SLV Options History — February 2012

In February 2012, SLV traded between $32.28 and $35.83. ATM implied volatility averaged 35.7%, placing in the 10.2% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded above realized volatility by 8.4% (HV 20d: 27.2%). Max pain ranged from $30.00 to $32.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 0.59.

Notable Days

2012-02-29: Highest Volume — 527,638 contracts
2012-02-29: Largest IV spike — 33.2% change
2012-02-29: Highest IV Rank — 37.3%
2012-02-29: Largest Expected Move — 11.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$33.26	$32.28	$35.83	$32.77	$33.55
Max Pain	$31.10	$30.00	$32.00	$30.00	$32.00
ATM IV	35.7%	30.6%	52.8%	42.2%	52.8%
Expected Move	9.8%	8.7%	11.0%	10.4%	11.0%
HV 20d	27.2%	22.3%	35.7%	29.6%	35.7%
HV 60d	39.2%	36.2%	41.5%	41.4%	39.2%
IV Rank	10.2%	1.7%	37.3%	21.3%	37.3%
IV Percentile	16.7%	1.2%	84.1%	52.4%	84.1%
Term Structure	1.5%	-1.1%	2.2%	2.0%	-1.1%
VWIV	35.0%	30.8%	39.8%	37.2%	39.8%
Skew 25d	0.2%	-2.3%	2.0%	0.3%	-0.6%
Skew 10d	0.4%	-4.6%	3.5%	1.0%	-0.3%
Call IV 25d	35.1%	31.5%	39.7%	37.2%	39.7%
Put IV 25d	35.3%	30.9%	39.1%	37.5%	39.1%
Bid-Ask Spread %	2.55	1.98	3.63	2.16	3.63
Gamma HHI	0.09	0.06	0.15	0.08	0.06
Net GEX	40.9M	27.6M	52.4M	37.5M	33.0M
Net DEX	-1.61B	-2.45B	-1.25B	-1.56B	-1.58B
Net VEX	-15.8M	-16.7M	-15.1M	-15.9M	-16.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.59	0.25	1.40	0.48	0.59
Total Volume	161,006.15	67,338	527,638	137,695	527,638
Total OI	2,409,518.65	2,207,789	2,555,857	2,283,439	2,547,375

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
2012-02-01	$32.77	$30.00	42.2%	10.4%	29.6%	21.3%	37.2%	0.3%	2.0%	37.5M	-1.56B	-15.9M	0.48	2.16	92,913	44,782	1,489,279	794,160
2012-02-02	$33.36	$30.00	38.5%	10.8%	28.7%	15.5%	38.9%	-0.9%	1.6%	45.1M	-1.77B	-16.3M	0.40	2.10	94,331	37,338	1,519,910	805,101
2012-02-03	$32.69	$30.00	35.8%	10.5%	30.4%	11.2%	37.4%	0.3%	1.9%	39.1M	-1.52B	-16.0M	0.95	2.57	75,903	72,014	1,535,137	813,275
2012-02-06	$32.68	$30.00	37.5%	10.7%	28.7%	13.9%	38.1%	0.3%	1.2%	37.3M	-1.52B	-15.8M	0.60	2.76	52,187	31,495	1,521,120	821,018
2012-02-07	$33.26	$30.00	38.6%	10.6%	28.9%	15.6%	37.7%	-0.4%	1.0%	43.3M	-1.72B	-16.0M	0.46	2.32	90,245	41,876	1,539,338	834,205
2012-02-08	$33.04	$30.00	34.3%	10.3%	27.9%	8.9%	36.5%	0.0%	1.5%	47.0M	-1.64B	-15.9M	0.62	2.51	55,851	34,668	1,569,013	843,198
2012-02-09	$32.90	$30.00	34.4%	9.9%	28.1%	8.9%	34.7%	0.3%	1.6%	47.2M	-1.59B	-15.7M	0.63	2.76	41,309	26,029	1,583,383	858,565
2012-02-10	$32.51	$30.00	34.5%	9.9%	28.8%	8.0%	35.2%	0.4%	1.7%	35.2M	-1.43B	-15.7M	0.46	2.35	89,417	41,183	1,591,664	864,698
2012-02-13	$32.75	$31.00	33.1%	9.5%	27.6%	5.7%	33.9%	0.4%	1.7%	46.8M	-1.51B	-15.5M	0.53	2.35	70,286	36,991	1,583,750	856,688
2012-02-14	$32.54	$31.50	33.4%	9.6%	27.9%	6.3%	34.5%	1.4%	1.8%	44.1M	-1.42B	-15.5M	1.05	2.50	42,786	45,007	1,596,522	873,467
2012-02-15	$32.45	$31.50	33.4%	9.6%	27.8%	6.1%	34.8%	2.0%	1.8%	41.8M	-1.35B	-15.2M	1.40	2.33	48,135	67,206	1,595,746	893,445
2012-02-16	$32.57	$32.00	33.1%	9.5%	27.8%	5.7%	33.5%	1.6%	1.5%	44.3M	-1.36B	-15.2M	0.35	2.83	103,084	35,902	1,606,053	927,899
2012-02-17	$32.28	$32.00	31.3%	9.0%	22.7%	2.9%	31.9%	0.8%	2.0%	33.2M	-1.25B	-15.1M	0.58	2.47	82,281	47,562	1,622,815	933,042
2012-02-21	$33.38	$32.00	31.6%	9.1%	25.4%	3.3%	32.5%	0.6%	2.1%	27.6M	-1.43B	-15.2M	0.41	2.56	116,947	47,627	1,433,867	773,922
2012-02-22	$33.44	$32.00	31.9%	9.1%	24.9%	3.8%	32.6%	0.5%	1.4%	34.2M	-1.48B	-15.4M	0.44	2.55	108,465	47,526	1,479,398	790,432
2012-02-23	$34.40	$32.00	31.3%	9.0%	22.8%	2.8%	32.2%	-0.1%	2.2%	44.2M	-1.86B	-15.9M	0.32	2.76	225,862	73,101	1,525,241	806,964
2012-02-24	$34.37	$32.00	30.6%	8.7%	22.8%	1.7%	30.8%	-0.6%	2.2%	41.8M	-1.94B	-16.3M	0.52	2.58	85,322	44,472	1,608,251	838,016
2012-02-27	$34.36	$32.00	35.3%	9.3%	22.3%	9.3%	33.0%	-0.2%	1.3%	42.7M	-1.86B	-16.6M	0.68	2.97	59,327	40,433	1,607,395	831,123
2012-02-28	$35.83	$32.00	39.6%	9.7%	25.6%	16.2%	34.7%	-2.3%	0.3%	52.4M	-2.45B	-16.7M	0.25	1.98	273,583	69,039	1,629,536	846,362
2012-02-29	$33.55	$32.00	52.8%	11.0%	35.7%	37.3%	39.8%	-0.6%	-1.1%	33.0M	-1.58B	-16.4M	0.59	3.63	330,985	196,653	1,678,575	868,800