We recently discovered something interesting.
On May 2, 2011, there was huge selling of SLV -- about 11.6Moz traded at the opening. It is normal to have very heavy volume at the opening, as people often want to buy or sell based on the price action since the last close. However, this volume was heavier than usual.
So in SLV, there were more sellers than buyers. A close-ended fund would develop a discount in this case, but SLV allows the APs to by baskets of 50,000 shares and take out the silver.
At 9:30AM EST, however, the price on COMEX also went down over $.50 in the course of less than a minute. This strongly suggests that the APs were buying the shares of SLV, getting the physical silver, and going short on COMEX to hedge (so whether the POS goes up or down, they wouldn't lose or gain money).
So it appears as though the APs are wising up, and essentially have tied SLV to COMEX -- so that when you sell SLV, if there are no other buyers close to spot, the APs will buy and go short on COMEX. If you buy SLV and there are no other sellers, the APs will deposit silver and go long on COMEX.
What does this all mean? It used to be that the spot price (during New York hours) was controlled primarily by large traders on COMEX. Now, however, small investors using SLV have an immediate impact on the spot price! While going to the coin store and buying silver does not affect the spot price (in the short term, at least), buying SLV appears to.
So as smaller investors (as well as larger investors, funds, etc. that use SLV) go in and out of SLV, spot price may move accordingly.
However, this also does give the APs the chance to manipulate the spot price somewhat.