SLV Options History — December 2014

In December 2014, SLV traded between $14.96 and $16.38. ATM implied volatility averaged 30.9%, placing in the 73.6% IV rank vs the trailing year. The 30-day expected move averaged 8.6%. IV traded below realized volatility by 10.5% (HV 20d: 41.4%). Max pain ranged from $15.50 to $15.50. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 6 of 22 days. Put/call ratio averaged 0.65.

Notable Days

2014-12-01: Highest Volume — 168,369 contracts
2014-12-29: Largest IV spike — 12.8% change
2014-12-01: Highest IV Rank — 96.2%
2014-12-17: Largest Expected Move — 9.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$15.56	$14.96	$16.38	$15.81	$15.06
Max Pain	$15.50	$15.50	$15.50	$15.50	$15.50
ATM IV	30.9%	28.0%	35.4%	35.4%	32.9%
Expected Move	8.6%	8.1%	9.5%	9.2%	9.0%
HV 20d	41.4%	31.8%	44.9%	43.4%	33.9%
HV 60d	31.3%	29.4%	33.1%	29.5%	33.1%
IV Rank	73.6%	58.9%	96.2%	96.2%	83.9%
IV Percentile	92.2%	82.1%	99.6%	99.6%	97.6%
Term Structure	-0.2%	-1.1%	0.7%	-0.7%	-0.4%
VWIV	30.5%	28.4%	33.3%	33.3%	32.0%
Skew 25d	2.9%	1.4%	4.5%	3.5%	2.6%
Skew 10d	5.8%	3.0%	9.1%	5.6%	5.7%
Call IV 25d	30.6%	28.1%	35.1%	35.1%	32.7%
Put IV 25d	33.5%	30.6%	38.6%	38.6%	35.3%
Bid-Ask Spread %	7.08	4.60	11.14	8.71	5.42
Gamma HHI	0.07	0.06	0.08	0.07	0.07
Net GEX	10.4M	3.1M	20.4M	14.8M	4.3M
Net DEX	270.1M	9.9M	428.7M	172.8M	369.3M
Net VEX	-7.1M	-8.0M	-6.2M	-7.8M	-6.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.65	0.32	1.13	0.45	0.41
Total Volume	75,476.227	32,130	168,369	168,369	103,873
Total OI	4,034,382.909	3,887,462	4,118,510	4,028,819	3,928,588

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
2014-12-01	$15.81	$15.50	35.4%	9.2%	43.4%	96.2%	33.3%	3.5%	-0.7%	14.8M	172.8M	-7.8M	0.45	8.71	116,074	52,295	3,144,606	884,213
2014-12-02	$15.75	$15.50	33.2%	8.9%	43.5%	85.2%	31.4%	3.0%	-0.1%	14.8M	211.1M	-7.6M	0.76	7.49	35,652	26,957	3,180,063	905,617
2014-12-03	$15.73	$15.50	31.9%	8.7%	43.4%	78.7%	30.8%	2.7%	-0.7%	14.9M	221.6M	-7.5M	0.58	7.22	34,783	20,063	3,188,362	906,251
2014-12-04	$15.77	$15.50	30.3%	8.4%	39.5%	70.6%	29.6%	2.5%	-0.2%	15.7M	200.4M	-7.5M	0.43	7.39	22,427	9,703	3,193,310	908,083
2014-12-05	$15.61	$15.50	30.0%	8.4%	39.7%	68.9%	29.9%	3.1%	0.5%	11.7M	271.4M	-7.2M	0.81	7.26	33,163	26,702	3,196,006	911,512
2014-12-08	$15.68	$15.50	30.0%	8.3%	39.2%	69.0%	29.0%	3.1%	-0.2%	12.5M	274.0M	-7.1M	0.47	6.90	41,309	19,571	3,167,888	895,571
2014-12-09	$16.32	$15.50	29.1%	8.2%	40.9%	64.6%	29.6%	2.0%	-0.1%	19.8M	33.1M	-7.8M	0.53	6.19	73,818	38,819	3,174,795	892,728
2014-12-10	$16.38	$15.50	29.9%	8.2%	40.7%	68.8%	29.5%	1.5%	-0.3%	20.4M	9.9M	-8.0M	0.32	7.17	79,931	25,657	3,176,185	904,685
2014-12-11	$16.35	$15.50	29.3%	8.2%	40.6%	65.7%	30.2%	1.6%	-0.3%	20.3M	17.5M	-8.0M	0.58	7.07	42,536	24,714	3,192,748	912,570
2014-12-12	$16.33	$15.50	29.4%	8.2%	40.6%	66.0%	30.7%	1.4%	-0.5%	18.6M	22.7M	-8.0M	0.52	7.91	43,882	22,691	3,202,420	916,090
2014-12-15	$15.52	$15.50	31.4%	8.6%	42.4%	76.0%	30.9%	2.6%	-0.7%	9.8M	314.3M	-7.0M	0.73	8.94	44,482	32,634	3,178,879	900,849
2014-12-16	$15.08	$15.50	34.7%	9.3%	43.5%	92.8%	33.3%	4.4%	-0.7%	5.5M	421.1M	-6.8M	0.54	7.49	80,541	43,181	3,183,345	914,096
2014-12-17	$15.10	$15.50	35.1%	9.5%	43.4%	94.9%	32.1%	4.5%	-1.1%	5.0M	413.9M	-6.8M	0.75	11.14	46,194	34,827	3,174,249	917,579
2014-12-18	$15.25	$15.50	31.0%	8.9%	43.6%	74.4%	30.7%	3.8%	0.2%	5.4M	395.8M	-6.7M	0.87	8.05	30,146	26,319	3,181,109	921,309
2014-12-19	$15.39	$15.50	28.8%	8.5%	43.7%	63.3%	29.9%	3.4%	0.1%	6.9M	374.6M	-6.7M	0.47	4.60	26,734	12,563	3,186,335	922,773
2014-12-22	$14.96	$15.50	30.3%	8.6%	44.5%	70.4%	30.6%	3.9%	-0.1%	4.0M	428.7M	-6.2M	1.04	6.05	46,989	48,957	3,035,295	852,167
2014-12-23	$15.03	$15.50	29.2%	8.4%	44.6%	65.2%	29.6%	3.6%	0.7%	3.1M	411.9M	-6.4M	0.60	6.98	29,540	17,846	3,049,176	870,779
2014-12-24	$15.09	$15.50	28.6%	8.4%	44.3%	62.2%	29.0%	3.0%	0.7%	3.1M	409.2M	-6.3M	1.13	6.22	21,048	23,800	3,055,732	872,840
2014-12-26	$15.37	$15.50	28.0%	8.1%	44.9%	58.9%	28.4%	2.5%	0.7%	6.0M	326.4M	-6.6M	0.74	6.79	34,537	25,665	3,057,848	876,999
2014-12-29	$15.13	$15.50	31.6%	8.7%	38.0%	76.9%	31.1%	3.3%	-0.5%	3.9M	380.2M	-6.3M	0.97	5.61	41,315	40,160	3,043,594	856,152
2014-12-30	$15.58	$15.50	29.4%	8.3%	31.8%	66.0%	29.0%	1.9%	-0.2%	8.0M	261.8M	-6.7M	0.67	5.19	34,905	23,474	3,054,831	868,197
2014-12-31	$15.06	$15.50	32.9%	9.0%	33.9%	83.9%	32.0%	2.6%	-0.4%	4.3M	369.3M	-6.4M	0.41	5.42	73,706	30,167	3,068,916	859,672