SLV Options History — August 2011

In August 2011, SLV traded between $36.32 and $42.63. ATM implied volatility averaged 49.8%, placing in the 39.7% IV rank vs the trailing year. The 30-day expected move averaged 13.0%. IV traded above realized volatility by 1.7% (HV 20d: 48.0%). Max pain ranged from $37.00 to $39.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 13 of 23 days. Put/call ratio averaged 0.64.

Notable Days

2011-08-04: Highest Volume — 702,201 contracts
2011-08-08: Largest IV spike — 32.9% change
2011-08-08: Highest IV Rank — 72.0%
2011-08-08: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$39.29	$36.32	$42.63	$38.29	$40.45
Max Pain	$38.35	$37.00	$39.00	$37.00	$39.00
ATM IV	49.8%	40.0%	70.5%	45.7%	52.9%
Expected Move	13.0%	11.3%	14.9%	11.4%	12.5%
HV 20d	48.0%	36.8%	54.5%	38.0%	52.6%
HV 60d	42.2%	40.6%	44.9%	43.8%	42.8%
IV Rank	39.7%	25.4%	72.0%	34.6%	42.9%
IV Percentile	86.0%	61.9%	97.6%	85.3%	92.5%
Term Structure	-0.0%	-3.9%	1.8%	0.0%	1.8%
VWIV	46.2%	40.2%	53.0%	40.3%	44.5%
Skew 25d	0.9%	-1.2%	3.7%	1.6%	-0.4%
Skew 10d	2.0%	-2.1%	8.2%	2.5%	-0.2%
Call IV 25d	46.1%	39.8%	53.0%	39.8%	44.9%
Put IV 25d	47.0%	40.3%	54.3%	41.4%	44.5%
Bid-Ask Spread %	2.94	1.96	4.12	2.12	3.21
Gamma HHI	0.07	0.06	0.11	0.08	0.07
Net GEX	50.1M	28.3M	72.7M	40.2M	56.6M
Net DEX	-3.45B	-4.98B	-2.16B	-2.91B	-3.90B
Net VEX	-26.7M	-27.6M	-24.9M	-24.9M	-27.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.64	0.46	0.98	0.59	0.57
Total Volume	297,584.261	149,629	702,201	183,089	178,342
Total OI	3,872,115.043	3,576,572	4,029,724	3,576,572	3,942,754

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
2011-08-01	$38.29	$37.00	45.7%	11.4%	38.0%	34.6%	40.3%	1.6%	0.0%	40.2M	-2.91B	-24.9M	0.59	2.12	114,973	68,116	2,139,335	1,437,237
2011-08-02	$39.82	$37.00	48.9%	11.6%	36.8%	39.4%	41.2%	0.7%	-0.2%	55.7M	-3.64B	-25.6M	0.81	2.38	148,361	120,732	2,165,802	1,447,081
2011-08-03	$40.55	$37.00	47.4%	11.3%	36.9%	37.3%	40.2%	0.1%	0.8%	67.3M	-4.10B	-25.8M	0.52	2.32	278,387	144,282	2,214,639	1,475,665
2011-08-04	$37.61	$37.00	58.9%	14.1%	47.1%	54.5%	49.9%	3.7%	-3.9%	36.2M	-2.66B	-26.3M	0.71	3.62	411,198	291,003	2,287,889	1,519,827
2011-08-05	$37.32	$39.00	53.0%	13.5%	47.2%	45.7%	47.5%	1.7%	-1.1%	35.0M	-2.49B	-26.5M	0.98	3.99	229,680	225,648	2,328,497	1,547,960
2011-08-08	$37.97	$39.00	70.5%	14.9%	46.4%	72.0%	53.0%	1.3%	-2.8%	40.8M	-2.93B	-26.9M	0.57	3.37	231,144	132,712	2,296,041	1,501,328
2011-08-09	$36.32	$39.00	67.7%	14.2%	49.5%	67.7%	50.4%	2.3%	-0.9%	28.3M	-2.16B	-26.5M	0.76	4.05	201,211	152,718	2,344,755	1,531,754
2011-08-10	$38.44	$39.00	52.4%	14.2%	49.6%	44.2%	50.5%	1.1%	-1.4%	49.2M	-3.21B	-27.2M	0.76	4.06	195,883	148,167	2,368,528	1,541,849
2011-08-11	$37.80	$38.00	47.6%	13.7%	50.0%	37.0%	49.0%	1.9%	-0.4%	41.6M	-2.83B	-27.0M	0.78	3.32	141,022	110,620	2,398,701	1,578,282
2011-08-12	$38.12	$38.00	43.6%	12.5%	49.4%	30.9%	44.3%	1.4%	1.2%	44.9M	-2.98B	-26.9M	0.60	3.61	106,315	64,008	2,410,735	1,594,622
2011-08-15	$38.67	$38.00	41.5%	11.9%	48.3%	27.6%	42.1%	1.0%	1.0%	51.7M	-3.23B	-26.3M	0.56	2.66	111,621	62,402	2,382,821	1,572,837
2011-08-16	$39.03	$38.00	41.7%	11.9%	46.4%	27.9%	42.2%	1.3%	1.0%	61.9M	-3.47B	-26.4M	0.54	2.42	97,117	52,512	2,417,684	1,581,743
2011-08-17	$39.33	$38.00	40.0%	11.5%	45.4%	25.4%	40.6%	0.8%	1.6%	68.0M	-3.65B	-26.2M	0.53	2.29	104,399	55,739	2,421,125	1,577,384
2011-08-18	$39.66	$38.00	41.5%	11.9%	44.7%	27.7%	42.7%	0.4%	1.4%	72.7M	-3.84B	-26.6M	0.48	3.11	114,995	55,402	2,430,725	1,584,535
2011-08-19	$41.68	$38.00	45.9%	13.2%	47.5%	34.4%	47.1%	-1.2%	0.1%	72.7M	-4.98B	-27.2M	0.46	2.19	331,594	151,129	2,437,576	1,592,148
2011-08-22	$42.63	$39.00	48.5%	13.9%	48.0%	38.3%	49.7%	0.0%	-0.4%	58.2M	-4.81B	-27.6M	0.64	2.58	231,529	147,487	2,256,209	1,473,496
2011-08-23	$40.63	$39.00	48.5%	13.9%	51.2%	36.1%	49.6%	0.2%	-0.5%	47.2M	-3.85B	-27.6M	0.56	4.12	211,412	117,681	2,287,341	1,501,683
2011-08-24	$38.83	$39.00	49.2%	14.1%	53.4%	37.3%	50.3%	0.8%	0.2%	33.4M	-3.00B	-27.0M	0.87	2.48	205,773	179,061	2,309,644	1,518,116
2011-08-25	$40.00	$39.00	48.5%	13.9%	54.3%	36.2%	49.7%	0.5%	-0.4%	40.7M	-3.58B	-27.4M	0.54	1.96	204,238	110,162	2,338,490	1,550,280
2011-08-26	$40.41	$39.00	47.0%	12.7%	54.4%	33.8%	45.7%	0.8%	1.2%	50.4M	-3.82B	-27.3M	0.69	2.65	162,169	112,133	2,388,561	1,556,708
2011-08-29	$39.72	$39.00	51.0%	12.7%	54.5%	39.9%	45.4%	1.4%	0.4%	47.1M	-3.47B	-27.1M	0.75	2.38	89,596	67,450	2,357,422	1,520,832
2011-08-30	$40.40	$39.00	52.5%	12.8%	53.0%	42.2%	45.5%	-0.3%	0.9%	53.0M	-3.88B	-26.9M	0.52	2.67	114,549	59,766	2,380,236	1,547,769
2011-08-31	$40.45	$39.00	52.9%	12.5%	52.6%	42.9%	44.5%	-0.4%	1.8%	56.6M	-3.90B	-27.1M	0.57	3.21	113,495	64,847	2,396,737	1,546,017