SLV Options History — January 2013

In January 2013, SLV traded between $29.18 and $31.19. ATM implied volatility averaged 22.7%, placing in the 16.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 1.6% (HV 20d: 21.1%). Max pain ranged from $29.00 to $31.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.65.

Notable Days

2013-01-04: Highest Volume — 230,099 contracts
2013-01-23: Largest IV drop — 6.3% change
2013-01-07: Highest IV Rank — 21.8%
2013-01-07: Largest Expected Move — 7.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$30.12	$29.18	$31.19	$29.92	$30.44
Max Pain	$30.13	$29.00	$31.00	$29.00	$31.00
ATM IV	22.7%	20.2%	24.6%	23.4%	21.9%
Expected Move	6.5%	5.8%	7.1%	6.7%	6.3%
HV 20d	21.1%	15.9%	23.8%	22.2%	20.5%
HV 60d	22.5%	21.4%	22.9%	22.6%	21.4%
IV Rank	16.3%	9.5%	21.8%	18.4%	14.0%
IV Percentile	10.2%	0.8%	19.4%	11.9%	8.7%
Term Structure	0.2%	-0.5%	0.8%	0.1%	0.4%
VWIV	23.2%	20.5%	25.7%	23.8%	22.4%
Skew 25d	1.1%	-0.2%	2.3%	1.5%	1.4%
Skew 10d	2.0%	-0.7%	4.3%	2.5%	2.5%
Call IV 25d	22.9%	20.7%	25.0%	23.4%	21.9%
Put IV 25d	24.0%	21.0%	26.5%	24.9%	23.3%
Bid-Ask Spread %	3.07	1.84	4.46	3.28	3.96
Gamma HHI	0.09	0.07	0.12	0.09	0.07
Net GEX	42.2M	19.7M	62.1M	35.9M	33.2M
Net DEX	-641.5M	-1.46B	-134.7M	-660.8M	-370.1M
Net VEX	-10.7M	-11.2M	-10.1M	-10.5M	-10.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.37	1.09	0.40	0.74
Total Volume	143,372	89,816	230,099	168,998	116,092
Total OI	3,634,989.952	2,346,105	4,470,132	4,188,799	2,571,551

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
2013-01-02	$29.92	$29.00	23.4%	6.7%	22.2%	18.4%	23.8%	1.5%	0.1%	35.9M	-660.8M	-10.5M	0.40	3.28	120,485	48,513	2,796,045	1,392,754
2013-01-03	$29.18	$29.50	23.9%	6.9%	22.8%	19.9%	23.4%	1.8%	-0.1%	20.2M	-163.6M	-10.1M	0.73	3.31	121,574	89,128	2,827,293	1,408,023
2013-01-04	$29.24	$30.50	24.2%	6.9%	22.9%	20.5%	24.2%	2.1%	-0.4%	19.7M	-216.1M	-10.2M	0.72	2.73	133,700	96,399	2,856,902	1,426,824
2013-01-07	$29.18	$29.50	24.6%	7.1%	22.7%	21.8%	25.7%	2.3%	-0.5%	22.6M	-235.5M	-10.3M	0.51	3.49	112,063	57,624	2,867,959	1,399,987
2013-01-08	$29.38	$29.50	23.4%	6.7%	22.9%	18.4%	24.5%	2.1%	0.1%	29.0M	-378.7M	-10.4M	0.75	2.82	61,889	46,510	2,934,833	1,422,305
2013-01-09	$29.35	$29.50	23.2%	6.6%	22.8%	17.6%	23.5%	2.1%	-0.3%	29.1M	-367.5M	-10.3M	0.68	3.25	53,358	36,458	2,947,699	1,421,731
2013-01-10	$29.78	$0.00	23.0%	6.6%	23.8%	17.3%	23.9%	1.8%	-0.2%	42.2M	-690.8M	-10.8M	0.51	3.72	92,202	46,866	2,959,101	1,432,806
2013-01-11	$29.48	$29.00	22.8%	6.5%	22.9%	16.7%	24.3%	1.1%	-0.0%	52.2M	-461.6M	-10.5M	0.68	4.46	80,833	55,066	2,984,543	1,438,492
2013-01-14	$30.04	$29.50	23.7%	6.7%	22.8%	19.1%	24.0%	0.6%	0.5%	49.0M	-895.4M	-10.8M	0.50	1.92	79,903	40,043	2,977,203	1,426,477
2013-01-15	$30.36	$30.00	23.9%	6.8%	23.0%	19.7%	24.5%	0.5%	0.3%	60.1M	-1.16B	-11.0M	0.50	1.90	71,151	35,678	2,988,138	1,437,157
2013-01-16	$30.45	$30.00	24.0%	6.9%	23.1%	19.9%	24.3%	0.1%	0.3%	60.2M	-1.23B	-11.0M	0.37	1.88	101,785	38,152	2,986,940	1,442,059
2013-01-17	$30.67	$30.00	24.1%	6.9%	22.4%	20.1%	24.5%	-0.2%	0.1%	62.1M	-1.43B	-11.2M	0.54	1.84	144,612	77,657	3,009,081	1,447,830
2013-01-18	$30.81	$30.00	22.6%	6.5%	21.4%	16.1%	22.7%	-0.1%	0.2%	56.7M	-1.46B	-11.2M	0.57	1.85	100,421	57,619	3,009,917	1,460,215
2013-01-22	$31.12	$31.00	21.6%	6.2%	16.0%	13.3%	21.8%	0.1%	0.3%	55.6M	-827.9M	-10.9M	0.61	3.26	77,304	47,413	1,547,403	798,702
2013-01-23	$31.19	$31.00	20.2%	5.8%	15.9%	9.5%	21.0%	-0.0%	0.7%	59.7M	-865.2M	-11.0M	0.63	3.37	73,195	45,960	1,583,757	819,220
2013-01-24	$30.65	$31.00	20.3%	5.8%	17.5%	9.8%	20.5%	0.6%	0.4%	48.2M	-542.5M	-10.8M	0.59	2.76	66,312	39,011	1,603,141	836,113
2013-01-25	$30.21	$31.00	21.2%	6.1%	18.6%	12.3%	21.3%	1.3%	0.5%	33.9M	-306.6M	-10.6M	0.80	3.63	74,101	58,962	1,611,885	849,210
2013-01-28	$29.85	$30.50	22.1%	6.3%	19.1%	14.8%	23.8%	1.3%	0.2%	25.6M	-134.7M	-10.2M	1.09	3.95	54,252	58,870	1,597,973	839,518
2013-01-29	$30.32	$30.50	20.8%	6.0%	19.6%	11.1%	21.2%	1.3%	0.8%	37.4M	-351.5M	-10.5M	0.97	3.57	55,125	53,720	1,609,371	862,546
2013-01-30	$30.92	$30.50	21.1%	6.1%	20.4%	12.0%	21.7%	1.0%	0.5%	53.9M	-717.5M	-10.9M	0.84	3.44	103,535	87,271	1,625,526	876,559
2013-01-31	$30.44	$31.00	21.9%	6.3%	20.5%	14.0%	22.4%	1.4%	0.4%	33.2M	-370.1M	-10.9M	0.74	3.96	66,592	49,500	1,649,624	921,927