SLV Options History — September 2012

In September 2012, SLV traded between $31.27 and $33.71. ATM implied volatility averaged 31.9%, placing in the 20.2% IV rank vs the trailing year. The 30-day expected move averaged 8.5%. IV traded above realized volatility by 5.6% (HV 20d: 26.3%). Max pain ranged from $28.50 to $31.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 0.49.

Notable Days

2012-09-13: Highest Volume — 464,705 contracts
2012-09-10: Largest IV spike — 20.9% change
2012-09-11: Highest IV Rank — 33.0%
2012-09-12: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.84	$31.27	$33.71	$31.36	$33.48
Max Pain	$29.79	$28.50	$31.00	$28.50	$31.00
ATM IV	31.9%	27.3%	41.5%	39.0%	28.3%
Expected Move	8.5%	7.8%	9.4%	9.2%	7.8%
HV 20d	26.3%	22.3%	29.2%	22.3%	28.8%
HV 60d	24.3%	22.2%	26.1%	24.1%	22.2%
IV Rank	20.2%	14.0%	33.0%	29.6%	15.4%
IV Percentile	34.7%	10.3%	73.0%	65.5%	16.7%
Term Structure	0.2%	-1.1%	1.1%	-1.1%	0.9%
VWIV	30.9%	28.0%	33.5%	33.1%	28.3%
Skew 25d	0.3%	-0.7%	1.5%	-0.4%	-0.1%
Skew 10d	1.0%	-1.3%	4.7%	-0.5%	0.5%
Call IV 25d	30.7%	28.3%	33.9%	33.9%	28.3%
Put IV 25d	31.1%	28.0%	34.3%	33.5%	28.2%
Bid-Ask Spread %	2.35	2.02	2.63	2.60	2.37
Gamma HHI	0.09	0.07	0.31	0.08	0.09
Net GEX	86.4M	59.5M	179.6M	59.5M	104.5M
Net DEX	-2.53B	-3.13B	-1.88B	-1.93B	-2.49B
Net VEX	-13.7M	-14.7M	-12.5M	-12.6M	-14.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.49	0.29	0.72	0.29	0.60
Total Volume	202,994.368	117,234	464,705	185,978	117,234
Total OI	3,439,075.211	3,152,479	3,752,941	3,152,479	3,559,820

Daily Data (19 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
2012-09-04	$31.36	$28.50	39.0%	9.2%	22.3%	29.6%	33.1%	-0.4%	-1.1%	59.5M	-1.93B	-12.6M	0.29	2.60	144,124	41,854	2,080,846	1,071,633
2012-09-05	$31.27	$28.50	36.5%	8.5%	22.6%	26.3%	31.0%	1.5%	0.3%	63.1M	-1.88B	-13.2M	0.38	2.41	86,129	32,406	2,115,524	1,088,602
2012-09-06	$31.67	$28.50	32.2%	8.5%	22.4%	20.5%	30.1%	0.6%	-0.3%	65.6M	-2.08B	-12.5M	0.38	2.04	151,065	57,878	2,133,350	1,092,683
2012-09-07	$32.64	$29.00	32.0%	8.7%	23.7%	20.3%	31.4%	-0.7%	0.4%	71.4M	-2.60B	-13.1M	0.37	2.48	176,555	65,562	2,170,115	1,110,128
2012-09-10	$32.29	$29.50	38.8%	8.9%	24.5%	29.3%	32.3%	-0.3%	0.2%	73.6M	-2.37B	-13.6M	0.53	2.52	105,428	56,187	2,185,942	1,107,535
2012-09-11	$32.41	$29.50	41.5%	8.9%	23.3%	33.0%	32.1%	1.2%	-0.1%	77.0M	-2.41B	-13.6M	0.50	2.35	84,123	42,429	2,212,750	1,129,347
2012-09-12	$32.21	$29.50	36.1%	9.4%	23.8%	25.7%	33.5%	0.8%	-0.4%	69.7M	-2.29B	-12.9M	0.68	2.63	159,177	108,595	2,230,259	1,149,665
2012-09-13	$33.61	$29.50	31.3%	9.0%	26.4%	19.3%	32.5%	-0.5%	-0.2%	87.9M	-3.12B	-13.2M	0.50	2.50	310,084	154,621	2,276,051	1,187,536
2012-09-14	$33.60	$30.00	29.3%	8.4%	26.6%	16.6%	30.2%	0.7%	-0.1%	94.9M	-3.11B	-14.0M	0.45	2.29	151,830	68,152	2,334,404	1,233,324
2012-09-17	$32.99	$30.00	30.1%	8.6%	28.0%	17.7%	31.2%	0.9%	-0.0%	87.5M	-2.67B	-13.8M	0.52	2.19	118,207	60,950	2,333,634	1,216,164
2012-09-18	$33.71	$30.00	30.3%	8.7%	27.7%	17.9%	31.1%	0.3%	0.1%	94.6M	-3.13B	-13.5M	0.45	2.48	132,039	59,710	2,365,148	1,237,700
2012-09-19	$33.57	$30.00	29.5%	8.5%	28.0%	17.0%	30.3%	0.3%	0.4%	97.0M	-3.07B	-13.4M	0.41	2.04	107,756	44,487	2,397,720	1,260,078
2012-09-20	$33.58	$30.00	29.4%	8.4%	27.9%	16.8%	31.1%	0.5%	0.5%	103.4M	-3.04B	-14.4M	0.39	2.39	130,366	51,279	2,423,484	1,271,662
2012-09-21	$33.48	$30.00	29.0%	8.3%	27.5%	16.3%	30.4%	1.1%	0.9%	179.6M	-3.03B	-14.5M	0.41	2.35	233,888	94,768	2,465,613	1,287,328
2012-09-24	$32.93	$30.00	29.6%	8.5%	28.6%	17.1%	31.9%	0.8%	0.6%	74.3M	-2.16B	-14.0M	0.72	2.57	91,484	65,946	2,253,244	1,047,780
2012-09-25	$32.68	$30.50	28.6%	8.2%	28.9%	15.8%	29.8%	-0.2%	0.2%	70.2M	-2.04B	-13.7M	0.69	2.31	125,012	86,599	2,283,069	1,071,960
2012-09-26	$32.87	$31.00	27.7%	7.9%	28.9%	14.5%	28.6%	0.7%	0.7%	74.9M	-2.13B	-14.3M	0.35	2.15	123,148	42,665	2,338,975	1,116,492
2012-09-27	$33.58	$31.00	27.3%	7.8%	29.2%	14.0%	28.0%	-0.6%	1.1%	92.1M	-2.58B	-14.6M	0.70	2.02	103,294	71,862	2,372,087	1,130,777
2012-09-28	$33.48	$31.00	28.3%	7.8%	28.8%	15.4%	28.3%	-0.1%	0.9%	104.5M	-2.49B	-14.7M	0.60	2.37	73,246	43,988	2,394,231	1,165,589