SLV Options History — January 2014

In January 2014, SLV traded between $18.45 and $19.68. ATM implied volatility averaged 26.8%, placing in the 25.4% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 1.9% (HV 20d: 24.9%). Max pain ranged from $20.00 to $21.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 6 of 21 days. Put/call ratio averaged 0.52.

Notable Days

2014-01-21: Highest Volume — 335,389 contracts
2014-01-24: Largest IV spike — 6.0% change
2014-01-08: Highest IV Rank — 29.7%
2014-01-03: Largest Expected Move — 8.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$19.14	$18.45	$19.68	$19.23	$18.45
Max Pain	$20.29	$20.00	$21.00	$21.00	$20.00
ATM IV	26.8%	25.0%	28.1%	28.1%	27.1%
Expected Move	8.3%	8.0%	8.6%	8.6%	8.2%
HV 20d	24.9%	21.2%	30.1%	30.1%	21.2%
HV 60d	25.3%	24.4%	26.1%	25.2%	24.9%
IV Rank	25.4%	19.6%	29.7%	29.6%	26.4%
IV Percentile	29.8%	21.8%	38.5%	38.1%	30.2%
Term Structure	-0.2%	-1.2%	1.2%	-0.2%	0.4%
VWIV	29.6%	28.3%	31.6%	29.9%	28.7%
Skew 25d	1.8%	0.9%	2.9%	2.2%	2.1%
Skew 10d	3.1%	0.9%	5.1%	4.2%	4.3%
Call IV 25d	27.0%	25.7%	28.1%	27.9%	27.2%
Put IV 25d	28.8%	26.8%	30.3%	30.1%	29.3%
Bid-Ask Spread %	5.84	4.93	8.31	5.21	5.61
Gamma HHI	0.07	0.06	0.11	0.07	0.11
Net GEX	11.7M	3.8M	19.4M	14.0M	4.7M
Net DEX	149.8M	-202.3M	463.8M	306.0M	63.0M
Net VEX	-7.7M	-8.7M	-6.7M	-7.0M	-8.0M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.52	0.08	1.09	0.51	0.94
Total Volume	100,981.714	47,796	335,389	119,139	60,277
Total OI	2,950,347.286	2,007,906	3,592,797	3,286,560	2,569,103

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
2014-01-02	$19.23	$21.00	28.1%	8.6%	30.1%	29.6%	29.9%	2.2%	-0.2%	14.0M	306.0M	-7.0M	0.51	5.21	78,893	40,246	2,460,330	826,230
2014-01-03	$19.42	$21.00	26.7%	8.6%	28.3%	25.2%	31.5%	1.7%	0.3%	8.9M	293.1M	-7.2M	0.50	5.30	52,013	26,123	2,461,161	834,437
2014-01-06	$19.42	$21.00	27.2%	8.5%	27.6%	26.8%	30.7%	1.7%	-0.7%	10.3M	300.8M	-7.2M	1.09	5.48	31,115	34,033	2,454,461	828,699
2014-01-07	$19.13	$21.00	28.1%	8.5%	28.2%	29.7%	31.6%	2.1%	-0.8%	6.7M	392.4M	-7.1M	0.61	5.38	30,537	18,485	2,465,597	850,417
2014-01-08	$18.83	$21.00	28.1%	8.5%	28.0%	29.7%	30.2%	2.1%	-0.8%	3.8M	463.8M	-6.8M	0.67	5.93	33,615	22,461	2,478,935	852,972
2014-01-09	$18.84	$21.00	27.1%	8.4%	25.8%	26.3%	29.3%	1.9%	-0.5%	4.3M	463.5M	-6.7M	0.63	5.94	50,692	31,992	2,491,587	858,006
2014-01-10	$19.38	$20.00	25.7%	8.3%	28.0%	22.0%	30.1%	1.9%	-0.3%	10.1M	292.7M	-7.3M	0.41	8.31	74,840	30,769	2,524,540	869,903
2014-01-13	$19.68	$20.00	27.1%	8.2%	24.5%	26.3%	29.1%	1.1%	-1.2%	12.2M	223.3M	-7.4M	0.62	5.78	44,852	27,778	2,516,009	850,737
2014-01-14	$19.42	$20.00	26.3%	8.1%	25.1%	23.8%	28.5%	2.0%	-0.8%	11.0M	312.7M	-7.2M	0.25	5.85	139,292	34,986	2,526,827	856,030
2014-01-15	$19.40	$20.00	26.2%	8.2%	24.6%	23.6%	28.7%	1.8%	-0.5%	15.0M	257.1M	-8.0M	0.58	6.79	30,294	17,502	2,612,283	866,372
2014-01-16	$19.35	$20.00	25.9%	8.2%	24.6%	22.7%	28.7%	1.7%	-0.6%	14.8M	282.3M	-7.7M	0.18	5.61	120,509	21,850	2,624,998	871,803
2014-01-17	$19.51	$20.00	25.0%	8.2%	24.7%	19.6%	30.5%	1.2%	-0.5%	17.5M	213.1M	-8.0M	0.41	5.78	59,990	24,414	2,714,640	878,157
2014-01-21	$19.17	$20.00	26.1%	8.2%	22.6%	23.2%	29.4%	1.3%	0.5%	13.5M	-92.7M	-7.7M	0.08	5.70	310,678	24,711	1,432,973	574,933
2014-01-22	$19.03	$20.00	25.6%	8.3%	22.7%	21.6%	29.2%	1.2%	1.2%	14.1M	-97.8M	-8.3M	0.38	5.38	62,231	23,793	1,708,460	588,514
2014-01-23	$19.26	$20.00	26.1%	8.3%	23.0%	23.0%	29.3%	0.9%	0.4%	19.4M	-202.3M	-8.7M	0.33	6.26	52,891	17,522	1,747,316	601,510
2014-01-24	$19.16	$20.00	27.6%	8.3%	23.1%	28.0%	29.4%	1.5%	0.3%	17.2M	-172.5M	-8.7M	0.58	6.41	64,546	37,581	1,767,620	608,422
2014-01-27	$18.89	$20.00	27.8%	8.2%	23.2%	28.6%	29.1%	2.1%	-0.4%	14.3M	-75.7M	-8.3M	0.64	4.93	47,722	30,453	1,768,142	611,850
2014-01-28	$18.85	$20.00	27.0%	8.2%	22.7%	26.0%	29.4%	2.7%	-0.1%	13.2M	-55.3M	-8.2M	0.66	5.25	63,197	41,847	1,786,025	629,661
2014-01-29	$19.02	$20.00	26.9%	8.0%	21.5%	25.6%	28.3%	1.9%	-0.4%	15.5M	-101.7M	-8.4M	0.41	5.66	61,612	25,452	1,816,297	658,737
2014-01-30	$18.49	$20.00	26.9%	8.2%	23.7%	25.7%	30.0%	2.9%	-0.3%	6.4M	80.0M	-7.8M	0.35	6.01	87,753	31,069	1,842,381	670,218
2014-01-31	$18.45	$20.00	27.1%	8.2%	21.2%	26.4%	28.7%	2.1%	0.4%	4.7M	63.0M	-8.0M	0.94	5.61	31,149	29,128	1,888,505	680,598