SLV Options History — September 2013

In September 2013, SLV traded between $20.78 and $23.39. ATM implied volatility averaged 35.8%, placing in the 54.3% IV rank vs the trailing year. The 30-day expected move averaged 9.8%. IV traded below realized volatility by 4.1% (HV 20d: 39.9%). Max pain ranged from $20.00 to $23.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 2 of 20 days. Put/call ratio averaged 0.55.

Notable Days

2013-09-20: Highest Volume — 232,502 contracts
2013-09-12: Largest IV spike — 8.4% change
2013-09-03: Highest IV Rank — 64.4%
2013-09-03: Largest Expected Move — 11.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$21.70	$20.78	$23.39	$23.39	$20.90
Max Pain	$21.67	$20.00	$23.00	$23.00	$23.00
ATM IV	35.8%	32.9%	39.0%	39.0%	34.6%
Expected Move	9.8%	8.7%	11.2%	11.2%	8.7%
HV 20d	39.9%	32.4%	47.9%	32.4%	44.5%
HV 60d	39.1%	36.5%	41.6%	38.6%	36.5%
IV Rank	54.3%	45.0%	64.4%	64.4%	50.3%
IV Percentile	86.0%	74.2%	96.8%	96.8%	81.7%
Term Structure	-0.8%	-1.7%	0.1%	-1.4%	-1.3%
VWIV	34.6%	30.6%	40.8%	40.8%	30.6%
Skew 25d	1.3%	0.2%	2.6%	0.7%	0.9%
Skew 10d	2.1%	-0.0%	4.4%	0.0%	1.2%
Call IV 25d	36.3%	33.4%	39.9%	39.9%	35.4%
Put IV 25d	37.6%	34.6%	40.6%	40.6%	36.3%
Bid-Ask Spread %	5.83	2.96	7.82	4.84	7.82
Gamma HHI	0.09	0.07	0.15	0.10	0.07
Net GEX	27.2M	17.3M	46.9M	40.0M	19.4M
Net DEX	-337.5M	-1.18B	89.8M	-1.18B	63.2M
Net VEX	-11.4M	-14.0M	-9.8M	-14.0M	-9.8M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.55	0.31	0.82	0.40	0.44
Total Volume	109,600.65	50,804	232,502	116,422	86,029
Total OI	3,496,461.45	3,337,229	3,614,332	3,492,363	3,374,822

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
2013-09-03	$23.39	$23.00	39.0%	11.2%	32.4%	64.4%	40.8%	0.7%	-1.4%	40.0M	-1.18B	-14.0M	0.40	4.84	83,087	33,335	2,544,395	947,968
2013-09-04	$22.69	$23.00	38.6%	11.1%	34.9%	63.4%	40.7%	1.0%	-1.3%	33.0M	-825.6M	-13.2M	0.56	5.39	68,843	38,456	2,546,770	956,909
2013-09-05	$22.38	$22.50	38.7%	11.1%	35.7%	63.4%	39.4%	1.3%	-1.3%	30.0M	-687.2M	-12.9M	0.81	5.34	50,347	40,835	2,564,885	966,984
2013-09-06	$22.97	$22.50	36.9%	10.6%	34.4%	57.8%	37.6%	0.9%	-0.9%	46.9M	-962.7M	-13.1M	0.67	5.45	85,188	56,818	2,570,646	970,911
2013-09-09	$22.84	$22.50	35.5%	10.2%	34.7%	53.3%	36.0%	1.3%	-1.3%	36.7M	-819.4M	-12.7M	0.52	5.25	33,861	17,680	2,536,935	947,240
2013-09-10	$22.13	$22.50	36.4%	10.4%	34.7%	56.3%	36.8%	1.9%	-1.7%	28.3M	-492.2M	-12.0M	0.58	4.84	60,172	34,915	2,546,525	952,032
2013-09-11	$22.29	$22.50	34.4%	9.9%	34.7%	49.7%	34.9%	1.7%	-1.2%	31.0M	-557.7M	-12.1M	0.31	4.97	45,159	13,788	2,558,644	962,466
2013-09-12	$21.06	$0.00	37.3%	10.7%	40.3%	58.9%	38.3%	2.6%	-0.9%	17.8M	-36.4M	-10.8M	0.61	4.90	101,826	61,931	2,580,347	966,638
2013-09-13	$21.42	$21.50	37.0%	10.7%	36.5%	58.2%	37.7%	2.2%	-0.7%	22.4M	-182.7M	-11.3M	0.82	6.33	70,337	57,623	2,601,970	983,184
2013-09-16	$20.94	$0.00	36.7%	9.3%	37.1%	57.1%	32.2%	2.1%	-0.6%	19.1M	-32.7M	-10.6M	0.75	4.94	48,659	36,276	2,580,821	963,240
2013-09-17	$20.96	$21.00	37.0%	9.3%	37.1%	57.9%	32.7%	2.3%	-0.9%	19.3M	-40.2M	-10.6M	0.55	2.96	39,475	21,528	2,598,365	969,752
2013-09-18	$22.31	$20.00	36.5%	9.3%	43.7%	56.4%	32.7%	0.2%	-0.8%	35.7M	-664.9M	-12.1M	0.45	6.93	156,512	70,838	2,611,261	976,195
2013-09-19	$22.20	$21.00	33.7%	9.2%	43.8%	47.4%	31.8%	0.6%	0.1%	33.0M	-577.7M	-11.5M	0.37	5.85	112,212	41,693	2,606,997	971,282
2013-09-20	$21.00	$21.00	34.2%	9.1%	47.9%	49.0%	31.7%	1.2%	-0.4%	24.9M	26.0M	-10.3M	0.66	5.19	139,877	92,625	2,628,788	985,544
2013-09-23	$20.78	$21.00	35.2%	9.2%	45.4%	52.4%	32.3%	1.3%	-0.8%	17.3M	89.8M	-10.0M	0.41	6.89	75,556	30,857	2,465,770	871,459
2013-09-24	$20.89	$20.00	34.5%	9.2%	45.0%	50.2%	32.0%	0.9%	-0.7%	20.1M	29.7M	-10.2M	0.44	6.59	35,276	15,528	2,501,726	875,226
2013-09-25	$20.98	$20.00	33.9%	9.1%	45.0%	48.3%	32.6%	1.1%	-0.6%	21.3M	2.8M	-10.3M	0.50	6.54	37,964	19,043	2,511,468	877,186
2013-09-26	$20.92	$20.00	33.4%	8.9%	45.0%	46.4%	30.9%	1.0%	-0.1%	20.9M	45.8M	-10.0M	0.68	7.78	53,448	36,144	2,522,281	882,970
2013-09-27	$20.96	$23.00	32.9%	8.8%	44.8%	45.0%	30.6%	1.2%	0.0%	25.9M	48.0M	-10.0M	0.53	7.73	57,774	30,498	2,542,906	905,721
2013-09-30	$20.90	$23.00	34.6%	8.7%	44.5%	50.3%	30.6%	0.9%	-1.3%	19.4M	63.2M	-9.8M	0.44	7.82	59,716	26,313	2,493,355	881,467