AAXJ Options History — December 2010

Name: AAXJ Options Analytics - December 2010
Creator: Options Analysis Suite

In December 2010, AAXJ traded between $62.44 and $63.70. ATM implied volatility averaged 14.5%. The 30-day expected move averaged 4.1%. IV traded below realized volatility by 11.3% (HV 20d: 25.8%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 15 of 19 days. Put/call ratio averaged 0.50.

Notable Days

2010-12-23: Highest Volume — 10 contracts
2010-12-06: Largest IV spike — 55.9% change
2010-12-15: Largest Expected Move — 6.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.07	$62.44	$63.70	$62.57	$63.70
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	14.5%	10.1%	21.9%	12.3%	14.1%
Expected Move	4.1%	2.9%	6.3%	3.5%	4.0%
HV 20d	25.8%	14.4%	33.4%	33.4%	14.4%
Term Structure	4.3%	-6.4%	21.5%	5.6%	3.9%
Skew 25d	3.6%	-3.8%	12.3%	1.4%	-1.3%
Skew 10d	4.7%	-2.6%	9.4%	1.7%	-2.0%
Call IV 25d	13.6%	7.8%	17.5%	17.3%	14.1%
Put IV 25d	17.3%	11.9%	20.7%	18.7%	12.8%
Bid-Ask Spread %	92.69	80.26	112.23	108.95	84.06
Gamma HHI	0.49	0.37	1.00	1.00	0.41
Net GEX	-1.6K	-3.4K	-400	-1.2K	-400
Net DEX	3.7K	-9.1K	19.5K	947	-9.1K
Net VEX	-376	-485	-120	-120	-459
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	1.00	0.00	1.00
Total Volume	0.895	0	10	0	0
Total OI	36.368	10	47	10	47

Daily Data (19 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 Wall	Put Wall	Call Vol	Put Vol	Call OI	Put OI
2010-12-01	$62.57	$60.00	12.3%	3.5%	0.0%	0.0%	0.0%	1.4%	5.6%	-1.2K	947	-120	0.00	108.95	N/A	N/A	0	0	3	7
2010-12-03	$63.70	$60.00	11.3%	3.2%	0.0%	0.0%	0.0%	4.6%	3.8%	-3.1K	11.3K	-274	0.00	112.23	N/A	N/A	0	0	3	27
2010-12-06	$63.48	$0.00	17.5%	5.5%	0.0%	0.0%	0.0%	3.5%	2.5%	-3.1K	14.1K	-296	0.00	84.17	N/A	N/A	0	0	3	27
2010-12-07	$63.38	$0.00	14.7%	4.6%	0.0%	0.0%	0.0%	2.3%	4.8%	-2.8K	16.7K	-316	0.00	83.00	N/A	N/A	0	0	3	27
2010-12-09	$63.01	$0.00	15.0%	4.5%	0.0%	0.0%	0.0%	4.5%	4.5%	-3.4K	19.5K	-323	0.00	80.29	N/A	N/A	0	0	3	27
2010-12-10	$63.09	$0.00	15.4%	4.3%	0.0%	0.0%	0.0%	4.2%	7.0%	-3.0K	16.6K	-303	0.00	80.26	N/A	N/A	7	0	3	27
2010-12-13	$63.46	$0.00	16.7%	4.4%	33.4%	0.0%	0.0%	3.6%	6.4%	-1.5K	-7.0K	-371	0.00	83.82	N/A	N/A	0	0	10	27
2010-12-14	$63.52	$0.00	16.9%	3.5%	32.3%	0.0%	0.0%	3.7%	-4.9%	-777	-5.5K	-382	0.00	82.03	N/A	N/A	0	0	10	27
2010-12-15	$62.44	$0.00	21.9%	6.3%	32.1%	0.0%	0.0%	3.2%	-4.1%	-1.9K	3.7K	-398	0.00	87.66	N/A	N/A	0	0	10	27
2010-12-16	$62.60	$0.00	14.9%	4.3%	31.1%	0.0%	0.0%	-3.8%	-6.4%	-1.3K	2.5K	-400	0.00	105.30	N/A	N/A	0	0	10	27
2010-12-17	$62.78	$0.00	12.7%	3.6%	30.3%	0.0%	0.0%	-2.1%	-4.1%	-1.1K	1.2K	-403	0.00	100.61	N/A	N/A	0	0	10	27
2010-12-21	$62.79	$0.00	13.8%	4.0%	29.5%	0.0%	0.0%	4.6%	5.1%	-1.3K	-967	-392	0.00	87.96	N/A	N/A	0	0	11	26
2010-12-22	$62.88	$0.00	10.1%	2.9%	29.4%	0.0%	0.0%	4.2%	21.5%	-688	-4.9K	-394	0.00	109.88	N/A	N/A	0	0	11	26
2010-12-23	$62.63	$0.00	10.1%	2.9%	29.5%	0.0%	0.0%	8.0%	8.8%	-1.3K	-72	-386	1.00	94.37	N/A	N/A	5	5	11	26
2010-12-27	$62.74	$0.00	14.9%	4.3%	22.6%	0.0%	0.0%	12.0%	10.0%	-1.2K	9.6K	-485	0.00	96.17	N/A	N/A	0	0	16	31
2010-12-28	$62.73	$0.00	15.2%	4.4%	18.3%	0.0%	0.0%	12.3%	10.0%	-1.2K	10.0K	-482	0.00	96.17	N/A	N/A	0	0	16	31
2010-12-29	$63.22	$0.00	13.4%	3.8%	18.4%	0.0%	0.0%	-1.5%	4.4%	-563	-2.4K	-481	0.00	87.67	N/A	N/A	0	0	16	31
2010-12-30	$63.55	$0.00	15.1%	4.3%	14.5%	0.0%	0.0%	5.1%	2.0%	-535	-5.3K	-477	0.00	96.43	N/A	N/A	0	0	16	31
2010-12-31	$63.70	$0.00	14.1%	4.0%	14.4%	0.0%	0.0%	-1.3%	3.9%	-400	-9.1K	-459	0.00	84.06	N/A	N/A	0	0	16	31