SLV Options History — October 2011

In October 2011, SLV traded between $29.09 and $34.27. ATM implied volatility averaged 58.4%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 15.9%. IV traded below realized volatility by 9.2% (HV 20d: 67.6%). Max pain ranged from $31.00 to $36.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.82.

Notable Days

2011-10-27: Highest Volume — 307,873 contracts
2011-10-12: Largest IV drop — 20.4% change
2011-10-04: Highest IV Rank — 100.0%
2011-10-04: Largest Expected Move — 20.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.28	$29.09	$34.27	$29.49	$33.44
Max Pain	$32.81	$31.00	$36.00	$36.00	$31.00
ATM IV	58.4%	46.0%	91.8%	86.8%	54.8%
Expected Move	15.9%	13.2%	20.6%	20.6%	14.0%
HV 20d	67.6%	40.7%	80.6%	74.6%	42.1%
HV 60d	58.7%	57.9%	59.9%	59.0%	58.1%
IV Rank	47.3%	27.4%	100.0%	96.2%	41.4%
IV Percentile	87.4%	69.0%	100.0%	99.6%	87.7%
Term Structure	-1.1%	-6.2%	0.9%	-6.2%	0.2%
VWIV	56.9%	47.3%	73.9%	71.4%	51.0%
Skew 25d	7.1%	2.1%	13.0%	13.0%	3.6%
Skew 10d	15.8%	6.2%	25.9%	25.9%	10.6%
Call IV 25d	53.2%	46.3%	66.8%	66.3%	48.1%
Put IV 25d	60.3%	48.4%	79.3%	79.3%	51.7%
Bid-Ask Spread %	2.52	2.01	3.13	3.05	2.29
Gamma HHI	0.05	0.05	0.06	0.05	0.06
Net GEX	17.9M	2.0M	42.0M	9.3M	34.7M
Net DEX	-806.6M	-2.26B	-28.1M	-209.3M	-1.84B
Net VEX	-20.3M	-22.0M	-18.6M	-20.8M	-20.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.82	0.38	1.45	0.65	1.08
Total Volume	165,428.095	61,048	307,873	179,083	116,621
Total OI	4,108,065.81	3,477,047	4,414,481	4,227,441	3,557,540

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
2011-10-03	$29.49	$36.00	86.8%	20.6%	74.6%	96.2%	71.4%	13.0%	-6.2%	9.3M	-209.3M	-20.8M	0.65	3.05	108,279	70,804	2,604,328	1,623,113
2011-10-04	$29.09	$36.00	91.8%	20.6%	74.5%	100.0%	73.9%	11.7%	-2.8%	8.6M	-115.1M	-20.6M	1.45	2.84	101,181	146,408	2,636,828	1,640,585
2011-10-05	$29.66	$36.00	76.7%	19.0%	75.6%	76.4%	67.8%	10.4%	-2.9%	10.1M	-227.4M	-20.6M	0.55	2.63	112,030	61,888	2,641,822	1,651,745
2011-10-06	$31.20	$35.00	64.0%	17.8%	78.4%	56.0%	63.3%	7.3%	0.2%	20.6M	-805.2M	-22.0M	0.59	2.68	118,214	69,415	2,665,801	1,654,315
2011-10-07	$30.23	$33.00	59.9%	17.4%	78.7%	49.5%	60.6%	7.2%	-2.3%	11.2M	-426.7M	-20.7M	0.63	2.90	158,190	100,059	2,684,112	1,663,634
2011-10-10	$31.26	$33.00	64.0%	16.7%	80.1%	56.0%	58.9%	6.3%	-1.8%	15.0M	-692.6M	-20.9M	1.19	2.88	59,177	70,199	2,645,469	1,645,788
2011-10-11	$31.38	$33.00	61.0%	16.3%	79.5%	51.2%	57.1%	5.7%	-1.7%	16.1M	-727.5M	-21.1M	0.81	2.05	61,261	49,577	2,660,205	1,677,898
2011-10-12	$31.77	$33.00	48.5%	15.0%	80.0%	31.4%	54.5%	5.0%	0.1%	18.3M	-849.0M	-20.8M	0.70	2.59	82,971	58,227	2,654,849	1,678,840
2011-10-13	$30.94	$33.00	53.2%	15.2%	80.1%	38.8%	57.6%	5.5%	-0.3%	12.8M	-479.4M	-20.4M	0.75	2.11	73,245	54,584	2,652,216	1,692,794
2011-10-14	$31.34	$33.00	49.2%	14.1%	80.0%	32.6%	50.3%	5.4%	0.3%	13.8M	-582.5M	-20.1M	1.06	2.01	62,556	66,399	2,658,900	1,704,336
2011-10-17	$31.04	$33.00	51.4%	14.7%	80.0%	36.0%	53.0%	7.5%	-0.6%	13.1M	-455.7M	-19.6M	1.01	2.49	50,840	51,345	2,636,848	1,681,658
2011-10-18	$31.33	$33.00	51.2%	14.7%	80.1%	35.6%	52.7%	6.9%	-0.3%	15.2M	-547.0M	-19.7M	0.68	3.02	93,719	63,652	2,641,654	1,689,387
2011-10-19	$30.23	$32.00	53.8%	15.4%	80.6%	39.9%	55.6%	8.1%	-1.6%	7.0M	-162.6M	-18.6M	1.16	3.13	55,803	64,836	2,654,408	1,694,396
2011-10-20	$29.73	$32.00	56.5%	16.2%	73.8%	44.1%	58.9%	9.4%	-1.5%	2.0M	-28.1M	-18.6M	1.37	2.13	99,262	135,558	2,657,335	1,697,660
2011-10-21	$30.48	$32.00	54.5%	15.6%	51.1%	40.8%	54.2%	9.5%	-1.0%	7.5M	-301.1M	-18.8M	0.62	2.25	123,639	76,908	2,683,879	1,730,602
2011-10-24	$30.87	$31.00	50.5%	14.5%	51.2%	34.6%	52.0%	10.3%	-0.2%	18.9M	-926.5M	-18.9M	0.87	2.36	55,610	48,257	2,153,329	1,323,718
2011-10-25	$32.43	$31.00	51.5%	14.8%	51.6%	36.2%	52.4%	5.5%	-0.4%	29.0M	-1.52B	-20.3M	0.49	2.19	164,837	80,440	2,175,639	1,339,601
2011-10-26	$32.50	$31.00	51.8%	14.9%	42.4%	36.6%	52.5%	5.5%	-0.8%	32.4M	-1.58B	-19.9M	0.64	2.60	37,326	23,722	2,212,902	1,358,648
2011-10-27	$34.10	$31.00	48.6%	13.9%	43.7%	31.6%	50.3%	3.1%	0.4%	42.0M	-2.21B	-21.3M	0.38	2.34	223,558	84,315	2,224,943	1,372,024
2011-10-28	$34.27	$31.00	46.0%	13.2%	40.7%	27.4%	47.3%	2.1%	0.9%	39.2M	-2.26B	-21.2M	0.50	2.42	92,929	46,149	2,262,191	1,383,442
2011-10-31	$33.44	$31.00	54.8%	14.0%	42.1%	41.4%	51.0%	3.6%	0.2%	34.7M	-1.84B	-20.5M	1.08	2.29	56,067	60,554	2,220,617	1,336,923