SLV Options History — January 2012

In January 2012, SLV traded between $27.91 and $32.96. ATM implied volatility averaged 38.6%, placing in the 15.7% IV rank vs the trailing year. The 30-day expected move averaged 10.8%. IV traded below realized volatility by 5.6% (HV 20d: 44.2%). Max pain ranged from $30.00 to $30.00. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.57.

Notable Days

2012-01-20: Highest Volume — 310,084 contracts
2012-01-30: Largest IV spike — 15.2% change
2012-01-04: Highest IV Rank — 25.2%
2012-01-09: Largest Expected Move — 11.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.15	$27.91	$32.96	$28.83	$32.28
Max Pain	$30.00	$30.00	$30.00	$30.00	$30.00
ATM IV	38.6%	33.5%	44.6%	43.1%	42.7%
Expected Move	10.8%	10.1%	11.4%	10.6%	10.8%
HV 20d	44.2%	36.2%	49.7%	49.7%	36.7%
HV 60d	43.0%	41.3%	44.2%	44.2%	41.3%
IV Rank	15.7%	7.5%	25.2%	22.8%	22.2%
IV Percentile	31.3%	8.3%	62.3%	56.0%	53.6%
Term Structure	1.5%	0.1%	4.0%	2.9%	1.1%
VWIV	38.4%	36.1%	40.1%	37.8%	38.5%
Skew 25d	2.6%	-0.2%	4.9%	4.6%	0.1%
Skew 10d	5.3%	-0.1%	13.4%	8.0%	0.0%
Call IV 25d	37.3%	34.6%	40.1%	35.9%	38.6%
Put IV 25d	39.9%	37.1%	43.0%	40.5%	38.7%
Bid-Ask Spread %	2.11	1.50	2.63	1.90	2.24
Gamma HHI	0.09	0.06	0.31	0.07	0.07
Net GEX	22.4M	-3.4M	71.8M	7.1M	33.6M
Net DEX	-762.5M	-1.65B	12.0M	-348.4M	-1.41B
Net VEX	-14.2M	-15.9M	-12.9M	-13.4M	-15.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.57	0.31	1.01	0.55	0.57
Total Volume	126,236.95	50,740	310,084	198,391	93,855
Total OI	3,178,079.9	2,130,696	3,814,612	3,518,427	2,257,567

Daily Data (20 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
2012-01-03	$28.83	$30.00	43.1%	10.6%	49.7%	22.8%	37.8%	4.6%	2.9%	7.1M	-348.4M	-13.4M	0.55	1.90	128,008	70,383	2,192,400	1,326,027
2012-01-04	$28.39	$30.00	44.6%	10.8%	49.6%	25.2%	36.6%	4.7%	3.5%	5.0M	-157.0M	-13.1M	0.48	1.50	89,018	42,683	2,228,143	1,356,495
2012-01-05	$28.51	$30.00	38.1%	10.2%	48.2%	15.0%	38.1%	4.9%	4.0%	8.0M	-261.9M	-13.3M	1.01	1.77	45,929	46,552	2,271,231	1,373,980
2012-01-06	$27.91	$30.00	36.9%	11.3%	48.5%	13.0%	40.0%	4.8%	1.1%	-3.4M	12.0M	-12.9M	0.83	2.63	67,147	55,848	2,272,023	1,390,481
2012-01-09	$28.13	$30.00	42.4%	11.4%	48.0%	21.6%	39.9%	4.9%	0.9%	3.0M	-58.5M	-12.9M	0.46	2.53	50,591	23,235	2,267,759	1,381,427
2012-01-10	$29.05	$30.00	39.1%	11.0%	48.9%	16.5%	38.2%	4.5%	1.5%	11.9M	-403.2M	-13.6M	0.65	2.11	84,369	55,184	2,296,094	1,387,853
2012-01-11	$29.14	$30.00	33.5%	10.9%	48.2%	7.5%	38.4%	3.5%	1.6%	14.8M	-413.5M	-13.5M	0.61	2.07	46,454	28,162	2,320,408	1,406,350
2012-01-12	$29.31	$30.00	38.0%	10.9%	47.7%	14.8%	38.5%	3.3%	1.5%	18.6M	-528.9M	-13.8M	0.59	2.43	70,331	41,437	2,333,530	1,410,646
2012-01-13	$28.82	$30.00	37.9%	10.9%	42.7%	14.5%	39.5%	3.5%	1.2%	10.5M	-313.3M	-13.6M	0.75	2.50	46,114	34,593	2,338,984	1,416,029
2012-01-17	$29.19	$30.00	38.8%	11.1%	42.9%	16.0%	39.2%	3.3%	0.8%	16.1M	-448.9M	-13.5M	0.36	2.27	101,539	36,434	2,331,867	1,405,871
2012-01-18	$29.65	$30.00	36.9%	10.6%	42.5%	12.9%	39.2%	2.9%	1.3%	23.2M	-644.4M	-14.0M	0.83	2.08	65,618	54,766	2,373,700	1,412,310
2012-01-19	$29.74	$30.00	36.2%	10.4%	40.7%	11.9%	37.0%	2.6%	1.1%	27.4M	-697.3M	-14.0M	0.58	1.88	52,591	30,489	2,387,790	1,420,797
2012-01-20	$31.22	$30.00	35.3%	10.1%	43.0%	10.3%	36.1%	1.4%	2.0%	31.2M	-1.28B	-14.7M	0.31	2.33	237,156	72,928	2,390,907	1,423,705
2012-01-23	$31.39	$30.00	36.6%	10.5%	42.8%	12.5%	37.5%	0.9%	1.6%	31.7M	-1.17B	-14.9M	0.37	2.05	100,907	37,200	1,394,953	735,743
2012-01-24	$31.08	$30.00	35.8%	10.3%	42.9%	11.2%	36.9%	1.5%	1.3%	29.6M	-1.07B	-14.8M	0.64	2.24	31,008	19,732	1,419,817	750,244
2012-01-25	$32.37	$30.00	38.9%	11.2%	44.6%	16.2%	39.6%	0.3%	0.1%	35.6M	-1.44B	-15.7M	0.45	1.84	144,333	64,596	1,427,266	755,640
2012-01-26	$32.43	$30.00	38.9%	11.2%	43.9%	16.1%	40.1%	-0.1%	0.4%	38.2M	-1.50B	-15.7M	0.38	2.00	107,492	41,189	1,451,759	771,525
2012-01-27	$32.96	$30.00	36.6%	10.7%	36.2%	12.4%	38.4%	-0.2%	1.0%	71.8M	-1.65B	-15.9M	0.40	2.09	89,616	36,237	1,468,890	784,262
2012-01-30	$32.53	$30.00	42.1%	11.0%	36.5%	21.2%	39.4%	0.2%	0.6%	34.2M	-1.47B	-15.7M	0.53	1.83	53,073	27,942	1,456,326	770,799
2012-01-31	$32.28	$30.00	42.7%	10.8%	36.7%	22.2%	38.5%	0.1%	1.1%	33.6M	-1.41B	-15.7M	0.57	2.24	59,787	34,068	1,474,791	782,776