SLV Options History — June 2013

In June 2013, SLV traded between $17.89 and $21.98. ATM implied volatility averaged 34.7%, placing in the 53.6% IV rank vs the trailing year. The 30-day expected move averaged 9.9%. IV traded below realized volatility by 0.6% (HV 20d: 35.2%). Max pain ranged from $19.00 to $25.00. Net GEX was positive for 5 of 20 trading days. Term structure was in contango for 1 of 20 days. Put/call ratio averaged 0.71.

Notable Days

2013-06-20: Highest Volume — 333,053 contracts
2013-06-20: Largest IV spike — 35.8% change
2013-06-20: Highest IV Rank — 75.1%
2013-06-20: Largest Expected Move — 12.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$20.37	$17.89	$21.98	$21.98	$18.97
Max Pain	$21.87	$19.00	$25.00	$21.50	$19.00
ATM IV	34.7%	30.6%	41.8%	31.9%	39.9%
Expected Move	9.9%	8.8%	12.0%	9.1%	11.5%
HV 20d	35.2%	26.9%	48.5%	29.8%	48.5%
HV 60d	41.2%	38.7%	46.4%	38.7%	46.4%
IV Rank	53.6%	41.4%	75.1%	45.3%	69.5%
IV Percentile	87.8%	75.8%	99.6%	81.7%	97.2%
Term Structure	-1.3%	-3.2%	0.3%	-1.3%	-0.9%
VWIV	35.3%	30.1%	44.2%	32.9%	41.2%
Skew 25d	6.7%	4.4%	10.9%	5.1%	9.5%
Skew 10d	13.0%	8.8%	20.5%	11.2%	17.8%
Call IV 25d	32.6%	28.6%	39.6%	30.4%	37.1%
Put IV 25d	39.4%	34.3%	49.3%	35.4%	46.6%
Bid-Ask Spread %	7.79	2.62	14.63	8.68	14.55
Gamma HHI	0.08	0.07	0.10	0.07	0.07
Net GEX	-4.8M	-12.1M	5.8M	1.6M	168.0K
Net DEX	864.5M	547.9M	1.28B	572.7M	768.4M
Net VEX	-7.9M	-9.1M	-5.8M	-9.1M	-7.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.71	0.36	1.11	0.36	0.52
Total Volume	140,577.4	51,518	333,053	94,162	311,843
Total OI	3,211,732.35	3,054,108	3,440,326	3,096,167	3,318,597

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
2013-06-03	$21.98	$21.50	31.9%	9.1%	29.8%	45.3%	32.9%	5.1%	-1.3%	1.6M	572.7M	-9.1M	0.36	8.68	69,076	25,086	2,063,265	1,032,902
2013-06-04	$21.77	$22.00	30.9%	8.8%	29.9%	42.3%	32.5%	4.5%	-0.8%	2.0M	638.7M	-8.8M	0.69	6.50	30,727	21,110	2,087,871	1,034,211
2013-06-05	$21.78	$21.50	31.4%	9.0%	29.9%	44.0%	32.1%	4.8%	-1.2%	2.1M	620.6M	-8.9M	0.82	7.91	39,344	32,382	2,095,889	1,037,130
2013-06-06	$21.93	$21.50	31.4%	9.0%	30.1%	43.9%	31.2%	4.4%	-1.1%	5.8M	547.9M	-9.1M	0.39	7.18	69,524	27,086	2,107,326	1,035,867
2013-06-07	$20.86	$21.50	37.0%	10.6%	34.4%	60.6%	38.9%	6.6%	-2.4%	-5.7M	890.3M	-8.2M	1.07	9.66	145,261	155,591	2,119,614	1,041,704
2013-06-10	$21.16	$21.50	32.8%	9.4%	34.9%	48.0%	32.5%	6.2%	-1.7%	-7.4M	796.1M	-8.4M	0.59	6.44	92,198	54,569	2,126,071	1,059,035
2013-06-11	$20.91	$21.50	34.6%	9.9%	35.0%	53.4%	34.9%	6.7%	-1.8%	-7.2M	838.8M	-8.4M	0.73	6.47	73,837	54,013	2,149,600	1,064,665
2013-06-12	$21.02	$21.50	33.0%	9.5%	35.1%	48.7%	31.8%	5.9%	-1.2%	-6.5M	832.3M	-8.4M	0.78	6.34	34,679	26,906	2,172,996	1,078,850
2013-06-13	$21.04	$0.00	32.7%	9.4%	32.9%	47.7%	32.0%	6.3%	-0.5%	-6.7M	834.3M	-8.3M	0.59	10.53	52,406	30,850	2,180,315	1,086,001
2013-06-14	$21.33	$22.00	30.6%	8.8%	33.1%	41.4%	31.0%	4.9%	-0.0%	-6.7M	750.3M	-8.7M	0.63	9.93	63,302	39,870	2,198,123	1,096,638
2013-06-17	$21.10	$25.00	30.8%	8.8%	32.1%	42.2%	30.1%	5.7%	-1.1%	-10.0M	843.9M	-8.4M	0.40	2.71	36,930	14,588	2,181,508	1,088,361
2013-06-18	$20.88	$25.00	31.6%	9.0%	28.4%	44.5%	31.4%	6.2%	-1.1%	-10.7M	912.0M	-8.2M	0.82	2.62	32,168	26,523	2,186,218	1,091,805
2013-06-19	$20.60	$25.00	30.8%	8.8%	26.9%	41.9%	31.1%	5.9%	0.3%	-12.1M	1.01B	-7.8M	0.89	4.47	51,624	45,869	2,194,042	1,095,114
2013-06-20	$18.97	$25.00	41.8%	12.0%	39.1%	75.1%	41.2%	8.5%	-0.8%	-11.0M	1.28B	-6.7M	0.74	3.65	191,590	141,463	2,204,220	1,100,385
2013-06-21	$19.39	$24.00	38.0%	11.0%	39.5%	63.6%	37.4%	7.9%	-2.2%	-5.8M	1.19B	-7.1M	1.11	2.66	89,729	99,160	2,308,635	1,131,691
2013-06-24	$18.97	$19.50	37.0%	10.6%	39.9%	60.7%	39.8%	7.6%	-1.7%	-3.1M	922.8M	-6.9M	0.87	10.78	63,765	55,398	2,111,547	942,561
2013-06-25	$18.91	$19.50	35.2%	10.1%	39.9%	55.2%	36.7%	7.9%	-2.0%	-3.6M	940.8M	-6.8M	0.58	8.80	45,423	26,525	2,138,569	957,623
2013-06-26	$17.89	$19.50	40.4%	11.6%	43.0%	70.8%	42.4%	9.1%	-3.2%	-6.2M	1.06B	-5.8M	0.82	11.35	110,999	91,230	2,162,062	960,459
2013-06-27	$17.89	$19.50	41.4%	11.9%	42.4%	74.0%	44.2%	10.9%	-0.8%	-5.3M	1.03B	-6.0M	0.85	14.63	128,880	110,024	2,211,079	982,098
2013-06-28	$18.97	$19.00	39.9%	11.5%	48.5%	69.5%	41.2%	9.5%	-0.9%	168.0K	768.4M	-7.8M	0.52	14.55	205,020	106,823	2,276,498	1,042,099