SLV Options History — August 2013

In August 2013, SLV traded between $18.83 and $23.59. ATM implied volatility averaged 32.9%, placing in the 47.3% IV rank vs the trailing year. The 30-day expected move averaged 9.4%. IV traded above realized volatility by 2.8% (HV 20d: 30.1%). Max pain ranged from $18.00 to $23.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 5 of 22 days. Put/call ratio averaged 0.54.

Notable Days

2013-08-15: Highest Volume — 472,257 contracts
2013-08-15: Largest IV spike — 15.3% change
2013-08-28: Highest IV Rank — 60.0%
2013-08-30: Largest Expected Move — 10.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.33	$18.83	$23.59	$18.97	$22.60
Max Pain	$20.17	$18.00	$23.00	$19.50	$23.00
ATM IV	32.9%	28.3%	37.6%	31.8%	37.6%
Expected Move	9.4%	8.1%	10.8%	9.1%	10.8%
HV 20d	30.1%	27.8%	34.9%	34.9%	31.6%
HV 60d	38.8%	38.0%	39.7%	38.0%	39.4%
IV Rank	47.3%	34.4%	60.0%	44.9%	59.9%
IV Percentile	78.0%	57.9%	94.4%	76.6%	94.0%
Term Structure	-0.6%	-1.6%	0.4%	-0.4%	-0.2%
VWIV	33.8%	28.0%	39.1%	32.1%	38.6%
Skew 25d	1.6%	-0.8%	4.9%	3.0%	0.7%
Skew 10d	2.8%	-2.6%	10.6%	5.8%	0.8%
Call IV 25d	33.3%	27.4%	39.1%	31.6%	38.4%
Put IV 25d	34.9%	30.6%	39.6%	34.6%	39.1%
Bid-Ask Spread %	6.55	4.33	17.20	7.10	4.33
Gamma HHI	0.09	0.07	0.12	0.07	0.10
Net GEX	28.0M	8.2M	42.9M	10.9M	31.5M
Net DEX	-457.8M	-1.33B	488.8M	387.6M	-825.1M
Net VEX	-11.2M	-14.4M	-7.4M	-8.0M	-13.5M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.54	0.34	0.81	0.61	0.39
Total Volume	143,447.864	47,432	472,257	47,432	124,576
Total OI	3,360,771.955	3,156,622	3,546,466	3,168,392	3,541,340

Daily Data (22 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
2013-08-01	$18.97	$19.50	31.8%	9.1%	34.9%	44.9%	32.1%	3.0%	-0.4%	10.9M	387.6M	-8.0M	0.61	7.10	29,490	17,942	2,317,904	850,488
2013-08-02	$19.12	$19.50	29.8%	8.6%	31.0%	39.2%	30.5%	3.3%	-0.4%	13.1M	349.4M	-8.1M	0.81	9.53	56,804	46,101	2,329,407	856,692
2013-08-05	$19.01	$19.50	28.6%	8.2%	30.9%	35.4%	28.0%	3.5%	0.0%	11.3M	433.9M	-7.7M	0.52	5.68	49,718	25,755	2,315,484	841,138
2013-08-06	$18.83	$19.00	28.7%	8.2%	31.0%	35.9%	29.8%	4.2%	0.2%	8.9M	488.8M	-7.5M	0.65	6.24	43,605	28,379	2,347,815	855,470
2013-08-07	$18.83	$18.00	28.3%	8.1%	31.0%	34.4%	29.7%	4.9%	0.1%	8.2M	486.7M	-7.4M	0.56	6.00	32,200	17,892	2,365,422	865,055
2013-08-08	$19.60	$18.00	28.6%	8.2%	28.3%	35.3%	28.4%	2.6%	-0.6%	21.6M	220.1M	-8.3M	0.41	6.42	87,987	35,827	2,378,049	873,573
2013-08-09	$19.76	$18.00	29.1%	8.4%	27.8%	37.0%	30.2%	3.0%	-0.4%	22.8M	125.6M	-8.8M	0.47	6.24	69,051	32,503	2,412,882	880,655
2013-08-12	$20.62	$19.00	30.2%	8.7%	31.5%	40.2%	30.8%	1.5%	-0.6%	30.9M	-206.5M	-9.8M	0.34	6.02	127,783	43,380	2,414,599	871,281
2013-08-13	$20.71	$19.00	30.3%	8.7%	31.5%	40.6%	30.1%	2.2%	-1.1%	31.6M	-233.7M	-10.0M	0.40	5.84	78,804	31,269	2,446,153	885,158
2013-08-14	$21.09	$19.00	31.0%	8.9%	28.3%	42.6%	31.6%	1.3%	-0.6%	31.7M	-413.2M	-10.8M	0.43	5.53	111,068	47,977	2,459,277	900,336
2013-08-15	$22.15	$0.00	35.7%	10.3%	32.1%	56.9%	37.3%	-0.2%	-0.4%	35.7M	-969.8M	-12.6M	0.50	17.20	314,537	157,720	2,505,663	915,712
2013-08-16	$22.34	$21.50	35.7%	10.3%	32.1%	56.7%	37.7%	-0.8%	-0.7%	41.3M	-1.04B	-13.0M	0.54	6.69	188,629	102,594	2,556,562	989,904
2013-08-19	$22.34	$20.00	34.7%	10.0%	28.9%	53.8%	35.9%	0.1%	-1.2%	31.4M	-782.8M	-13.0M	0.53	5.56	68,960	36,229	2,432,478	904,257
2013-08-20	$22.19	$20.00	34.3%	9.8%	29.2%	49.5%	34.8%	0.9%	-0.9%	30.3M	-703.9M	-12.9M	0.64	7.46	74,010	47,701	2,447,345	921,665
2013-08-21	$22.14	$20.00	34.0%	9.7%	28.3%	48.6%	35.0%	1.1%	-1.1%	29.0M	-664.1M	-12.7M	0.73	7.28	96,719	70,881	2,466,752	938,881
2013-08-22	$22.27	$20.00	33.0%	9.5%	28.3%	45.2%	34.3%	1.6%	0.1%	30.8M	-711.6M	-12.8M	0.63	6.38	49,735	31,373	2,485,034	957,033
2013-08-23	$23.15	$20.00	34.5%	9.9%	29.8%	50.0%	35.5%	-0.1%	0.4%	38.2M	-1.18B	-13.9M	0.35	5.17	144,513	51,088	2,506,895	973,147
2013-08-26	$23.46	$22.50	36.7%	10.5%	29.0%	57.1%	39.1%	-0.4%	-1.6%	41.5M	-1.26B	-14.2M	0.39	5.03	99,070	39,027	2,491,685	936,875
2013-08-27	$23.59	$22.50	37.4%	10.7%	28.4%	59.5%	38.2%	-0.4%	-1.4%	42.9M	-1.33B	-14.4M	0.54	4.64	107,708	58,279	2,516,999	952,388
2013-08-28	$23.43	$22.50	37.6%	10.8%	29.1%	60.0%	38.2%	1.1%	-1.5%	39.9M	-1.23B	-14.3M	0.58	5.02	90,551	52,287	2,522,132	974,840
2013-08-29	$23.00	$23.00	36.7%	10.5%	30.1%	57.1%	38.3%	1.3%	-0.4%	33.5M	-999.7M	-13.9M	0.77	4.75	77,124	59,007	2,535,008	997,550
2013-08-30	$22.60	$23.00	37.6%	10.8%	31.6%	59.9%	38.6%	0.7%	-0.2%	31.5M	-825.1M	-13.5M	0.39	4.33	89,399	35,177	2,543,180	998,160