SLV Options History — June 2011

In June 2011, SLV traded between $32.63 and $36.67. ATM implied volatility averaged 42.6%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 11.7%. IV traded below realized volatility by 0.6% (HV 20d: 43.2%). Max pain ranged from $35.00 to $38.00. Net GEX was positive for 20 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.88.

Notable Days

2011-06-02: Highest Volume — 431,820 contracts
2011-06-30: Largest IV drop — 20.1% change
2011-06-01: Highest IV Rank — 56.9%
2011-06-01: Largest Expected Move — 13.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$34.84	$32.63	$36.67	$35.75	$33.84
Max Pain	$35.77	$35.00	$38.00	$38.00	$35.00
ATM IV	42.6%	31.1%	60.5%	60.5%	31.1%
Expected Move	11.7%	9.3%	13.8%	13.8%	9.3%
HV 20d	43.2%	32.5%	75.6%	75.6%	32.5%
HV 60d	55.6%	54.6%	56.4%	55.5%	56.2%
IV Rank	30.1%	12.8%	56.9%	56.9%	12.8%
IV Percentile	74.6%	28.6%	96.4%	96.4%	28.6%
Term Structure	-0.3%	-2.7%	1.7%	-1.8%	1.7%
VWIV	41.7%	33.4%	49.6%	49.6%	33.4%
Skew 25d	3.3%	2.2%	4.3%	2.5%	2.6%
Skew 10d	7.3%	4.8%	8.9%	6.6%	6.3%
Call IV 25d	40.2%	32.1%	48.4%	48.4%	32.1%
Put IV 25d	43.4%	34.7%	50.9%	50.9%	34.7%
Bid-Ask Spread %	1.80	1.36	2.66	1.98	1.36
Gamma HHI	0.05	0.05	0.06	0.05	0.06
Net GEX	17.8M	-2.6M	42.3M	21.9M	11.1M
Net DEX	-1.31B	-2.16B	-458.6M	-1.67B	-1.09B
Net VEX	-26.0M	-29.3M	-23.0M	-29.3M	-23.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.88	0.57	1.15	0.86	1.15
Total Volume	247,196.591	149,019	431,820	417,259	156,218
Total OI	4,730,695.182	4,156,280	5,110,165	4,940,723	4,359,398

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
2011-06-01	$35.75	$38.00	60.5%	13.8%	75.6%	56.9%	49.6%	2.5%	-1.8%	21.9M	-1.67B	-29.3M	0.86	1.98	224,309	192,950	2,876,785	2,063,938
2011-06-02	$35.29	$38.00	48.9%	13.5%	73.1%	39.4%	47.8%	3.4%	-1.3%	12.0M	-1.35B	-28.6M	1.11	1.88	204,423	227,397	2,892,582	2,085,570
2011-06-03	$35.34	$36.00	45.0%	12.8%	57.0%	33.6%	45.3%	2.7%	-1.9%	17.6M	-1.33B	-28.2M	0.88	2.66	215,713	188,848	2,886,197	2,110,272
2011-06-06	$35.71	$36.00	48.6%	12.9%	56.6%	39.0%	46.5%	2.5%	-2.4%	26.0M	-1.65B	-28.2M	0.79	2.04	144,955	114,903	2,917,337	2,100,552
2011-06-07	$36.12	$36.00	50.2%	12.7%	50.8%	41.4%	45.0%	2.2%	-2.7%	33.6M	-1.91B	-28.3M	0.65	2.01	121,769	78,913	2,948,252	2,114,572
2011-06-08	$36.03	$36.00	40.3%	12.3%	50.4%	26.6%	43.8%	3.4%	-1.5%	31.4M	-1.77B	-27.6M	0.86	1.87	90,023	77,660	2,958,982	2,122,257
2011-06-09	$36.67	$36.00	40.9%	11.7%	39.5%	27.5%	42.2%	2.7%	-0.5%	42.3M	-2.16B	-27.9M	0.93	1.65	104,709	97,035	2,957,329	2,133,905
2011-06-10	$35.25	$36.00	41.6%	11.9%	40.5%	28.5%	41.5%	3.4%	-1.2%	18.4M	-1.19B	-27.0M	0.69	1.74	209,411	145,194	2,970,655	2,139,510
2011-06-13	$33.87	$36.00	43.0%	12.3%	41.7%	30.6%	44.0%	4.0%	-2.1%	2.3M	-458.6M	-25.8M	1.01	1.80	192,566	194,136	2,938,054	2,118,429
2011-06-14	$34.67	$36.00	40.2%	11.5%	38.9%	26.4%	41.4%	3.2%	-0.9%	8.9M	-901.7M	-25.9M	0.95	2.14	107,501	102,364	2,931,106	2,136,734
2011-06-15	$34.88	$36.00	42.1%	12.1%	38.9%	29.2%	42.9%	3.3%	-1.7%	17.2M	-1.13B	-26.0M	1.00	1.99	140,452	139,843	2,938,987	2,127,015
2011-06-16	$34.65	$36.00	41.1%	11.8%	37.2%	27.8%	42.3%	3.6%	-0.1%	10.6M	-967.3M	-25.6M	0.84	1.91	86,722	73,070	2,950,181	2,130,401
2011-06-17	$34.95	$36.00	39.6%	11.4%	37.3%	25.5%	40.4%	3.1%	1.1%	22.8M	-1.30B	-25.8M	0.83	1.66	114,767	94,948	2,963,634	2,105,226
2011-06-20	$35.09	$35.00	38.4%	11.0%	37.3%	23.6%	39.1%	3.3%	0.9%	21.9M	-1.66B	-25.2M	0.57	1.56	108,879	62,101	2,420,222	1,736,058
2011-06-21	$35.51	$35.00	38.3%	11.0%	37.5%	23.5%	40.0%	3.5%	1.0%	30.3M	-1.92B	-25.3M	0.73	1.82	115,678	84,332	2,460,026	1,746,854
2011-06-22	$35.50	$35.00	37.8%	10.8%	34.2%	22.9%	38.9%	3.9%	1.3%	32.6M	-1.90B	-25.5M	0.84	1.66	80,820	68,199	2,480,490	1,766,430
2011-06-23	$34.37	$35.00	39.3%	11.3%	33.8%	25.1%	39.7%	3.9%	0.7%	15.9M	-1.30B	-24.9M	0.75	1.67	151,344	113,790	2,500,917	1,774,893
2011-06-24	$33.36	$35.00	41.3%	11.1%	35.0%	28.1%	39.1%	3.9%	0.9%	5.4M	-795.2M	-24.0M	0.97	1.59	115,329	111,443	2,518,031	1,794,071
2011-06-27	$32.63	$35.00	46.3%	11.3%	34.8%	35.6%	41.0%	4.3%	0.4%	-2.6M	-512.5M	-23.2M	1.10	1.59	113,914	124,812	2,486,865	1,774,011
2011-06-28	$33.00	$35.00	44.7%	10.9%	34.5%	33.2%	38.2%	3.9%	0.9%	-183.4K	-674.2M	-23.1M	0.88	1.52	84,232	73,781	2,515,295	1,792,028
2011-06-29	$34.01	$35.00	38.9%	9.7%	32.7%	24.5%	34.5%	2.6%	1.7%	12.4M	-1.19B	-23.3M	0.87	1.52	101,091	87,781	2,528,534	1,802,709
2011-06-30	$33.84	$35.00	31.1%	9.3%	32.5%	12.8%	33.4%	2.6%	1.7%	11.1M	-1.09B	-23.0M	1.15	1.36	72,614	83,604	2,547,691	1,811,707