SLV Options History — July 2011

In July 2011, SLV traded between $33.00 and $39.89. ATM implied volatility averaged 37.7%, placing in the 22.7% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded below realized volatility by 0.9% (HV 20d: 38.7%). Max pain ranged from $34.00 to $37.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.62.

Notable Days

2011-07-14: Highest Volume — 512,510 contracts
2011-07-05: Largest IV spike — 31.4% change
2011-07-29: Highest IV Rank — 30.4%
2011-07-18: Largest Expected Move — 11.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$37.35	$33.00	$39.89	$33.00	$38.85
Max Pain	$35.40	$34.00	$37.00	$35.00	$37.00
ATM IV	37.7%	29.5%	42.9%	30.3%	42.9%
Expected Move	10.9%	9.2%	11.9%	9.2%	11.7%
HV 20d	38.7%	33.1%	43.9%	33.5%	39.0%
HV 60d	56.5%	51.1%	58.3%	56.4%	51.1%
IV Rank	22.7%	10.4%	30.4%	11.5%	30.4%
IV Percentile	57.7%	26.6%	78.2%	27.8%	78.2%
Term Structure	0.8%	-0.3%	2.8%	2.8%	0.1%
VWIV	38.7%	32.3%	42.3%	32.3%	41.6%
Skew 25d	0.2%	-1.2%	2.2%	2.2%	1.3%
Skew 10d	0.6%	-1.9%	3.7%	3.7%	2.5%
Call IV 25d	38.8%	31.6%	43.1%	31.6%	41.3%
Put IV 25d	39.0%	33.8%	42.5%	33.8%	42.5%
Bid-Ask Spread %	2.35	1.54	2.88	1.54	2.16
Gamma HHI	0.09	0.06	0.21	0.07	0.08
Net GEX	47.6M	-3.9M	79.7M	-3.9M	44.3M
Net DEX	-2.77B	-3.76B	-648.6M	-648.6M	-3.16B
Net VEX	-24.5M	-26.0M	-22.4M	-22.4M	-25.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.34	1.15	0.92	0.77
Total Volume	261,552.35	163,880	512,510	187,620	197,094
Total OI	3,973,989.75	3,260,559	4,550,609	4,405,752	3,620,426

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
2011-07-01	$33.00	$35.00	30.3%	9.2%	33.5%	11.5%	32.3%	2.2%	2.8%	-3.9M	-648.6M	-22.4M	0.92	1.54	97,577	90,043	2,568,922	1,836,830
2011-07-05	$34.63	$34.00	39.8%	10.1%	37.9%	25.8%	35.9%	1.0%	1.0%	18.8M	-1.52B	-23.0M	0.64	2.88	154,697	99,137	2,558,529	1,806,077
2011-07-06	$35.10	$34.00	34.0%	10.0%	38.0%	17.2%	35.3%	1.0%	1.7%	34.2M	-1.85B	-23.2M	0.60	2.28	102,282	61,598	2,600,697	1,817,691
2011-07-07	$35.50	$34.00	31.9%	9.7%	38.3%	13.9%	34.2%	0.5%	1.5%	42.1M	-2.06B	-23.1M	1.15	2.62	113,963	131,024	2,613,351	1,814,508
2011-07-08	$35.75	$34.00	29.5%	9.6%	37.8%	10.4%	33.9%	0.3%	1.8%	48.0M	-2.26B	-23.2M	0.65	2.69	107,042	69,245	2,636,337	1,810,148
2011-07-11	$34.90	$34.00	36.2%	10.3%	36.1%	20.4%	36.5%	0.4%	1.4%	30.0M	-1.74B	-22.9M	0.73	2.50	100,428	73,036	2,621,614	1,795,161
2011-07-12	$35.20	$35.00	34.7%	10.3%	33.1%	18.1%	36.7%	-0.1%	1.0%	36.4M	-1.90B	-23.0M	0.51	2.03	130,407	66,311	2,637,201	1,801,008
2011-07-13	$37.23	$34.00	36.2%	11.1%	37.6%	20.4%	39.0%	-0.3%	0.6%	79.7M	-3.15B	-23.9M	0.42	2.37	331,230	139,933	2,646,935	1,798,652
2011-07-14	$37.41	$35.00	38.8%	11.1%	37.6%	24.3%	39.3%	-0.6%	0.8%	79.7M	-3.26B	-24.4M	0.36	2.72	375,972	136,538	2,679,876	1,817,818
2011-07-15	$38.24	$35.00	38.5%	11.0%	37.9%	23.8%	38.9%	-0.7%	1.4%	71.3M	-3.76B	-24.6M	0.34	2.61	220,809	73,966	2,709,576	1,841,033
2011-07-18	$39.47	$35.00	41.6%	11.9%	39.1%	28.5%	42.3%	-1.2%	-0.3%	48.4M	-3.51B	-25.2M	0.35	2.37	253,141	89,275	1,984,546	1,276,013
2011-07-19	$38.01	$36.00	39.6%	11.3%	42.1%	25.4%	40.3%	-0.8%	0.2%	46.2M	-2.94B	-25.0M	0.64	2.19	216,003	138,910	2,078,897	1,309,380
2011-07-20	$39.12	$36.00	40.6%	11.6%	42.9%	27.0%	41.4%	-0.3%	0.0%	55.6M	-3.37B	-25.4M	0.45	2.32	252,489	113,788	2,105,569	1,351,387
2011-07-21	$38.31	$36.00	40.7%	11.7%	43.9%	27.1%	41.3%	0.0%	-0.3%	48.0M	-3.09B	-25.8M	0.57	1.98	165,255	94,814	2,181,323	1,387,220
2011-07-22	$39.07	$36.00	38.6%	11.1%	42.0%	24.0%	39.3%	0.0%	1.3%	72.3M	-3.46B	-25.9M	0.46	2.16	189,274	87,011	2,208,398	1,406,927
2011-07-25	$39.31	$37.00	39.9%	11.4%	39.8%	26.0%	41.2%	0.5%	1.0%	51.0M	-3.47B	-25.9M	0.60	2.47	110,483	66,395	2,125,246	1,369,091
2011-07-26	$39.89	$37.00	39.9%	11.5%	38.2%	26.0%	40.6%	-0.4%	0.4%	55.2M	-3.71B	-26.0M	0.60	2.40	105,281	62,992	2,137,892	1,397,180
2011-07-27	$39.17	$37.00	40.6%	11.6%	39.5%	27.0%	41.4%	0.3%	0.1%	50.3M	-3.38B	-25.7M	0.69	2.35	134,982	93,068	2,142,048	1,403,082
2011-07-28	$38.76	$37.00	40.5%	11.6%	39.2%	26.9%	41.5%	0.9%	0.2%	44.2M	-3.16B	-25.5M	0.87	2.32	99,290	86,264	2,158,006	1,425,200
2011-07-29	$38.85	$37.00	42.9%	11.7%	39.0%	30.4%	41.6%	1.3%	0.1%	44.3M	-3.16B	-25.5M	0.77	2.16	111,622	85,472	2,170,311	1,450,115