SLV Options History — June 2012

In June 2012, SLV traded between $25.63 and $28.51. ATM implied volatility averaged 30.7%, placing in the 9.1% IV rank vs the trailing year. The 30-day expected move averaged 9.1%. IV traded above realized volatility by 5.4% (HV 20d: 25.4%). Max pain ranged from $28.00 to $30.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.71.

Notable Days

2012-06-21: Highest Volume — 268,090 contracts
2012-06-14: Largest IV spike — 29.2% change
2012-06-04: Highest IV Rank — 21.5%
2012-06-04: Largest Expected Move — 10.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.28	$25.63	$28.51	$27.62	$26.65
Max Pain	$29.17	$28.00	$30.00	$28.50	$28.00
ATM IV	30.7%	25.9%	39.1%	35.6%	28.9%
Expected Move	9.1%	8.2%	10.1%	9.7%	8.5%
HV 20d	25.4%	20.9%	29.2%	25.0%	29.2%
HV 60d	24.5%	23.0%	25.5%	24.8%	24.6%
IV Rank	9.1%	1.8%	21.5%	16.3%	6.4%
IV Percentile	16.2%	0.4%	47.2%	31.3%	8.7%
Term Structure	1.4%	0.5%	2.2%	1.3%	2.2%
VWIV	32.7%	29.9%	35.6%	34.4%	30.8%
Skew 25d	2.7%	1.4%	5.5%	3.1%	2.5%
Skew 10d	5.4%	2.2%	10.6%	5.5%	4.8%
Call IV 25d	31.6%	28.2%	34.5%	33.2%	29.4%
Put IV 25d	34.3%	30.9%	37.8%	36.3%	31.8%
Bid-Ask Spread %	2.24	1.89	2.80	2.44	2.75
Gamma HHI	0.06	0.05	0.13	0.06	0.05
Net GEX	19.4M	136.6K	39.3M	22.4M	9.7M
Net DEX	-175.0M	-662.7M	278.2M	-249.6M	-60.6M
Net VEX	-12.1M	-13.5M	-10.5M	-12.6M	-11.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.42	1.65	0.45	0.73
Total Volume	127,848.762	44,650	268,090	163,124	127,751
Total OI	3,029,293.714	2,726,623	3,290,955	3,033,457	3,005,184

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
2012-06-01	$27.62	$28.50	35.6%	9.7%	25.0%	16.3%	34.4%	3.1%	1.3%	22.4M	-249.6M	-12.6M	0.45	2.44	112,489	50,635	2,016,772	1,016,685
2012-06-04	$27.46	$30.00	39.1%	10.1%	24.9%	21.5%	35.6%	3.2%	0.8%	16.7M	-141.9M	-12.3M	0.63	2.16	79,075	49,811	2,027,452	1,014,670
2012-06-05	$27.72	$30.00	36.7%	9.8%	25.2%	17.9%	34.7%	2.7%	1.1%	21.6M	-266.0M	-12.8M	0.42	2.04	122,138	51,763	2,065,831	1,031,249
2012-06-06	$28.51	$30.00	29.7%	9.5%	26.6%	7.6%	33.8%	1.4%	1.1%	39.3M	-662.7M	-13.5M	0.42	2.18	151,951	63,346	2,112,462	1,045,531
2012-06-07	$27.79	$30.00	27.8%	9.5%	28.0%	4.7%	33.8%	1.8%	1.3%	25.1M	-283.2M	-12.9M	0.76	2.41	89,189	67,977	2,130,059	1,048,473
2012-06-08	$27.75	$30.00	26.9%	9.3%	27.9%	3.4%	32.9%	1.5%	1.4%	23.1M	-249.6M	-12.6M	0.71	2.22	63,490	45,289	2,142,590	1,059,822
2012-06-11	$27.79	$30.00	28.3%	9.2%	27.9%	5.4%	32.9%	1.9%	1.4%	24.1M	-255.9M	-12.3M	0.73	2.00	30,455	22,148	2,142,125	1,045,414
2012-06-12	$28.12	$30.00	26.3%	9.2%	26.8%	2.4%	32.7%	1.8%	1.5%	32.0M	-426.7M	-12.8M	0.49	2.44	72,707	35,906	2,156,418	1,047,816
2012-06-13	$28.01	$29.00	25.9%	9.4%	25.6%	1.8%	33.3%	1.8%	1.4%	36.1M	-404.5M	-12.9M	0.46	2.06	55,377	25,397	2,176,900	1,049,637
2012-06-14	$27.82	$29.00	33.4%	9.6%	24.7%	13.1%	34.2%	1.6%	1.4%	34.1M	-319.8M	-12.9M	0.47	2.18	58,401	27,406	2,199,597	1,062,081
2012-06-15	$27.81	$29.00	33.5%	9.6%	22.0%	13.2%	34.6%	2.4%	1.3%	36.9M	-321.1M	-12.9M	0.46	2.28	73,401	33,406	2,218,886	1,072,069
2012-06-18	$27.87	$29.00	29.7%	8.5%	20.9%	7.6%	30.7%	2.5%	1.9%	22.1M	-385.3M	-12.3M	0.43	2.07	75,398	32,719	1,847,219	879,404
2012-06-19	$27.64	$29.00	28.8%	8.3%	21.1%	6.2%	30.1%	2.3%	1.6%	20.4M	-297.0M	-12.0M	0.70	1.95	40,470	28,491	1,883,934	892,762
2012-06-20	$27.26	$29.00	28.7%	8.2%	21.2%	6.1%	29.9%	2.7%	1.4%	14.5M	-156.9M	-11.5M	1.12	1.98	86,259	96,332	1,894,419	898,227
2012-06-21	$26.12	$29.00	32.7%	9.4%	25.8%	12.0%	34.0%	5.5%	0.5%	2.9M	183.5M	-10.9M	1.03	1.96	132,095	135,995	1,919,912	930,514
2012-06-22	$26.15	$29.00	30.5%	8.7%	25.2%	8.8%	31.8%	4.3%	1.9%	4.7M	175.4M	-11.1M	0.93	2.08	65,297	60,698	1,939,375	966,204
2012-06-25	$26.71	$29.00	30.4%	8.7%	26.4%	8.6%	31.9%	2.9%	0.8%	10.5M	-49.9M	-11.5M	0.58	1.89	64,866	37,498	1,928,307	956,574
2012-06-26	$26.30	$29.00	29.9%	8.6%	26.1%	7.8%	30.9%	2.8%	2.0%	7.1M	82.7M	-11.0M	0.72	2.48	40,482	29,073	1,945,535	969,500
2012-06-27	$26.13	$28.00	30.5%	8.7%	26.1%	8.7%	30.6%	3.6%	1.9%	4.9M	135.5M	-10.9M	0.94	2.58	23,064	21,586	1,953,918	979,418
2012-06-28	$25.63	$28.00	32.5%	9.3%	26.8%	11.7%	33.1%	5.1%	1.1%	136.6K	278.2M	-10.5M	1.65	2.80	77,384	127,609	1,960,900	981,323
2012-06-29	$26.65	$28.00	28.9%	8.5%	29.2%	6.4%	30.8%	2.5%	2.2%	9.7M	-60.6M	-11.6M	0.73	2.75	73,950	53,801	1,981,191	1,023,993