SLV Options History — March 2012

In March 2012, SLV traded between $30.54 and $34.44. ATM implied volatility averaged 32.6%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 9.2%. IV traded below realized volatility by 5.0% (HV 20d: 37.7%). Max pain ranged from $32.00 to $34.00. Net GEX was positive for 21 of 22 trading days. Term structure was in contango for 21 of 22 days. Put/call ratio averaged 0.73.

Notable Days

2012-03-14: Highest Volume — 320,476 contracts
2012-03-07: Largest IV drop — 24.4% change
2012-03-06: Highest IV Rank — 25.3%
2012-03-06: Largest Expected Move — 10.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.02	$30.54	$34.44	$34.44	$31.38
Max Pain	$33.02	$32.00	$34.00	$32.50	$32.00
ATM IV	32.6%	27.3%	45.3%	37.3%	27.3%
Expected Move	9.2%	7.9%	10.3%	10.2%	7.9%
HV 20d	37.7%	27.8%	41.0%	36.4%	27.8%
HV 60d	37.0%	31.8%	39.9%	39.5%	31.8%
IV Rank	5.5%	0.0%	25.3%	12.4%	0.0%
IV Percentile	9.7%	0.0%	63.5%	22.2%	0.0%
Term Structure	1.1%	-0.3%	2.0%	-0.3%	1.6%
VWIV	32.9%	28.5%	37.0%	36.3%	28.5%
Skew 25d	2.1%	0.7%	3.3%	0.8%	0.7%
Skew 10d	4.1%	1.1%	7.5%	2.3%	1.1%
Call IV 25d	31.9%	28.1%	36.2%	36.2%	28.1%
Put IV 25d	34.0%	28.8%	38.6%	37.0%	28.8%
Bid-Ask Spread %	2.42	1.92	4.32	2.53	2.10
Gamma HHI	0.06	0.05	0.10	0.08	0.06
Net GEX	20.1M	-373.1K	47.8M	47.8M	18.7M
Net DEX	-963.4M	-1.94B	-455.5M	-1.94B	-752.9M
Net VEX	-15.3M	-17.1M	-14.1M	-17.1M	-14.1M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.39	1.25	0.54	0.46
Total Volume	146,666	71,883	320,476	235,335	86,713
Total OI	2,750,839.273	2,566,741	2,977,518	2,699,567	2,752,900

Daily Data (22 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
2012-03-01	$34.44	$32.50	37.3%	10.2%	36.4%	12.4%	36.3%	0.8%	-0.3%	47.8M	-1.94B	-17.1M	0.54	2.53	153,286	82,049	1,773,285	926,282
2012-03-02	$33.76	$32.50	34.7%	9.9%	36.8%	8.3%	35.4%	1.8%	0.2%	37.3M	-1.57B	-16.7M	0.68	2.83	106,921	72,776	1,771,035	950,461
2012-03-05	$33.03	$34.00	41.8%	10.2%	36.9%	19.7%	36.1%	2.0%	0.1%	29.3M	-1.30B	-16.3M	0.63	2.26	126,994	79,957	1,766,147	937,498
2012-03-06	$32.01	$34.00	45.3%	10.3%	38.6%	25.3%	37.0%	2.6%	0.1%	13.9M	-880.7M	-15.9M	0.68	2.47	142,754	96,944	1,811,943	961,286
2012-03-07	$32.41	$34.00	34.2%	10.0%	38.3%	7.5%	35.5%	2.6%	0.3%	21.4M	-1.10B	-16.2M	0.98	2.60	66,080	64,721	1,842,825	972,291
2012-03-08	$32.85	$34.00	32.3%	9.6%	38.6%	4.5%	35.0%	2.8%	0.9%	29.4M	-1.29B	-16.3M	0.75	2.16	64,227	48,073	1,853,206	991,925
2012-03-09	$33.22	$34.00	30.8%	9.5%	38.8%	2.0%	33.5%	1.8%	1.0%	35.4M	-1.48B	-16.5M	0.54	2.42	107,683	58,585	1,860,301	990,077
2012-03-12	$32.63	$33.00	34.7%	9.7%	39.1%	8.3%	34.3%	2.2%	0.6%	26.2M	-1.19B	-16.0M	0.50	2.33	48,033	23,850	1,842,814	980,600
2012-03-13	$32.26	$33.00	33.2%	9.5%	39.2%	5.9%	35.0%	2.5%	1.1%	18.8M	-1.02B	-15.6M	1.16	3.03	68,136	79,221	1,853,300	985,828
2012-03-14	$31.27	$33.00	34.4%	10.0%	40.6%	7.8%	35.9%	2.4%	0.8%	-373.1K	-606.9M	-15.0M	1.25	2.85	142,643	177,833	1,864,503	1,007,467
2012-03-15	$31.53	$33.00	31.6%	9.1%	40.8%	3.3%	32.1%	1.7%	1.2%	2.4M	-706.7M	-15.0M	0.87	2.42	91,242	79,085	1,883,756	1,051,228
2012-03-16	$31.59	$33.00	31.0%	8.9%	40.8%	2.4%	32.0%	2.5%	1.6%	6.2M	-745.2M	-15.0M	1.11	4.32	69,522	77,292	1,909,106	1,068,412
2012-03-19	$31.98	$33.00	29.0%	8.3%	41.0%	0.0%	30.1%	2.1%	2.0%	21.9M	-942.6M	-15.0M	0.75	2.15	74,473	55,940	1,682,936	883,805
2012-03-20	$31.15	$33.00	31.6%	9.1%	39.9%	4.1%	33.1%	2.7%	1.6%	14.5M	-685.7M	-14.7M	1.09	2.22	68,798	74,953	1,704,606	903,463
2012-03-21	$31.21	$33.00	31.0%	8.9%	39.9%	3.1%	31.9%	2.8%	1.6%	15.1M	-707.9M	-14.8M	0.58	2.03	48,942	28,152	1,722,125	926,005
2012-03-22	$30.54	$33.00	31.6%	9.1%	38.5%	4.1%	32.8%	3.3%	1.7%	6.7M	-455.5M	-14.4M	0.81	2.07	104,704	84,951	1,737,125	932,980
2012-03-23	$31.24	$33.00	29.8%	8.5%	39.8%	1.2%	30.4%	2.4%	1.9%	15.1M	-702.1M	-14.6M	0.56	2.05	69,764	39,336	1,728,616	947,743
2012-03-26	$31.93	$32.50	29.3%	8.4%	40.9%	0.5%	29.9%	1.4%	1.5%	23.9M	-926.8M	-14.7M	0.39	2.12	52,459	20,675	1,722,578	931,341
2012-03-27	$31.59	$32.50	28.9%	8.3%	37.2%	0.0%	29.3%	1.7%	1.6%	22.6M	-814.9M	-14.4M	0.47	2.16	57,598	26,961	1,740,831	932,880
2012-03-28	$31.15	$32.50	28.9%	8.3%	30.1%	0.1%	29.1%	1.9%	1.3%	15.7M	-637.9M	-14.1M	0.65	1.92	66,340	43,434	1,753,781	937,432
2012-03-29	$31.35	$32.00	28.7%	8.2%	28.3%	0.0%	29.7%	1.6%	1.8%	19.6M	-724.8M	-14.1M	0.71	2.30	55,250	39,302	1,774,065	947,676
2012-03-30	$31.38	$32.00	27.3%	7.9%	27.8%	0.0%	28.5%	0.7%	1.6%	18.7M	-752.9M	-14.1M	0.46	2.10	59,272	27,441	1,790,913	961,987