	5.5M	-6.7M
Net DEX	-550.2M	-3.34B	1.57B	-3.34B	-574.4M
Net VEX	-28.4M	-30.7M	-13.2M	-29.2M	-13.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.86	0.51	1.36	0.87	0.51
Total Volume	857,985.286	254,063	2,209,664	1,176,582	345,425
Total OI	5,296,347.619	2,014,780	6,114,306	4,708,677	2,014,780

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
2011-05-02	$42.83	$43.00	81.1%	16.9%	50.1%	100.0%	60.7%	-0.6%	-5.4%	5.5M	-3.34B	-29.2M	0.87	3.88	630,184	546,398	2,391,895	2,316,782
2011-05-03	$40.58	$43.00	84.0%	16.8%	54.3%	100.0%	60.3%	1.2%	-5.1%	-20.2M	-1.95B	-29.8M	1.00	2.35	752,652	751,060	2,498,994	2,416,655
2011-05-04	$38.27	$43.00	77.9%	16.9%	58.3%	90.0%	59.9%	2.0%	-5.8%	-42.6M	-617.6M	-29.6M	1.17	2.06	717,059	837,276	2,590,161	2,525,467
2011-05-05	$33.72	$42.00	89.1%	21.7%	73.4%	100.0%	77.3%	5.9%	-12.5%	-40.7M	1.57B	-28.2M	0.91	3.04	1,158,881	1,050,783	2,720,606	2,630,364
2011-05-06	$34.48	$42.00	78.7%	17.0%	74.1%	84.3%	59.9%	4.9%	-4.6%	-27.9M	842.6M	-29.2M	0.93	4.14	921,088	860,976	2,980,814	2,616,163
2011-05-09	$36.98	$40.00	71.8%	16.0%	78.0%	73.9%	57.4%	1.9%	-3.9%	2.3M	-1.31B	-30.7M	0.75	3.21	513,923	387,273	3,037,519	2,537,928
2011-05-10	$37.52	$40.00	60.8%	14.6%	78.1%	57.4%	51.8%	3.4%	-2.7%	6.2M	-1.61B	-30.6M	0.65	2.75	443,449	286,434	3,092,643	2,583,935
2011-05-11	$34.39	$40.00	63.4%	15.3%	83.7%	61.3%	53.5%	5.2%	-3.7%	-33.0M	672.2M	-29.0M	0.93	3.16	605,325	564,379	3,150,197	2,642,762
2011-05-12	$33.32	$40.00	56.0%	16.1%	83.8%	50.2%	57.1%	5.9%	-4.2%	-37.4M	1.24B	-28.3M	1.02	3.14	671,002	682,940	3,202,892	2,703,690
2011-05-13	$34.39	$40.00	56.3%	16.1%	83.5%	50.6%	57.3%	5.6%	-4.8%	-17.9M	347.3M	-29.9M	1.15	2.73	443,863	512,611	3,372,738	2,741,568
2011-05-16	$32.85	$40.00	59.7%	17.1%	83.8%	55.7%	60.0%	3.9%	-6.3%	-24.4M	1.07B	-28.7M	0.74	2.47	344,971	255,504	3,264,791	2,663,754
2011-05-17	$33.09	$39.00	55.1%	15.8%	83.6%	48.8%	55.9%	4.3%	-5.6%	-17.0M	971.0M	-28.3M	0.83	2.46	312,327	259,307	3,362,690	2,657,097
2011-05-18	$34.23	$39.00	50.4%	14.5%	84.7%	41.8%	51.0%	3.9%	-3.4%	-6.3M	232.4M	-29.2M	0.68	2.19	279,570	190,317	3,428,821	2,665,197
2011-05-19	$34.26	$39.00	47.3%	13.6%	83.7%	37.1%	48.0%	3.1%	-1.7%	-4.1M	231.1M	-28.9M	0.74	2.17	210,640	156,699	3,447,687	2,661,327
2011-05-20	$34.18	$38.00	45.6%	13.1%	82.2%	34.6%	46.3%	3.3%	-1.8%	-11.2M	333.7M	-28.1M	0.95	2.13	208,864	199,028	3,437,798	2,632,492
2011-05-23	$34.27	$38.00	43.5%	12.5%	82.1%	31.5%	44.3%	3.2%	-0.6%	11.8M	-866.6M	-27.6M	1.15	1.84	118,116	135,947	2,707,976	2,006,964
2011-05-24	$35.77	$38.00	43.1%	12.4%	83.9%	30.8%	44.6%	2.0%	-1.5%	26.6M	-1.68B	-28.7M	0.61	1.90	240,115	145,783	2,739,273	2,048,952
2011-05-25	$36.92	$38.00	43.7%	12.5%	80.7%	31.7%	44.3%	1.0%	-0.5%	41.5M	-2.44B	-29.4M	0.51	2.00	288,990	147,011	2,789,807	2,059,835
2011-05-26	$36.51	$38.00	43.7%	12.5%	80.4%	31.7%	44.4%	0.9%	0.0%	40.9M	-2.19B	-29.4M	1.36	1.93	200,582	272,504	2,845,801	2,083,863
2011-05-27	$37.03	$38.00	38.5%	12.1%	81.0%	23.8%	43.2%	1.5%	0.7%	106.9M	-2.48B	-29.6M	0.52	1.41	241,741	126,694	2,848,401	2,102,221
2011-05-31	$37.60	$48.00	47.0%	12.7%	75.9%	36.7%	45.2%	0.7%	-1.2%	-6.7M	-574.4M	-13.2M	0.51	1.77	229,055	116,370	972,870	1,041,910