SLV Options History — December 2012

In December 2012, SLV traded between $28.94 and $32.52. ATM implied volatility averaged 23.1%, placing in the 17.5% IV rank vs the trailing year. The 30-day expected move averaged 6.6%. IV traded above realized volatility by 2.1% (HV 20d: 21.0%). Max pain ranged from $28.00 to $32.50. Net GEX was positive for 19 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 0.73.

Notable Days

2012-12-20: Highest Volume — 596,711 contracts
2012-12-06: Largest IV drop — 17.3% change
2012-12-05: Highest IV Rank — 27.5%
2012-12-05: Largest Expected Move — 7.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.75	$28.94	$32.52	$32.52	$29.37
Max Pain	$29.70	$28.00	$32.50	$32.50	$29.50
ATM IV	23.1%	20.5%	26.7%	22.5%	24.9%
Expected Move	6.6%	5.9%	7.7%	6.4%	7.2%
HV 20d	21.0%	18.9%	23.9%	20.4%	20.8%
HV 60d	22.1%	20.9%	23.6%	23.4%	22.2%
IV Rank	17.5%	10.4%	27.5%	15.8%	22.4%
IV Percentile	9.7%	1.2%	19.4%	4.8%	18.7%
Term Structure	-0.5%	-6.3%	1.1%	-3.7%	0.1%
VWIV	23.4%	21.5%	26.1%	22.3%	25.3%
Skew 25d	1.0%	0.1%	1.7%	1.2%	1.1%
Skew 10d	2.0%	0.0%	3.4%	2.0%	1.8%
Call IV 25d	23.0%	21.2%	25.3%	23.9%	25.3%
Put IV 25d	24.1%	21.6%	26.3%	25.1%	26.3%
Bid-Ask Spread %	14.85	1.73	97.19	60.37	2.86
Gamma HHI	0.08	0.05	0.22	0.10	0.07
Net GEX	33.0M	-22.0M	73.1M	73.1M	21.9M
Net DEX	-754.8M	-1.72B	333.9M	-1.72B	-309.7M
Net VEX	-10.8M	-12.2M	-9.4M	-12.2M	-10.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.73	0.36	1.17	0.36	0.46
Total Volume	150,309.6	59,195	596,711	104,424	116,135
Total OI	3,985,191.85	3,713,667	4,390,295	3,713,667	4,144,860

Daily Data (20 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
2012-12-03	$32.52	$0.00	22.5%	6.4%	20.4%	15.8%	0.0%	1.2%	-3.7%	73.1M	-1.72B	-12.2M	0.36	60.37	76,559	27,865	2,542,457	1,171,210
2012-12-04	$31.90	$0.00	26.0%	7.5%	22.0%	25.7%	0.0%	1.4%	-6.0%	53.6M	-1.35B	-11.4M	0.71	88.33	85,173	60,140	2,551,599	1,185,729
2012-12-05	$31.82	$0.00	26.7%	7.7%	20.0%	27.5%	0.0%	0.7%	-6.3%	52.8M	-1.29B	-11.3M	0.77	97.19	71,100	54,529	2,572,163	1,204,190
2012-12-06	$31.93	$0.00	22.1%	6.3%	19.9%	14.7%	22.3%	0.2%	0.1%	55.4M	-1.36B	-11.4M	0.46	4.93	91,879	42,694	2,594,826	1,225,122
2012-12-07	$32.03	$32.50	21.0%	6.0%	19.0%	11.6%	21.5%	0.5%	0.4%	63.2M	-1.41B	-11.4M	1.12	3.06	47,781	53,521	2,618,462	1,235,863
2012-12-10	$32.14	$32.00	21.6%	6.2%	18.9%	13.4%	23.4%	0.1%	0.8%	61.9M	-1.50B	-11.9M	0.85	2.70	53,512	45,375	2,615,527	1,241,388
2012-12-11	$31.91	$32.00	21.8%	6.3%	19.0%	13.9%	23.2%	0.3%	0.5%	48.6M	-1.31B	-11.4M	0.59	4.26	37,344	21,851	2,639,301	1,270,198
2012-12-12	$32.37	$32.00	20.5%	5.9%	19.6%	10.4%	21.5%	0.4%	0.9%	65.4M	-1.65B	-11.6M	0.57	3.00	115,722	65,467	2,651,535	1,269,632
2012-12-13	$31.53	$0.00	22.7%	6.5%	21.8%	16.4%	23.2%	0.6%	0.5%	34.5M	-1.03B	-11.3M	0.90	3.95	87,042	78,185	2,670,925	1,293,189
2012-12-14	$31.17	$31.50	22.3%	6.4%	22.1%	15.3%	22.6%	1.2%	-0.2%	27.9M	-797.3M	-11.0M	0.59	3.94	76,810	45,176	2,687,007	1,303,410
2012-12-17	$31.20	$28.00	21.6%	6.2%	21.8%	13.2%	22.0%	0.8%	1.1%	24.4M	-818.6M	-10.5M	0.70	1.73	43,336	30,316	2,683,092	1,290,810
2012-12-18	$30.65	$28.00	21.9%	6.3%	20.3%	14.2%	22.2%	1.5%	0.9%	15.1M	-481.0M	-10.0M	0.76	2.06	113,031	86,138	2,690,686	1,302,205
2012-12-19	$30.11	$28.00	22.3%	6.4%	21.0%	15.2%	22.2%	1.4%	0.7%	8.4M	-213.9M	-9.8M	1.17	1.96	89,562	104,766	2,727,236	1,323,848
2012-12-20	$29.00	$28.00	23.7%	6.8%	23.9%	19.0%	24.2%	1.7%	0.0%	217.7K	333.9M	-9.4M	0.84	1.78	323,767	272,944	2,751,735	1,358,442
2012-12-21	$29.00	$28.00	23.2%	6.7%	21.9%	17.8%	23.6%	1.5%	-0.1%	-22.0M	199.4M	-10.4M	0.49	1.90	125,767	61,261	2,918,203	1,472,092
2012-12-24	$28.94	$29.00	23.7%	6.8%	21.8%	19.1%	26.1%	1.4%	0.4%	17.4M	-19.7M	-10.2M	1.13	3.22	37,307	42,042	2,727,339	1,348,114
2012-12-26	$29.01	$29.00	24.3%	7.0%	22.0%	20.7%	24.5%	1.6%	0.4%	18.6M	-59.5M	-10.2M	0.86	3.11	55,878	48,016	2,742,459	1,366,231
2012-12-27	$29.24	$29.00	24.8%	7.1%	22.5%	22.1%	25.2%	1.4%	0.1%	23.0M	-208.8M	-10.4M	0.62	3.09	66,511	41,059	2,764,187	1,389,761
2012-12-28	$29.10	$29.00	24.6%	7.0%	21.1%	21.5%	24.9%	1.6%	-0.1%	15.7M	-96.9M	-10.2M	0.66	3.54	66,482	44,149	2,759,831	1,398,973
2012-12-31	$29.37	$29.50	24.9%	7.2%	20.8%	22.4%	25.3%	1.1%	0.1%	21.9M	-309.7M	-10.4M	0.46	2.86	79,415	36,720	2,762,984	1,381,876