SLV Options History — November 2011

In November 2011, SLV traded between $30.20 and $34.08. ATM implied volatility averaged 48.3%, placing in the 31.1% IV rank vs the trailing year. The 30-day expected move averaged 13.4%. IV traded above realized volatility by 6.3% (HV 20d: 42.0%). Max pain ranged from $32.00 to $33.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 12 of 21 days. Put/call ratio averaged 0.74.

Notable Days

2011-11-17: Highest Volume — 319,704 contracts
2011-11-03: Largest IV drop — 16.6% change
2011-11-01: Highest IV Rank — 61.0%
2011-11-01: Largest Expected Move — 15.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.40	$30.20	$34.08	$32.33	$32.00
Max Pain	$32.19	$32.00	$33.00	$32.00	$32.00
ATM IV	48.3%	43.1%	67.2%	67.2%	46.7%
Expected Move	13.4%	11.8%	15.6%	15.6%	11.8%
HV 20d	42.0%	38.1%	46.0%	43.9%	43.8%
HV 60d	56.8%	55.4%	58.3%	58.3%	57.1%
IV Rank	31.1%	22.9%	61.0%	61.0%	28.5%
IV Percentile	71.6%	56.7%	92.9%	92.9%	68.3%
Term Structure	0.2%	-1.1%	1.6%	-0.7%	1.6%
VWIV	47.9%	42.1%	55.9%	55.9%	42.1%
Skew 25d	5.4%	4.0%	6.8%	5.9%	5.2%
Skew 10d	12.2%	8.7%	15.5%	14.1%	10.9%
Call IV 25d	45.1%	39.4%	52.5%	52.5%	39.4%
Put IV 25d	50.5%	44.6%	58.3%	58.3%	44.6%
Bid-Ask Spread %	2.06	1.72	2.59	2.20	1.83
Gamma HHI	0.06	0.05	0.09	0.06	0.06
Net GEX	27.6M	11.7M	43.5M	27.4M	24.7M
Net DEX	-1.40B	-2.02B	-675.8M	-1.46B	-1.21B
Net VEX	-18.7M	-20.4M	-16.7M	-20.3M	-17.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.74	0.31	1.19	0.79	0.69
Total Volume	132,934.905	80,243	319,704	148,616	100,199
Total OI	3,625,868.286	3,405,082	3,851,827	3,612,114	3,494,625

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
2011-11-01	$32.33	$32.00	67.2%	15.6%	43.9%	61.0%	55.9%	5.9%	-0.7%	27.4M	-1.46B	-20.3M	0.79	2.20	82,894	65,722	2,244,076	1,368,038
2011-11-02	$33.25	$32.00	58.1%	14.7%	44.4%	46.6%	52.3%	5.7%	0.2%	33.6M	-1.78B	-20.3M	0.68	2.02	67,868	46,411	2,248,203	1,375,416
2011-11-03	$33.62	$32.00	48.5%	13.5%	41.2%	31.3%	49.8%	4.8%	1.6%	37.3M	-1.87B	-20.4M	0.78	2.03	67,326	52,506	2,250,952	1,381,753
2011-11-04	$33.20	$32.00	43.8%	13.5%	39.6%	23.9%	48.4%	4.2%	-0.4%	33.2M	-1.70B	-19.9M	0.89	2.59	53,809	47,905	2,259,698	1,397,448
2011-11-07	$34.08	$32.00	50.3%	13.5%	39.0%	34.2%	49.4%	4.2%	-0.8%	37.8M	-2.02B	-19.5M	0.71	2.09	72,629	51,293	2,241,156	1,382,589
2011-11-08	$34.00	$32.00	45.3%	13.3%	39.0%	26.3%	48.9%	4.0%	0.0%	39.8M	-2.02B	-19.4M	0.31	2.34	140,754	43,833	2,261,515	1,395,768
2011-11-09	$33.10	$32.00	47.5%	14.1%	40.4%	29.8%	51.0%	5.7%	-0.7%	35.1M	-1.68B	-19.7M	0.60	2.31	100,479	60,149	2,297,520	1,408,958
2011-11-10	$33.14	$32.00	47.5%	13.6%	38.9%	29.9%	48.5%	5.3%	-0.2%	32.4M	-1.63B	-19.6M	0.84	2.11	78,022	65,163	2,319,562	1,423,109
2011-11-11	$33.74	$32.00	43.6%	12.5%	39.1%	23.6%	44.6%	4.6%	1.2%	41.7M	-1.85B	-19.6M	0.66	2.10	78,451	51,698	2,326,901	1,436,849
2011-11-14	$33.33	$33.00	44.6%	12.8%	39.3%	25.2%	45.6%	4.9%	1.0%	39.9M	-1.72B	-19.1M	0.68	1.88	69,617	47,579	2,317,531	1,422,062
2011-11-15	$33.66	$33.00	43.5%	12.5%	39.3%	23.5%	44.7%	4.9%	0.8%	43.5M	-1.85B	-19.2M	0.70	1.90	57,415	40,052	2,325,063	1,434,782
2011-11-16	$32.82	$33.00	44.2%	12.7%	38.1%	24.6%	45.2%	5.7%	1.2%	28.3M	-1.47B	-18.8M	0.60	1.90	71,140	42,417	2,337,032	1,445,025
2011-11-17	$30.64	$33.00	49.5%	14.2%	45.6%	33.0%	51.4%	6.2%	-0.7%	11.7M	-724.5M	-17.7M	0.95	1.89	163,868	155,836	2,338,543	1,443,231
2011-11-18	$31.40	$32.00	46.2%	13.2%	45.5%	27.7%	47.6%	6.3%	-0.3%	17.3M	-992.8M	-18.0M	1.07	2.01	79,943	85,498	2,369,508	1,482,319
2011-11-21	$30.76	$32.00	45.7%	13.1%	46.0%	27.0%	48.7%	5.8%	0.3%	13.9M	-827.6M	-17.5M	1.19	1.77	66,746	79,368	2,112,963	1,292,119
2011-11-22	$31.89	$32.00	43.1%	12.4%	44.3%	22.9%	43.6%	6.0%	1.1%	21.0M	-1.16B	-17.9M	0.72	1.94	71,468	51,804	2,122,442	1,311,224
2011-11-23	$30.93	$32.00	46.5%	13.3%	45.5%	28.3%	47.5%	5.8%	0.1%	15.2M	-877.2M	-17.4M	0.80	2.42	56,619	45,498	2,141,759	1,315,875
2011-11-25	$30.20	$32.00	52.3%	14.4%	42.0%	37.5%	51.0%	6.8%	-1.1%	11.9M	-675.8M	-17.0M	0.92	2.40	41,739	38,504	2,157,776	1,322,261
2011-11-28	$31.27	$32.00	50.6%	13.2%	44.3%	34.8%	46.5%	6.4%	-0.2%	16.5M	-975.5M	-16.7M	0.58	1.87	53,479	31,110	2,145,313	1,311,818
2011-11-29	$31.03	$32.00	50.4%	12.7%	43.7%	34.5%	44.1%	5.8%	0.3%	16.8M	-901.9M	-16.8M	0.35	1.72	84,835	29,987	2,161,236	1,319,216
2011-11-30	$32.00	$32.00	46.7%	11.8%	43.8%	28.5%	42.1%	5.2%	1.6%	24.7M	-1.21B	-17.1M	0.69	1.83	59,338	40,861	2,169,282	1,325,343