SLV Options History — December 2011

In December 2011, SLV traded between $26.27 and $31.93. ATM implied volatility averaged 40.5%, placing in the 18.6% IV rank vs the trailing year. The 30-day expected move averaged 11.5%. IV traded below realized volatility by 2.2% (HV 20d: 42.7%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 16 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.84.

Notable Days

2011-12-14: Highest Volume — 324,914 contracts
2011-12-05: Largest IV spike — 22.6% change
2011-12-14: Highest IV Rank — 36.2%
2011-12-14: Largest Expected Move — 13.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$29.32	$26.27	$31.93	$31.86	$26.94
Max Pain	$30.19	$30.00	$32.00	$32.00	$30.00
ATM IV	40.5%	35.0%	51.5%	41.3%	37.1%
Expected Move	11.5%	10.4%	13.4%	11.7%	11.1%
HV 20d	42.7%	37.2%	47.8%	42.5%	41.7%
HV 60d	51.4%	41.5%	58.4%	57.1%	43.1%
IV Rank	18.6%	10.0%	36.2%	20.0%	13.3%
IV Percentile	42.3%	15.5%	82.1%	49.2%	25.0%
Term Structure	2.1%	0.1%	4.0%	2.0%	2.8%
VWIV	41.0%	35.9%	47.2%	41.7%	39.3%
Skew 25d	5.5%	3.5%	8.0%	3.6%	4.6%
Skew 10d	11.6%	7.4%	16.3%	9.8%	10.5%
Call IV 25d	38.5%	34.7%	43.7%	40.5%	37.5%
Put IV 25d	43.9%	39.6%	51.7%	44.1%	42.1%
Bid-Ask Spread %	2.11	1.76	3.42	1.76	1.80
Gamma HHI	0.07	0.05	0.10	0.06	0.07
Net GEX	7.7M	-7.7M	27.6M	27.6M	2.7M
Net DEX	-402.0M	-1.20B	385.6M	-1.20B	201.6M
Net VEX	-14.6M	-17.2M	-12.2M	-17.2M	-12.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.35	1.29	0.53	0.85
Total Volume	141,454.095	61,366	324,914	95,838	174,189
Total OI	3,529,401.619	3,344,347	3,721,563	3,512,381	3,540,028

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
2011-12-01	$31.86	$32.00	41.3%	11.7%	42.5%	20.0%	41.7%	3.6%	2.0%	27.6M	-1.20B	-17.2M	0.53	1.76	62,561	33,277	2,186,002	1,326,379
2011-12-02	$31.65	$32.00	35.0%	10.9%	42.2%	10.0%	39.3%	4.2%	3.4%	22.6M	-1.10B	-16.9M	0.74	1.91	65,040	48,379	2,207,778	1,333,639
2011-12-05	$31.05	$30.00	42.9%	12.1%	42.5%	22.5%	43.1%	5.3%	1.1%	17.4M	-908.3M	-16.3M	0.60	1.96	60,008	35,933	2,190,614	1,322,900
2011-12-06	$31.93	$30.00	44.8%	11.6%	42.6%	25.5%	41.4%	4.3%	1.5%	26.4M	-1.17B	-16.7M	0.58	1.87	70,248	40,610	2,207,579	1,333,594
2011-12-07	$31.61	$30.00	38.5%	11.5%	42.7%	15.5%	42.9%	3.5%	1.8%	24.4M	-1.09B	-16.4M	0.93	2.07	44,824	41,626	2,223,110	1,343,679
2011-12-08	$30.70	$30.00	42.1%	12.2%	42.9%	21.3%	43.7%	5.2%	1.4%	13.5M	-767.5M	-16.0M	0.67	2.28	101,448	67,980	2,241,334	1,347,907
2011-12-09	$31.33	$30.00	36.4%	11.4%	43.7%	12.3%	40.6%	4.7%	1.8%	20.5M	-969.4M	-16.1M	0.70	1.97	58,409	40,844	2,255,014	1,363,221
2011-12-12	$30.49	$30.00	44.0%	12.1%	43.8%	24.3%	42.8%	4.6%	0.7%	10.2M	-670.1M	-15.2M	0.88	2.14	85,811	75,508	2,239,006	1,349,912
2011-12-13	$29.82	$30.00	44.2%	11.9%	44.2%	24.6%	42.7%	6.4%	1.4%	4.2M	-418.4M	-15.0M	1.14	2.47	77,931	88,648	2,242,724	1,381,279
2011-12-14	$28.07	$30.00	51.5%	13.4%	47.8%	36.2%	47.2%	8.0%	0.1%	-7.7M	105.6M	-14.1M	1.24	2.12	145,018	179,896	2,243,487	1,395,743
2011-12-15	$28.22	$30.00	43.7%	12.5%	47.7%	23.7%	43.9%	7.3%	1.4%	-5.7M	60.5M	-14.0M	1.06	1.84	89,763	95,379	2,270,260	1,424,523
2011-12-16	$28.85	$30.00	40.8%	11.7%	42.9%	19.1%	41.3%	7.6%	2.4%	-1.6M	-153.9M	-14.2M	0.80	2.39	104,905	84,145	2,291,382	1,430,181
2011-12-19	$27.96	$30.00	41.8%	12.0%	42.7%	20.7%	42.7%	7.1%	1.5%	1.0M	-52.0M	-13.8M	0.99	2.04	55,212	54,400	2,088,149	1,256,198
2011-12-20	$28.77	$30.00	37.5%	10.8%	44.0%	14.0%	38.3%	5.8%	2.7%	3.4M	-265.6M	-13.8M	0.37	1.78	84,903	31,580	2,105,691	1,279,113
2011-12-21	$28.60	$30.00	36.8%	10.5%	41.4%	12.8%	37.1%	5.6%	3.8%	3.2M	-216.3M	-13.8M	0.35	1.93	71,950	25,531	2,120,462	1,282,876
2011-12-22	$28.36	$30.00	37.3%	10.7%	40.4%	13.6%	36.8%	5.6%	3.0%	2.2M	-173.9M	-13.6M	0.78	2.00	34,434	26,932	2,152,916	1,293,016
2011-12-23	$28.28	$30.00	36.4%	10.4%	39.7%	12.2%	35.9%	4.9%	3.6%	5.4M	-179.1M	-13.5M	1.19	3.42	36,064	42,981	2,157,825	1,294,665
2011-12-27	$27.87	$30.00	36.4%	10.4%	37.2%	12.1%	37.1%	5.3%	4.0%	1.2M	-27.1M	-13.0M	1.08	2.12	58,975	63,828	2,145,028	1,276,862
2011-12-28	$26.27	$30.00	42.3%	12.1%	41.8%	21.5%	42.7%	6.3%	1.4%	-4.5M	385.6M	-12.2M	1.29	2.53	91,867	118,524	2,150,196	1,307,013
2011-12-29	$27.07	$30.00	38.9%	11.2%	41.7%	16.2%	40.8%	4.9%	2.4%	-3.9M	176.3M	-12.7M	0.85	2.00	108,744	92,231	2,176,833	1,339,316
2011-12-30	$26.94	$30.00	37.1%	11.1%	41.7%	13.3%	39.3%	4.6%	2.8%	2.7M	201.6M	-12.6M	0.85	1.80	94,108	80,081	2,203,793	1,336,235