SLV Options History — November 2012

In November 2012, SLV traded between $29.95 and $33.13. ATM implied volatility averaged 24.6%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.9%. IV traded above realized volatility by 0.3% (HV 20d: 24.4%). Max pain ranged from $30.50 to $31.50. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.61.

Notable Days

2012-11-02: Highest Volume — 256,840 contracts
2012-11-30: Largest IV spike — 44.0% change
2012-11-06: Highest IV Rank — 52.8%
2012-11-30: Largest Expected Move — 9.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$31.75	$29.95	$33.13	$31.22	$32.36
Max Pain	$30.89	$30.50	$31.50	$31.00	$31.50
ATM IV	24.6%	20.6%	35.8%	24.0%	32.7%
Expected Move	6.9%	5.9%	9.4%	6.6%	9.4%
HV 20d	24.4%	18.8%	26.1%	18.8%	26.1%
HV 60d	24.5%	22.8%	25.2%	22.8%	23.4%
IV Rank	20.8%	10.6%	52.8%	14.3%	44.3%
IV Percentile	13.0%	1.2%	67.5%	3.2%	62.3%
Term Structure	0.2%	-4.5%	1.2%	1.1%	-4.5%
VWIV	24.1%	20.9%	27.5%	23.2%	22.7%
Skew 25d	1.2%	0.3%	2.3%	1.1%	1.2%
Skew 10d	2.6%	0.5%	4.6%	1.4%	2.6%
Call IV 25d	23.6%	20.5%	26.4%	23.0%	23.3%
Put IV 25d	24.8%	21.8%	28.6%	24.1%	24.5%
Bid-Ask Spread %	11.62	1.86	117.65	2.01	82.36
Gamma HHI	0.08	0.06	0.11	0.07	0.09
Net GEX	65.3M	19.3M	92.4M	55.9M	68.9M
Net DEX	-1.50B	-2.11B	-578.8M	-1.22B	-1.62B
Net VEX	-11.7M	-12.7M	-10.6M	-11.2M	-12.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.61	0.39	1.00	0.63	0.64
Total Volume	135,688.857	90,963	256,840	90,963	191,547
Total OI	3,654,765.571	3,421,570	3,881,286	3,501,895	3,693,986

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
2012-11-01	$31.22	$31.00	24.0%	6.6%	18.8%	14.3%	23.2%	1.1%	1.1%	55.9M	-1.22B	-11.2M	0.63	2.01	55,683	35,280	2,427,771	1,074,124
2012-11-02	$29.95	$31.00	28.0%	7.5%	23.0%	22.2%	26.7%	1.5%	0.6%	19.3M	-578.8M	-10.6M	0.75	1.97	147,182	109,658	2,459,362	1,091,744
2012-11-05	$30.17	$30.50	33.6%	7.7%	22.6%	40.6%	27.1%	2.3%	-0.3%	33.7M	-733.2M	-11.1M	0.41	1.90	105,060	42,913	2,482,995	1,099,172
2012-11-06	$31.01	$30.50	35.8%	7.7%	25.2%	52.8%	27.5%	2.2%	-0.4%	57.8M	-1.19B	-11.9M	0.51	2.04	129,849	66,804	2,513,535	1,106,219
2012-11-07	$30.83	$30.50	25.2%	7.3%	24.9%	23.4%	26.0%	1.8%	-0.0%	53.5M	-1.10B	-11.4M	0.77	1.91	75,658	58,270	2,568,903	1,130,506
2012-11-08	$31.38	$30.50	25.3%	7.4%	26.0%	23.5%	26.9%	1.2%	0.1%	69.6M	-1.45B	-11.8M	0.39	1.94	103,650	40,829	2,589,481	1,156,196
2012-11-09	$31.54	$30.50	22.6%	7.1%	26.0%	16.1%	25.5%	0.6%	0.4%	92.4M	-1.65B	-12.7M	0.46	2.01	97,466	44,742	2,625,139	1,167,911
2012-11-12	$31.37	$30.50	24.2%	7.2%	26.1%	20.7%	26.0%	0.7%	0.6%	66.8M	-1.45B	-11.9M	0.59	2.12	65,552	38,643	2,624,050	1,161,425
2012-11-13	$31.40	$31.00	23.4%	7.0%	25.7%	18.3%	24.8%	1.2%	0.8%	67.2M	-1.46B	-12.1M	0.63	1.86	59,649	37,817	2,643,130	1,173,194
2012-11-14	$31.64	$31.00	24.1%	7.0%	24.4%	20.1%	24.7%	0.9%	0.3%	73.8M	-1.58B	-12.0M	0.49	2.04	66,376	32,772	2,651,037	1,186,579
2012-11-15	$31.53	$31.00	23.3%	6.7%	24.2%	18.0%	23.7%	1.7%	0.4%	58.6M	-1.48B	-11.5M	0.78	2.31	69,899	54,606	2,656,267	1,196,930
2012-11-16	$31.21	$31.00	22.7%	6.5%	24.3%	16.5%	23.0%	1.8%	1.0%	42.4M	-1.26B	-11.2M	0.86	2.40	81,977	70,821	2,666,327	1,214,959
2012-11-19	$32.05	$31.00	21.2%	6.1%	25.9%	12.3%	21.7%	1.0%	1.0%	62.0M	-1.57B	-11.3M	0.59	2.45	74,565	43,678	2,379,574	1,041,996
2012-11-20	$32.10	$31.00	20.6%	5.9%	24.7%	10.6%	20.9%	1.3%	1.2%	65.9M	-1.56B	-11.3M	0.53	2.35	75,217	40,054	2,400,180	1,060,582
2012-11-21	$32.29	$31.00	20.7%	5.9%	24.6%	10.9%	21.1%	0.9%	1.1%	71.9M	-1.66B	-11.3M	1.00	2.47	56,480	56,297	2,430,306	1,077,025
2012-11-23	$32.98	$31.00	22.0%	6.3%	23.8%	14.3%	22.6%	0.9%	0.5%	89.9M	-2.06B	-12.1M	0.46	5.21	77,141	35,861	2,450,770	1,102,388
2012-11-26	$33.02	$31.00	21.8%	6.3%	23.8%	14.0%	22.4%	0.4%	0.3%	81.3M	-2.03B	-11.7M	0.54	2.41	66,313	35,604	2,447,291	1,099,112
2012-11-27	$32.93	$31.50	21.8%	6.2%	23.6%	13.7%	22.6%	1.3%	0.3%	79.5M	-1.96B	-11.7M	0.55	2.25	86,814	47,608	2,469,466	1,117,014
2012-11-28	$32.62	$31.50	21.8%	6.3%	23.9%	14.0%	22.6%	1.0%	-0.3%	72.7M	-1.78B	-11.9M	0.60	2.43	92,395	55,211	2,499,308	1,134,969
2012-11-29	$33.13	$0.00	22.7%	6.5%	24.4%	16.5%	22.7%	0.3%	-0.8%	88.1M	-2.11B	-12.1M	0.55	117.65	79,537	43,988	2,528,478	1,150,676
2012-11-30	$32.36	$0.00	32.7%	9.4%	26.1%	44.3%	0.0%	1.2%	-4.5%	68.9M	-1.62B	-12.0M	0.64	82.36	116,703	74,844	2,530,367	1,163,619