SLV Options History — October 2012

In October 2012, SLV traded between $30.68 and $33.93. ATM implied volatility averaged 26.9%, placing in the 18.4% IV rank vs the trailing year. The 30-day expected move averaged 7.4%. IV traded above realized volatility by 6.4% (HV 20d: 20.6%). Max pain ranged from $31.00 to $31.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.62.

Notable Days

2012-10-19: Highest Volume — 276,657 contracts
2012-10-10: Largest IV drop — 18.0% change
2012-10-08: Highest IV Rank — 25.2%
2012-10-01: Largest Expected Move — 7.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$32.23	$30.68	$33.93	$33.65	$31.27
Max Pain	$31.26	$31.00	$31.50	$31.00	$31.00
ATM IV	26.9%	23.9%	33.2%	31.9%	25.7%
Expected Move	7.4%	6.7%	7.9%	7.9%	6.7%
HV 20d	20.6%	17.2%	24.9%	24.9%	18.8%
HV 60d	22.5%	21.1%	23.8%	21.6%	22.8%
IV Rank	18.4%	14.2%	25.2%	20.1%	17.7%
IV Percentile	14.5%	2.8%	50.0%	44.4%	9.5%
Term Structure	0.8%	-0.1%	1.3%	-0.1%	1.3%
VWIV	26.5%	24.5%	28.3%	28.3%	24.5%
Skew 25d	1.4%	-0.0%	2.3%	-0.0%	1.7%
Skew 10d	2.8%	-0.1%	4.8%	-0.1%	2.6%
Call IV 25d	25.8%	23.5%	28.5%	28.5%	23.5%
Put IV 25d	27.2%	25.2%	28.6%	28.4%	25.2%
Bid-Ask Spread %	2.15	1.92	2.42	2.26	2.02
Gamma HHI	0.08	0.07	0.10	0.10	0.07
Net GEX	59.5M	32.9M	93.9M	89.8M	53.5M
Net DEX	-1.74B	-2.71B	-973.3M	-2.59B	-1.22B
Net VEX	-12.8M	-14.5M	-11.3M	-14.3M	-11.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.62	0.23	1.08	0.52	0.43
Total Volume	118,865.857	60,039	276,657	118,887	74,978
Total OI	3,605,701.429	3,289,674	3,800,217	3,531,922	3,470,620

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
2012-10-01	$33.65	$31.00	31.9%	7.9%	24.9%	20.1%	28.3%	-0.0%	-0.1%	89.8M	-2.59B	-14.3M	0.52	2.26	78,356	40,531	2,386,898	1,145,024
2012-10-02	$33.50	$31.00	31.9%	7.8%	24.6%	20.1%	27.7%	0.4%	0.8%	88.2M	-2.48B	-14.5M	1.02	2.06	49,101	50,038	2,403,241	1,162,918
2012-10-03	$33.51	$31.00	33.2%	7.7%	24.5%	21.9%	27.5%	0.5%	0.6%	84.8M	-2.49B	-14.1M	0.93	2.03	48,994	45,646	2,411,161	1,185,210
2012-10-04	$33.93	$31.00	28.8%	7.6%	24.5%	19.9%	26.9%	0.1%	1.3%	93.9M	-2.71B	-14.2M	0.53	2.05	92,900	49,589	2,420,908	1,198,973
2012-10-05	$33.45	$31.50	26.8%	7.6%	23.1%	19.8%	26.9%	0.8%	1.0%	73.4M	-2.39B	-13.7M	0.34	2.13	123,392	42,454	2,447,904	1,215,829
2012-10-08	$32.97	$31.50	29.5%	7.6%	23.4%	25.2%	27.3%	0.6%	0.7%	73.9M	-2.14B	-13.4M	0.49	2.06	53,172	26,075	2,448,664	1,196,919
2012-10-09	$32.83	$31.50	29.3%	7.6%	23.4%	24.9%	27.2%	1.7%	0.6%	69.7M	-2.02B	-13.2M	0.73	2.21	66,845	48,557	2,460,459	1,205,136
2012-10-10	$32.95	$31.50	24.1%	7.5%	23.3%	14.4%	28.0%	2.1%	0.9%	73.3M	-2.08B	-13.3M	0.81	2.04	88,456	71,712	2,459,171	1,220,127
2012-10-11	$32.90	$31.50	25.4%	7.3%	17.4%	17.0%	26.0%	2.0%	1.3%	70.9M	-2.08B	-13.5M	0.46	2.26	41,060	18,979	2,488,017	1,255,381
2012-10-12	$32.45	$31.50	25.1%	7.2%	18.0%	16.4%	25.9%	2.3%	1.3%	54.8M	-1.78B	-13.2M	0.93	2.11	64,034	59,532	2,494,170	1,256,950
2012-10-15	$31.66	$31.50	26.3%	7.5%	18.9%	18.9%	26.8%	1.8%	0.7%	43.5M	-1.35B	-12.6M	0.69	2.15	80,453	55,355	2,476,573	1,249,151
2012-10-16	$31.93	$31.50	25.0%	7.2%	17.2%	16.3%	26.0%	1.9%	1.0%	43.4M	-1.51B	-12.2M	0.51	2.42	62,951	32,066	2,495,443	1,257,335
2012-10-17	$32.12	$31.50	24.1%	6.9%	17.4%	14.4%	24.6%	1.6%	1.3%	49.8M	-1.61B	-12.3M	0.45	2.20	52,513	23,802	2,506,078	1,258,927
2012-10-18	$31.73	$31.50	24.9%	7.1%	17.8%	16.1%	25.3%	2.1%	0.8%	41.0M	-1.39B	-12.1M	0.49	2.17	62,980	30,561	2,513,188	1,259,779
2012-10-19	$31.09	$31.50	25.6%	7.3%	18.8%	17.4%	25.8%	1.8%	0.9%	38.3M	-1.09B	-11.5M	0.61	2.30	172,117	104,540	2,538,575	1,261,642
2012-10-22	$31.39	$31.00	25.5%	7.3%	18.7%	17.2%	26.2%	2.1%	0.6%	48.5M	-1.25B	-12.1M	0.23	2.14	113,592	26,310	2,265,052	1,024,622
2012-10-23	$30.68	$31.00	27.1%	7.8%	20.0%	20.5%	27.6%	1.3%	0.1%	37.8M	-973.3M	-11.6M	0.48	2.22	89,593	42,730	2,314,086	1,033,892
2012-10-24	$30.71	$31.00	26.8%	7.7%	19.8%	19.8%	27.3%	1.9%	0.1%	39.6M	-982.0M	-11.6M	0.55	2.02	61,336	33,588	2,358,847	1,047,956
2012-10-25	$31.12	$31.00	24.3%	7.0%	18.7%	15.0%	25.6%	1.5%	0.9%	48.9M	-1.19B	-11.7M	1.08	1.92	61,241	66,193	2,375,284	1,057,131
2012-10-26	$31.08	$31.00	23.9%	6.9%	18.7%	14.2%	24.7%	1.8%	0.9%	32.9M	-1.14B	-11.5M	0.66	2.30	54,050	35,811	2,402,644	1,089,845
2012-10-31	$31.27	$31.00	25.7%	6.7%	18.8%	17.7%	24.5%	1.7%	1.3%	53.5M	-1.22B	-11.3M	0.43	2.02	52,588	22,390	2,399,398	1,071,222