SLV Options History — September 2011

In September 2011, SLV traded between $28.87 and $42.18. ATM implied volatility averaged 50.7%, placing in the 39.4% IV rank vs the trailing year. The 30-day expected move averaged 14.6%. IV traded below realized volatility by 0.4% (HV 20d: 51.0%). Max pain ranged from $36.00 to $39.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2011-09-23: Highest Volume — 874,002 contracts
2011-09-23: Largest IV spike — 37.6% change
2011-09-30: Highest IV Rank — 81.7%
2011-09-28: Largest Expected Move — 21.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$36.78	$28.87	$42.18	$40.52	$28.91
Max Pain	$37.71	$36.00	$39.00	$39.00	$36.00
ATM IV	50.7%	35.4%	77.6%	40.7%	77.6%
Expected Move	14.6%	11.4%	21.5%	11.7%	20.5%
HV 20d	51.0%	35.0%	76.3%	44.5%	76.3%
HV 60d	47.2%	42.1%	58.8%	42.8%	58.8%
IV Rank	39.4%	15.4%	81.7%	23.8%	81.7%
IV Percentile	72.3%	28.2%	98.0%	61.5%	98.0%
Term Structure	-1.1%	-7.7%	3.7%	2.6%	-5.8%
VWIV	52.2%	40.3%	76.8%	41.8%	72.1%
Skew 25d	3.2%	-1.0%	12.3%	0.4%	11.3%
Skew 10d	7.1%	-1.2%	24.9%	2.0%	22.7%
Call IV 25d	50.8%	40.0%	71.2%	41.8%	67.5%
Put IV 25d	54.0%	41.2%	83.5%	42.2%	78.7%
Bid-Ask Spread %	3.72	2.26	5.24	2.26	2.85
Gamma HHI	0.07	0.05	0.08	0.07	0.05
Net GEX	40.6M	7.5M	80.8M	59.5M	7.5M
Net DEX	-2.55B	-4.85B	31.9M	-3.91B	31.9M
Net VEX	-24.0M	-26.7M	-20.5M	-26.5M	-20.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.44	1.12	0.64	0.87
Total Volume	266,507.714	118,994	874,002	140,789	187,961
Total OI	3,994,199.857	3,685,471	4,309,205	3,969,009	4,309,205

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
2011-09-01	$40.52	$39.00	40.7%	11.7%	44.5%	23.8%	41.8%	0.4%	2.6%	59.5M	-3.91B	-26.5M	0.64	2.26	86,078	54,711	2,411,083	1,557,926
2011-09-02	$42.18	$39.00	38.8%	11.7%	46.1%	20.7%	41.7%	-1.0%	3.7%	80.8M	-4.85B	-26.7M	0.45	2.93	193,358	87,854	2,423,818	1,567,993
2011-09-06	$41.05	$38.00	53.1%	13.1%	47.4%	43.3%	46.8%	-0.7%	-0.3%	59.8M	-4.10B	-26.7M	0.44	2.75	192,581	84,241	2,396,929	1,534,375
2011-09-07	$40.53	$38.00	43.3%	12.8%	44.3%	27.9%	45.9%	-0.1%	-0.1%	57.6M	-3.87B	-26.3M	0.72	2.84	112,975	81,545	2,440,448	1,547,013
2011-09-08	$41.22	$38.00	41.8%	12.7%	40.3%	25.4%	45.0%	-0.1%	0.3%	66.2M	-4.27B	-26.1M	0.57	2.50	92,053	52,086	2,447,761	1,558,766
2011-09-09	$40.52	$38.00	40.9%	13.0%	40.3%	24.0%	46.6%	0.7%	0.4%	58.7M	-3.88B	-26.1M	0.58	5.05	101,822	58,889	2,452,960	1,556,288
2011-09-12	$39.14	$38.00	46.5%	13.3%	42.5%	32.8%	47.4%	1.2%	0.1%	46.2M	-3.21B	-25.2M	0.68	4.85	110,912	75,644	2,445,137	1,537,469
2011-09-13	$39.87	$38.00	39.1%	12.5%	42.6%	21.2%	44.5%	1.2%	1.0%	55.2M	-3.57B	-25.2M	0.63	4.83	80,753	50,890	2,459,797	1,547,398
2011-09-14	$39.60	$38.00	35.4%	12.2%	42.6%	15.4%	43.3%	1.4%	1.2%	53.1M	-3.41B	-24.8M	0.65	2.81	72,176	46,818	2,464,348	1,548,214
2011-09-15	$38.79	$38.00	40.8%	11.7%	43.2%	23.9%	41.7%	1.3%	1.4%	38.6M	-2.97B	-24.4M	0.55	4.92	135,483	74,959	2,474,540	1,553,376
2011-09-16	$39.39	$38.00	39.6%	11.4%	43.5%	22.1%	40.3%	1.1%	1.7%	55.9M	-3.35B	-24.5M	0.55	2.64	120,760	66,841	2,508,595	1,563,430
2011-09-19	$38.65	$38.00	40.9%	11.7%	39.7%	24.1%	41.9%	1.5%	1.2%	44.8M	-3.02B	-24.1M	0.77	4.87	126,410	97,582	2,300,305	1,385,166
2011-09-20	$38.83	$38.00	40.6%	11.6%	38.6%	23.5%	41.5%	0.7%	1.3%	47.5M	-3.12B	-24.1M	0.58	4.69	82,156	47,412	2,347,650	1,415,916
2011-09-21	$38.56	$38.00	40.3%	11.6%	35.0%	23.1%	41.4%	1.1%	1.4%	46.9M	-3.01B	-24.0M	0.68	5.24	86,124	58,688	2,366,352	1,416,036
2011-09-22	$34.92	$38.00	49.9%	14.3%	46.9%	38.2%	50.9%	1.9%	-0.7%	19.9M	-1.54B	-22.8M	0.96	5.12	258,172	247,335	2,379,403	1,426,135
2011-09-23	$29.98	$38.00	68.7%	19.7%	68.5%	67.8%	70.5%	3.7%	-6.0%	10.2M	-178.0M	-20.7M	0.81	4.96	483,672	390,330	2,425,321	1,463,371
2011-09-26	$29.77	$37.00	72.5%	20.8%	68.0%	73.7%	75.4%	8.4%	-7.3%	9.7M	-227.9M	-20.8M	0.83	2.78	314,997	260,774	2,508,895	1,499,109
2011-09-27	$31.17	$37.00	67.9%	19.5%	71.4%	66.6%	69.3%	8.9%	-6.8%	16.6M	-681.3M	-22.1M	0.82	3.25	188,435	155,460	2,605,649	1,569,909
2011-09-28	$28.87	$36.00	75.0%	21.5%	74.0%	77.7%	76.8%	12.3%	-7.7%	8.4M	-12.8M	-20.7M	1.12	2.88	165,944	185,580	2,601,478	1,576,783
2011-09-29	$29.96	$36.00	70.9%	20.3%	76.2%	71.3%	71.8%	12.0%	-5.2%	9.6M	-302.2M	-21.3M	0.84	3.08	122,636	103,565	2,641,377	1,642,473
2011-09-30	$28.91	$36.00	77.6%	20.5%	76.3%	81.7%	72.1%	11.3%	-5.8%	7.5M	31.9M	-20.5M	0.87	2.85	100,471	87,490	2,648,357	1,660,848