SLV Options History — August 2012

In August 2012, SLV traded between $26.31 and $30.79. ATM implied volatility averaged 25.4%, placing in the 8.2% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 7.4% (HV 20d: 18.0%). Max pain ranged from $26.50 to $28.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.55.

Notable Days

2012-08-23: Highest Volume — 273,130 contracts
2012-08-16: Largest IV spike — 46.0% change
2012-08-01: Highest IV Rank — 24.9%
2012-08-31: Largest Expected Move — 8.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$28.07	$26.31	$30.79	$26.54	$30.79
Max Pain	$27.17	$26.50	$28.00	$26.50	$28.00
ATM IV	25.4%	16.8%	41.3%	41.3%	30.3%
Expected Move	7.4%	6.8%	8.4%	8.3%	8.4%
HV 20d	18.0%	15.7%	21.9%	18.4%	21.9%
HV 60d	23.9%	22.8%	25.2%	24.9%	23.9%
IV Rank	8.2%	0.0%	24.9%	24.9%	18.0%
IV Percentile	7.5%	0.0%	63.1%	63.1%	29.0%
Term Structure	1.6%	-0.4%	3.0%	0.7%	-0.4%
VWIV	26.5%	24.1%	30.3%	29.2%	30.3%
Skew 25d	1.1%	-0.3%	2.1%	1.1%	0.7%
Skew 10d	2.3%	-0.6%	4.2%	2.7%	0.9%
Call IV 25d	26.1%	23.6%	29.8%	28.8%	29.8%
Put IV 25d	27.2%	25.1%	30.5%	29.9%	30.5%
Bid-Ask Spread %	2.36	1.80	2.76	2.32	2.70
Gamma HHI	0.07	0.05	0.15	0.05	0.08
Net GEX	37.8M	13.7M	54.9M	16.5M	54.9M
Net DEX	-687.0M	-1.72B	-67.4M	-166.8M	-1.72B
Net VEX	-10.5M	-12.2M	-9.2M	-10.1M	-12.2M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.24	1.13	0.53	0.66
Total Volume	119,204.174	37,933	273,130	141,816	266,298
Total OI	2,989,649.87	2,770,364	3,141,881	2,882,219	3,141,881

Daily Data (23 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
2012-08-01	$26.54	$26.50	41.3%	8.3%	18.4%	24.9%	29.2%	1.1%	0.7%	16.5M	-166.8M	-10.1M	0.53	2.32	92,819	48,997	1,925,792	956,427
2012-08-02	$26.31	$26.50	27.7%	7.5%	17.0%	4.6%	26.5%	1.9%	2.3%	13.7M	-67.4M	-9.7M	0.58	2.27	77,369	45,090	1,957,779	965,486
2012-08-03	$26.96	$26.50	25.4%	6.9%	17.4%	1.1%	24.9%	0.9%	3.0%	44.3M	-321.3M	-10.2M	0.58	1.80	81,550	47,370	1,996,416	980,794
2012-08-06	$27.11	$27.00	27.1%	7.6%	17.2%	3.7%	27.3%	1.7%	2.1%	31.8M	-394.2M	-10.0M	0.42	2.70	38,132	15,887	1,992,729	954,508
2012-08-07	$27.27	$27.00	25.6%	7.5%	15.7%	1.5%	26.7%	2.1%	1.8%	35.6M	-462.0M	-10.1M	0.62	2.65	54,176	33,362	2,011,072	959,645
2012-08-08	$27.21	$27.00	23.3%	7.5%	15.7%	0.0%	26.7%	1.4%	1.7%	35.1M	-439.6M	-10.1M	0.43	2.30	30,672	13,094	2,027,220	972,593
2012-08-09	$27.29	$27.00	21.1%	7.0%	15.7%	0.0%	25.2%	1.2%	2.0%	36.3M	-445.1M	-9.7M	0.53	2.49	36,790	19,457	2,031,517	975,504
2012-08-10	$27.26	$27.00	20.4%	6.9%	15.7%	0.0%	24.7%	1.6%	2.2%	34.6M	-442.3M	-9.7M	0.55	2.31	63,100	34,439	2,044,164	981,874
2012-08-13	$26.92	$27.00	20.7%	7.0%	16.5%	0.4%	24.8%	1.5%	2.5%	30.2M	-265.4M	-9.5M	0.42	2.48	26,621	11,312	2,042,217	986,409
2012-08-14	$26.96	$27.00	18.8%	7.0%	16.5%	0.0%	24.9%	1.5%	1.9%	32.7M	-274.8M	-9.4M	1.13	2.76	20,994	23,800	2,049,921	986,958
2012-08-15	$26.97	$27.00	16.8%	6.9%	16.4%	0.0%	24.3%	1.6%	2.4%	34.8M	-272.3M	-9.2M	0.53	2.62	43,608	22,977	2,052,338	991,835
2012-08-16	$27.37	$27.00	24.5%	7.0%	17.1%	10.3%	24.9%	1.9%	1.9%	36.6M	-444.5M	-9.5M	0.24	2.58	104,384	24,742	2,062,164	995,170
2012-08-17	$27.23	$27.00	23.6%	6.8%	17.3%	9.1%	24.1%	1.6%	2.7%	30.7M	-399.9M	-9.5M	0.48	1.98	55,763	26,628	2,088,257	1,007,604
2012-08-20	$27.95	$27.00	24.4%	7.0%	18.8%	10.1%	25.5%	0.7%	2.1%	33.3M	-577.6M	-10.6M	0.62	2.07	101,793	63,357	1,889,547	880,817
2012-08-21	$28.37	$27.00	24.5%	7.0%	19.2%	10.3%	25.5%	-0.3%	2.0%	37.8M	-771.5M	-10.4M	0.53	2.75	113,817	60,131	1,938,091	919,547
2012-08-22	$28.92	$27.00	25.4%	7.3%	19.8%	11.4%	26.1%	0.7%	1.5%	45.5M	-982.0M	-11.4M	0.42	2.36	97,266	40,471	1,956,340	934,527
2012-08-23	$29.60	$27.00	27.5%	7.9%	20.9%	14.3%	28.1%	0.2%	1.0%	47.9M	-1.26B	-11.4M	0.43	1.92	191,251	81,879	1,980,930	948,319
2012-08-24	$29.74	$27.50	26.4%	7.6%	20.8%	12.8%	26.9%	0.1%	1.4%	47.8M	-1.31B	-12.1M	0.41	2.39	92,590	38,407	2,016,274	982,406
2012-08-27	$29.74	$28.00	27.2%	7.8%	20.6%	13.9%	27.8%	-0.1%	1.3%	46.8M	-1.24B	-11.4M	0.57	1.88	96,245	54,802	2,008,467	976,140
2012-08-28	$29.93	$28.00	27.6%	7.9%	20.0%	14.4%	28.3%	-0.2%	0.5%	50.2M	-1.32B	-11.6M	0.48	2.24	60,064	28,780	2,036,255	993,685
2012-08-29	$29.75	$28.00	27.3%	7.8%	17.9%	14.0%	28.4%	1.4%	0.5%	48.8M	-1.19B	-11.3M	0.70	2.50	71,604	49,904	2,057,030	1,005,105
2012-08-30	$29.44	$28.00	26.8%	7.7%	18.1%	13.3%	28.1%	1.4%	0.9%	42.9M	-1.03B	-11.7M	0.87	2.18	74,976	64,928	2,068,570	1,031,623
2012-08-31	$30.79	$28.00	30.3%	8.4%	21.9%	18.0%	30.3%	0.7%	-0.4%	54.9M	-1.72B	-12.2M	0.66	2.70	160,455	105,843	2,085,375	1,056,506