SLV Options History — March 2013

In March 2013, SLV traded between $27.43 and $28.20. ATM implied volatility averaged 20.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 4.1% (HV 20d: 16.5%). Max pain ranged from $27.00 to $29.00. Net GEX was positive for 8 of 20 trading days. Term structure was in contango for 12 of 20 days. Put/call ratio averaged 0.52.

Notable Days

2013-03-08: Highest Volume — 188,629 contracts
2013-03-19: Largest IV spike — 8.8% change
2013-03-05: Highest IV Rank — 23.4%
2013-03-04: Largest Expected Move — 6.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$27.86	$27.43	$28.20	$27.62	$27.43
Max Pain	$28.11	$27.00	$29.00	$28.00	$28.00
ATM IV	20.6%	18.9%	24.0%	23.6%	18.9%
Expected Move	5.9%	5.4%	6.8%	6.8%	5.4%
HV 20d	16.5%	11.5%	18.9%	18.5%	11.5%
HV 60d	19.3%	17.5%	20.5%	20.5%	17.9%
IV Rank	13.8%	8.3%	23.4%	19.0%	8.3%
IV Percentile	7.1%	0.8%	27.4%	23.8%	0.8%
Term Structure	0.1%	-0.5%	0.8%	-0.5%	0.1%
VWIV	20.9%	18.7%	24.9%	24.2%	18.7%
Skew 25d	1.7%	0.5%	2.5%	2.4%	2.0%
Skew 10d	3.5%	1.6%	5.6%	5.0%	3.4%
Call IV 25d	20.4%	18.1%	23.4%	23.4%	18.1%
Put IV 25d	22.1%	19.9%	25.9%	25.8%	20.1%
Bid-Ask Spread %	2.95	1.69	4.23	3.40	4.23
Gamma HHI	0.07	0.06	0.09	0.08	0.08
Net GEX	266.5K	-12.5M	22.2M	-12.5M	-3.2M
Net DEX	289.1M	-37.3M	588.9M	588.9M	290.0M
Net VEX	-9.3M	-9.8M	-8.8M	-9.0M	-8.9M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.26	0.92	0.62	0.92
Total Volume	89,874.1	50,292	188,629	86,482	63,522
Total OI	2,496,606.2	2,156,609	2,849,102	2,636,501	2,299,774

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
2013-03-01	$27.62	$28.00	23.6%	6.8%	18.5%	19.0%	24.2%	2.4%	-0.5%	-12.5M	588.9M	-9.0M	0.62	3.40	53,340	33,142	1,702,022	934,479
2013-03-04	$27.60	$28.00	24.0%	6.8%	17.6%	20.1%	24.9%	2.5%	-0.3%	-8.7M	537.6M	-8.8M	0.61	3.57	34,040	20,924	1,677,000	884,076
2013-03-05	$27.75	$27.00	23.5%	6.7%	18.0%	23.4%	23.3%	2.4%	-0.4%	-8.0M	501.3M	-8.9M	0.58	3.05	33,676	19,436	1,694,365	891,474
2013-03-06	$28.10	$28.00	22.2%	6.4%	18.9%	19.0%	22.2%	2.2%	-0.4%	-4.3M	368.7M	-9.1M	0.41	3.68	80,413	32,644	1,703,864	894,231
2013-03-07	$27.91	$27.50	22.0%	6.3%	18.7%	18.1%	22.2%	2.1%	-0.4%	-4.3M	412.3M	-9.1M	0.26	3.28	113,053	29,792	1,750,326	901,669
2013-03-08	$28.01	$27.50	20.8%	6.0%	18.8%	14.1%	21.3%	2.1%	-0.1%	-6.8M	375.5M	-9.2M	0.27	3.03	148,834	39,795	1,819,394	913,326
2013-03-11	$28.02	$27.50	20.1%	5.8%	18.9%	13.5%	20.3%	1.8%	0.0%	-5.3M	354.1M	-9.4M	0.40	3.27	35,816	14,476	1,868,128	900,691
2013-03-12	$28.20	$27.50	19.6%	5.6%	18.8%	11.1%	20.2%	1.8%	-0.2%	-978.1K	256.7M	-9.5M	0.32	3.30	47,272	15,239	1,889,296	902,714
2013-03-13	$27.94	$28.00	19.2%	5.5%	18.8%	9.8%	19.6%	2.0%	0.2%	-7.7M	374.0M	-9.3M	0.53	3.01	45,735	24,017	1,912,234	904,210
2013-03-14	$27.80	$0.00	19.6%	5.6%	18.6%	11.3%	19.7%	1.5%	0.1%	-12.1M	440.0M	-9.2M	0.74	3.72	49,243	36,531	1,921,438	910,369
2013-03-15	$27.80	$28.00	18.9%	5.4%	18.5%	8.4%	19.2%	1.9%	-0.1%	-7.7M	456.1M	-9.2M	0.41	3.58	86,825	35,169	1,935,834	913,268
2013-03-18	$27.95	$29.00	19.6%	5.6%	17.3%	11.4%	20.2%	1.7%	0.7%	8.3M	100.3M	-9.5M	0.56	1.77	54,202	30,466	1,428,406	728,203
2013-03-19	$27.93	$29.00	21.3%	6.1%	16.7%	18.3%	21.9%	1.3%	0.4%	10.0M	87.4M	-9.7M	0.41	1.89	94,049	38,291	1,444,317	739,382
2013-03-20	$27.81	$29.00	19.8%	5.7%	12.6%	12.3%	20.4%	1.4%	0.6%	10.9M	130.2M	-9.4M	0.66	1.69	48,630	32,321	1,473,697	746,291
2013-03-21	$28.18	$29.00	20.3%	5.8%	13.3%	14.1%	20.8%	0.5%	0.3%	22.2M	-37.3M	-9.8M	0.45	1.88	53,409	23,832	1,489,166	756,166
2013-03-22	$27.75	$29.00	20.4%	5.8%	14.4%	14.7%	20.8%	1.3%	0.3%	8.2M	151.1M	-9.6M	0.55	1.73	60,299	33,438	1,511,610	761,481
2013-03-25	$27.84	$28.00	19.7%	5.7%	14.1%	11.7%	20.3%	1.4%	0.4%	10.6M	98.8M	-9.4M	0.49	2.74	39,377	19,431	1,486,326	739,761
2013-03-26	$27.75	$28.00	19.2%	5.5%	13.4%	9.6%	19.2%	1.3%	0.7%	9.1M	139.2M	-9.3M	0.52	3.27	50,718	26,526	1,494,831	741,689
2013-03-27	$27.73	$28.00	18.9%	5.4%	12.4%	8.4%	19.0%	1.3%	0.8%	7.5M	157.4M	-9.2M	0.63	2.83	60,997	38,562	1,515,159	751,457
2013-03-28	$27.43	$28.00	18.9%	5.4%	11.5%	8.3%	18.7%	2.0%	0.1%	-3.2M	290.0M	-8.9M	0.92	4.23	33,082	30,440	1,536,761	763,013