SLV Options History — July 2012

In July 2012, SLV traded between $26.06 and $27.49. ATM implied volatility averaged 30.9%, placing in the 9.3% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 3.4% (HV 20d: 27.5%). Max pain ranged from $26.50 to $28.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.70.

Notable Days

2012-07-20: Highest Volume — 158,282 contracts
2012-07-30: Largest IV spike — 24.5% change
2012-07-31: Highest IV Rank — 22.9%
2012-07-10: Largest Expected Move — 9.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$26.59	$26.06	$27.49	$26.73	$27.12
Max Pain	$26.90	$26.50	$28.00	$28.00	$26.50
ATM IV	30.9%	27.0%	40.0%	30.7%	40.0%
Expected Move	8.5%	7.7%	9.2%	8.5%	8.5%
HV 20d	27.5%	19.4%	30.8%	29.2%	19.7%
HV 60d	24.8%	24.3%	25.8%	24.4%	24.6%
IV Rank	9.3%	3.5%	22.9%	9.0%	22.9%
IV Percentile	19.3%	2.4%	58.7%	18.7%	58.7%
Term Structure	1.2%	0.3%	1.9%	1.7%	0.3%
VWIV	30.1%	28.1%	32.9%	29.7%	30.2%
Skew 25d	2.7%	1.6%	5.2%	2.4%	1.6%
Skew 10d	5.0%	2.4%	9.8%	3.9%	2.4%
Call IV 25d	29.0%	26.7%	30.7%	28.8%	29.5%
Put IV 25d	31.6%	29.1%	35.9%	31.2%	31.1%
Bid-Ask Spread %	2.23	1.87	3.15	2.34	1.91
Gamma HHI	0.06	0.05	0.14	0.05	0.05
Net GEX	13.1M	2.2M	37.5M	9.5M	24.1M
Net DEX	-46.7M	-469.0M	213.2M	-48.8M	-359.1M
Net VEX	-10.4M	-11.4M	-9.8M	-11.1M	-10.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.70	0.42	1.17	0.72	0.75
Total Volume	93,800	57,140	158,282	64,335	78,442
Total OI	2,988,783.095	2,724,573	3,224,709	2,957,163	2,819,785

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
2012-07-02	$26.73	$28.00	30.7%	8.5%	29.2%	9.0%	29.7%	2.4%	1.7%	9.5M	-48.8M	-11.1M	0.72	2.34	37,505	26,830	1,955,971	1,001,192
2012-07-03	$27.49	$28.00	30.1%	8.3%	30.8%	8.1%	29.5%	1.8%	1.4%	19.4M	-314.3M	-11.4M	0.53	1.96	66,372	35,483	1,972,448	1,011,068
2012-07-05	$26.88	$28.00	30.5%	8.2%	29.8%	8.7%	29.6%	2.4%	1.2%	12.9M	-86.5M	-11.0M	0.76	2.10	57,815	43,678	1,989,577	1,019,649
2012-07-06	$26.30	$27.00	29.1%	8.8%	29.5%	6.7%	31.9%	3.4%	1.1%	5.5M	119.9M	-10.7M	0.83	2.19	57,903	48,188	2,007,784	1,024,523
2012-07-09	$26.54	$27.00	33.8%	8.8%	29.8%	13.6%	31.6%	3.4%	0.9%	7.5M	41.8M	-10.6M	0.95	1.87	37,310	35,270	1,999,067	1,019,814
2012-07-10	$26.06	$27.00	38.1%	9.2%	30.3%	20.0%	32.9%	5.2%	0.8%	2.2M	213.2M	-10.2M	0.82	2.01	74,324	60,900	2,016,430	1,033,651
2012-07-11	$26.25	$27.00	29.9%	8.9%	30.0%	7.9%	32.9%	4.3%	0.9%	5.6M	132.1M	-10.4M	1.17	2.73	32,628	38,104	2,040,211	1,047,072
2012-07-12	$26.35	$27.00	31.1%	8.9%	30.1%	9.6%	31.9%	4.1%	0.9%	6.0M	118.5M	-10.3M	0.87	2.65	51,615	44,762	2,048,418	1,060,119
2012-07-13	$26.44	$27.00	29.5%	8.5%	30.2%	7.3%	30.1%	3.2%	1.5%	8.2M	99.4M	-10.2M	0.67	3.15	40,619	27,130	2,057,080	1,069,743
2012-07-16	$26.49	$27.00	29.7%	8.5%	30.2%	7.5%	29.5%	3.1%	1.1%	7.1M	92.8M	-10.1M	0.60	2.23	35,627	21,513	2,046,957	1,068,170
2012-07-17	$26.47	$27.00	29.5%	8.5%	30.1%	7.3%	29.9%	1.9%	1.2%	7.1M	97.6M	-9.9M	0.67	2.14	72,467	48,669	2,057,994	1,076,005
2012-07-18	$26.42	$26.50	28.1%	8.1%	30.1%	5.2%	28.3%	2.1%	1.3%	8.7M	107.4M	-9.8M	0.68	2.42	50,124	34,291	2,089,953	1,081,553
2012-07-19	$26.42	$26.50	27.0%	7.7%	29.8%	3.5%	28.2%	2.4%	1.9%	7.9M	111.9M	-9.8M	0.49	2.09	65,076	31,768	2,103,360	1,091,583
2012-07-20	$26.48	$26.50	27.4%	7.9%	25.5%	4.2%	28.1%	1.9%	1.8%	13.0M	71.7M	-9.9M	0.51	2.15	104,481	53,801	2,126,772	1,097,937
2012-07-23	$26.21	$26.50	29.6%	8.5%	25.8%	7.4%	30.2%	2.8%	0.8%	13.0M	-63.9M	-9.9M	0.69	2.42	47,111	32,348	1,819,464	905,109
2012-07-24	$26.22	$26.50	30.4%	8.7%	24.6%	8.6%	30.8%	2.8%	0.8%	13.3M	-71.2M	-10.0M	0.73	2.09	57,239	41,978	1,843,072	920,032
2012-07-25	$26.53	$26.50	29.5%	8.4%	24.3%	7.2%	29.9%	1.8%	1.7%	18.1M	-200.6M	-10.4M	0.54	1.98	55,515	30,181	1,860,293	928,921
2012-07-26	$26.71	$26.50	29.1%	8.3%	24.3%	6.7%	29.5%	2.3%	1.3%	22.4M	-248.8M	-10.4M	0.83	1.88	46,068	38,020	1,874,264	927,471
2012-07-27	$26.96	$26.50	28.9%	8.0%	23.2%	6.4%	28.6%	2.2%	1.7%	37.5M	-324.4M	-10.4M	0.55	2.53	82,377	45,381	1,891,412	931,827
2012-07-30	$27.36	$26.50	36.0%	8.3%	19.4%	17.0%	29.7%	1.6%	1.1%	27.1M	-469.0M	-10.7M	0.42	1.92	57,054	23,833	1,897,688	931,006
2012-07-31	$27.12	$26.50	40.0%	8.5%	19.7%	22.9%	30.2%	1.6%	0.3%	24.1M	-359.1M	-10.3M	0.75	1.91	44,740	33,702	1,886,270	933,515