SLV Options History — August 2014

In August 2014, SLV traded between $18.60 and $19.52. ATM implied volatility averaged 17.5%, placing in the 5.6% IV rank vs the trailing year. The 30-day expected move averaged 5.8%. IV traded above realized volatility by 3.3% (HV 20d: 14.2%). Max pain ranged from $19.50 to $20.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.40.

Notable Days

2014-08-14: Highest Volume — 166,000 contracts
2014-08-15: Largest IV spike — 6.0% change
2014-08-11: Highest IV Rank — 10.6%
2014-08-11: Largest Expected Move — 6.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$18.95	$18.60	$19.52	$19.52	$18.71
Max Pain	$19.79	$19.50	$20.00	$20.00	$19.50
ATM IV	17.5%	16.6%	18.7%	18.1%	16.8%
Expected Move	5.8%	5.5%	6.0%	5.9%	5.5%
HV 20d	14.2%	9.8%	18.8%	17.5%	9.9%
HV 60d	16.2%	15.7%	16.9%	16.5%	15.7%
IV Rank	5.6%	1.5%	10.6%	8.0%	2.2%
IV Percentile	3.4%	0.8%	6.0%	3.6%	2.0%
Term Structure	0.3%	-0.0%	0.9%	0.1%	0.1%
VWIV	21.9%	20.1%	24.2%	22.4%	20.1%
Skew 25d	-0.5%	-2.0%	0.3%	-0.5%	-1.8%
Skew 10d	-1.2%	-4.0%	0.3%	-0.7%	-3.6%
Call IV 25d	18.6%	17.3%	19.7%	19.4%	18.5%
Put IV 25d	18.0%	16.7%	19.3%	18.8%	16.7%
Bid-Ask Spread %	11.21	9.78	13.42	11.81	12.97
Gamma HHI	0.10	0.10	0.11	0.11	0.11
Net GEX	36.4M	29.7M	45.5M	38.2M	39.7M
Net DEX	-211.0M	-423.4M	-100.1M	-423.4M	-161.0M
Net VEX	-9.2M	-9.9M	-8.5M	-9.9M	-8.7M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.40	0.16	0.85	0.53	0.22
Total Volume	66,487.238	23,192	166,000	118,827	47,100
Total OI	3,476,514.095	3,353,316	3,595,723	3,375,572	3,562,159

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
2014-08-01	$19.52	$20.00	18.1%	5.9%	17.5%	8.0%	22.4%	-0.5%	0.1%	38.2M	-423.4M	-9.9M	0.53	11.81	77,651	41,176	2,681,568	694,004
2014-08-04	$19.40	$20.00	17.8%	5.9%	17.5%	6.7%	21.1%	0.1%	0.3%	37.7M	-356.2M	-9.6M	0.49	10.56	27,499	13,378	2,674,563	678,753
2014-08-05	$19.05	$20.00	18.6%	5.8%	18.4%	10.1%	21.2%	-0.2%	0.3%	29.7M	-161.9M	-9.0M	0.85	11.23	62,592	52,984	2,684,820	685,233
2014-08-06	$19.23	$20.00	18.4%	5.9%	18.8%	9.4%	23.5%	-0.1%	0.1%	35.8M	-294.4M	-9.6M	0.21	11.10	80,070	16,719	2,718,087	701,280
2014-08-07	$19.17	$20.00	18.1%	5.8%	18.0%	8.1%	22.0%	-0.5%	0.2%	35.5M	-260.6M	-9.3M	0.25	11.52	34,865	8,593	2,754,635	705,318
2014-08-08	$19.19	$20.00	18.0%	5.9%	17.9%	7.6%	22.7%	-0.6%	0.3%	36.5M	-273.8M	-9.5M	0.73	11.61	39,610	29,054	2,771,488	708,787
2014-08-11	$19.23	$20.00	18.7%	6.0%	16.4%	10.6%	22.3%	-0.6%	0.0%	38.2M	-332.5M	-9.7M	0.35	9.78	31,395	10,868	2,750,134	707,451
2014-08-12	$19.17	$20.00	18.2%	5.9%	16.1%	8.4%	24.2%	-0.6%	0.4%	37.8M	-279.0M	-9.5M	0.25	10.55	52,431	13,225	2,764,049	709,999
2014-08-13	$19.04	$20.00	17.6%	5.9%	16.1%	6.0%	22.4%	-0.2%	0.4%	39.8M	-223.7M	-9.4M	0.45	11.11	42,307	18,880	2,802,371	713,851
2014-08-14	$19.10	$20.00	16.7%	5.8%	14.2%	1.9%	21.4%	-0.5%	0.2%	45.5M	-249.5M	-9.4M	0.24	10.87	134,201	31,799	2,813,751	713,872
2014-08-15	$18.86	$20.00	17.7%	5.9%	14.2%	6.3%	22.7%	-0.4%	0.0%	36.5M	-116.2M	-9.3M	0.37	11.72	103,500	38,539	2,863,498	732,225
2014-08-18	$18.87	$20.00	17.1%	5.8%	14.0%	3.8%	20.3%	-0.4%	0.8%	36.5M	-222.1M	-9.3M	0.31	10.37	32,294	10,120	2,781,775	649,858
2014-08-19	$18.70	$19.50	17.3%	5.8%	14.1%	4.6%	22.8%	0.2%	0.2%	33.4M	-136.5M	-9.0M	0.33	10.21	50,041	16,336	2,796,778	655,185
2014-08-20	$18.72	$19.50	17.0%	5.7%	14.2%	3.3%	20.8%	-0.3%	0.3%	34.2M	-153.0M	-9.0M	0.29	9.92	38,060	10,876	2,812,769	664,031
2014-08-21	$18.69	$19.50	17.2%	5.8%	11.6%	4.2%	21.2%	0.3%	0.3%	33.3M	-141.5M	-8.8M	0.75	13.42	24,245	18,232	2,833,939	669,521
2014-08-22	$18.69	$19.50	17.1%	5.7%	9.8%	3.5%	23.1%	-0.8%	0.5%	34.0M	-143.2M	-8.9M	0.26	9.93	36,469	9,571	2,832,975	680,016
2014-08-25	$18.60	$19.50	17.3%	5.7%	9.8%	4.5%	20.9%	-0.7%	0.9%	33.5M	-100.1M	-8.7M	0.41	12.64	16,486	6,706	2,824,242	666,570
2014-08-26	$18.63	$19.50	17.2%	5.7%	9.9%	4.3%	22.5%	-0.6%	0.2%	34.2M	-107.7M	-8.6M	0.46	11.03	20,680	9,584	2,832,366	669,588
2014-08-27	$18.66	$19.50	16.6%	5.6%	10.0%	1.5%	21.0%	-0.4%	0.4%	34.9M	-113.0M	-8.5M	0.60	10.76	15,485	9,262	2,841,328	675,266
2014-08-28	$18.74	$19.50	16.6%	5.6%	9.9%	1.7%	20.6%	-2.0%	-0.0%	39.0M	-182.2M	-8.8M	0.16	12.36	54,448	8,901	2,849,391	679,302
2014-08-29	$18.71	$19.50	16.8%	5.5%	9.9%	2.2%	20.1%	-1.8%	0.1%	39.7M	-161.0M	-8.7M	0.22	12.97	38,679	8,421	2,879,774	682,385