SLV Options History — May 2012

In May 2012, SLV traded between $26.37 and $30.06. ATM implied volatility averaged 31.6%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded above realized volatility by 11.0% (HV 20d: 20.6%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 14 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 0.84.

Notable Days

2012-05-08: Highest Volume — 226,244 contracts
2012-05-29: Largest IV spike — 37.4% change
2012-05-30: Highest IV Rank — 23.9%
2012-05-30: Largest Expected Move — 9.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.96	$26.37	$30.06	$30.06	$26.96
Max Pain	$29.89	$29.00	$31.00	$31.00	$29.00
ATM IV	31.6%	26.8%	40.7%	27.7%	33.0%
Expected Move	8.7%	7.1%	9.8%	7.2%	9.3%
HV 20d	20.6%	14.6%	24.3%	24.3%	23.3%
HV 60d	28.9%	24.4%	30.5%	29.9%	24.4%
IV Rank	10.4%	3.2%	23.9%	4.6%	12.5%
IV Percentile	16.4%	0.8%	54.4%	2.0%	21.4%
Term Structure	1.1%	0.2%	2.3%	1.2%	1.8%
VWIV	31.1%	25.2%	34.9%	25.2%	32.7%
Skew 25d	2.9%	1.1%	5.7%	1.1%	4.0%
Skew 10d	6.2%	1.9%	11.6%	1.9%	7.9%
Call IV 25d	29.9%	24.9%	34.8%	25.5%	31.6%
Put IV 25d	32.8%	26.6%	37.5%	26.6%	35.6%
Bid-Ask Spread %	2.21	1.82	2.87	1.91	2.87
Gamma HHI	0.07	0.05	0.12	0.06	0.05
Net GEX	3.9M	-15.7M	18.8M	16.6M	8.5M
Net DEX	53.5M	-431.2M	666.9M	-431.2M	67.4M
Net VEX	-11.9M	-13.2M	-10.9M	-12.3M	-11.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.84	0.46	1.51	0.53	0.64
Total Volume	140,337.909	65,047	226,244	115,036	96,082
Total OI	2,923,915.591	2,663,651	3,278,310	2,663,651	3,009,206

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
2012-05-01	$30.06	$31.00	27.7%	7.2%	24.3%	4.6%	25.2%	1.1%	1.2%	16.6M	-431.2M	-12.3M	0.53	1.91	75,242	39,794	1,733,328	930,323
2012-05-02	$29.78	$31.00	29.9%	7.1%	24.2%	7.8%	25.5%	1.8%	1.1%	9.2M	-277.5M	-12.2M	0.87	1.85	38,298	33,446	1,766,637	955,451
2012-05-03	$29.29	$31.00	29.5%	7.4%	19.9%	7.3%	26.5%	2.1%	2.3%	4.3M	-119.9M	-11.9M	1.34	1.82	65,297	87,366	1,770,873	948,935
2012-05-04	$29.41	$31.00	26.8%	7.9%	19.2%	3.2%	28.8%	1.6%	0.9%	2.3M	-182.4M	-12.1M	1.25	1.84	66,164	82,885	1,798,962	977,528
2012-05-07	$29.21	$31.00	30.6%	8.0%	19.3%	9.0%	29.4%	2.3%	1.1%	3.9M	-141.0M	-12.0M	0.96	2.34	65,707	63,361	1,806,377	973,332
2012-05-08	$28.65	$31.00	33.5%	8.3%	19.9%	13.2%	29.3%	3.2%	0.6%	-3.9M	86.6M	-11.6M	1.22	2.33	102,123	124,121	1,830,812	986,339
2012-05-09	$28.38	$31.00	29.1%	8.4%	20.0%	6.7%	30.2%	3.5%	0.9%	-9.6M	169.1M	-11.6M	1.51	2.56	73,005	110,507	1,856,983	1,023,732
2012-05-10	$28.25	$30.00	27.7%	7.9%	16.9%	4.5%	28.5%	2.7%	1.1%	-12.5M	253.7M	-11.3M	1.21	2.40	48,915	59,348	1,884,729	1,042,145
2012-05-11	$28.08	$30.00	28.2%	8.1%	14.6%	5.3%	29.1%	2.9%	1.1%	-15.7M	287.8M	-11.3M	0.63	2.11	126,389	79,393	1,901,377	1,049,585
2012-05-14	$27.42	$30.00	29.7%	8.5%	16.0%	7.6%	30.8%	3.0%	0.9%	-10.4M	454.0M	-10.9M	0.46	2.30	146,674	67,595	1,946,015	1,029,607
2012-05-15	$26.86	$30.00	31.6%	9.1%	16.1%	10.4%	32.9%	3.6%	0.2%	-6.6M	552.2M	-11.0M	0.54	2.01	100,078	54,231	2,024,131	1,040,827
2012-05-16	$26.37	$30.00	33.2%	9.5%	16.6%	12.8%	33.9%	5.7%	1.0%	-2.8M	666.9M	-10.9M	0.80	2.33	110,876	88,457	2,065,451	1,056,304
2012-05-17	$27.24	$29.50	33.9%	9.7%	21.5%	13.8%	34.9%	2.4%	0.5%	-973.0K	324.2M	-12.1M	0.94	2.20	106,819	99,975	2,108,574	1,079,227
2012-05-18	$27.79	$29.00	33.8%	9.7%	23.4%	13.6%	34.9%	1.3%	1.3%	2.2M	64.7M	-13.2M	0.53	2.41	95,336	50,860	2,166,609	1,111,701
2012-05-21	$27.68	$29.00	32.4%	9.3%	22.1%	11.6%	33.1%	2.2%	1.0%	18.2M	-199.3M	-12.5M	0.56	2.02	51,468	28,759	1,915,129	928,333
2012-05-22	$27.34	$29.00	30.7%	8.8%	22.2%	9.0%	32.1%	2.5%	1.6%	15.2M	-61.4M	-12.1M	0.66	2.39	47,664	31,322	1,934,770	940,208
2012-05-23	$27.05	$29.00	31.9%	9.1%	22.3%	10.8%	33.2%	3.5%	1.5%	11.5M	17.8M	-12.0M	0.87	2.03	97,872	84,940	1,946,151	951,451
2012-05-24	$27.44	$29.00	31.9%	9.1%	22.7%	10.8%	33.1%	3.4%	1.2%	18.8M	-157.1M	-12.5M	0.83	2.08	51,771	43,083	1,973,661	976,754
2012-05-25	$27.62	$29.00	29.6%	9.0%	22.7%	7.4%	31.9%	2.8%	1.0%	16.4M	-210.9M	-12.5M	0.62	2.44	40,113	24,934	1,979,145	985,850
2012-05-29	$27.10	$29.00	40.6%	9.5%	23.2%	23.8%	33.2%	4.2%	0.9%	10.9M	13.2M	-11.8M	0.76	2.19	67,952	51,428	1,965,329	976,311
2012-05-30	$27.12	$29.00	40.7%	9.8%	23.3%	23.9%	34.6%	3.7%	0.6%	11.2M	840.7K	-11.9M	0.64	2.17	65,772	42,012	1,983,239	994,712
2012-05-31	$26.96	$29.00	33.0%	9.3%	23.3%	12.5%	32.7%	4.0%	1.8%	8.5M	67.4M	-11.7M	0.64	2.87	58,426	37,656	2,000,464	1,008,742