AAXJ Options History — January 2011

Name: AAXJ Options Analytics - January 2011
Creator: Options Analysis Suite

In January 2011, AAXJ traded between $61.15 and $64.93. ATM implied volatility averaged 15.0%. The 30-day expected move averaged 4.6%. IV traded above realized volatility by 2.3% (HV 20d: 12.7%). Max pain ranged from $60.00 to $60.00. Net GEX was positive for 10 of 20 trading days. Term structure was in contango for 19 of 20 days. Put/call ratio averaged 36.30.

Notable Days

2011-01-24: Highest Volume — 325 contracts
2011-01-27: Largest IV spike — 59.1% change
2011-01-21: Largest Expected Move — 5.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.37	$61.15	$64.93	$64.58	$61.54
Max Pain	$60.00	$60.00	$60.00	$60.00	$60.00
ATM IV	15.0%	9.9%	18.8%	13.5%	18.1%
Expected Move	4.6%	2.9%	5.4%	3.9%	5.2%
HV 20d	12.7%	9.8%	16.7%	14.5%	16.7%
HV 60d	21.9%	21.4%	22.2%	21.4%	22.0%
Term Structure	2.4%	-0.4%	6.6%	4.4%	0.5%
VWIV	10.6%	10.6%	10.6%	10.6%	10.6%
Skew 25d	2.3%	-3.0%	6.2%	-0.4%	4.4%
Skew 10d	3.4%	-1.3%	9.5%	-0.7%	5.2%
Call IV 25d	14.3%	10.5%	17.3%	13.7%	13.6%
Put IV 25d	16.7%	11.6%	19.4%	13.2%	18.1%
Bid-Ask Spread %	72.71	48.63	108.20	66.72	53.17
Gamma HHI	0.52	0.40	0.82	0.41	0.72
Net GEX	-11.2K	-47.6K	913	-60	-47.6K
Net DEX	133.9K	-32.0K	647.8K	-20.9K	647.8K
Net VEX	-1.7K	-6.1K	-424	-435	-6.1K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	36.30	0.00	161.50	0.00	0.00
Total Volume	19.65	0	325	0	2
Total OI	142	47	432	47	432

Daily Data (20 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
2011-01-03	$64.58	$0.00	13.5%	3.9%	14.5%	0.0%	0.0%	-0.4%	4.4%	-60	-20.9K	-435	0.00	66.72	N/A	N/A	0	0	16	31
2011-01-04	$64.93	$0.00	13.4%	3.8%	11.4%	0.0%	0.0%	0.4%	4.5%	115	-27.0K	-426	0.00	65.57	N/A	N/A	0	0	16	31
2011-01-05	$64.78	$0.00	13.8%	3.9%	9.8%	0.0%	0.0%	0.2%	4.1%	95	-25.5K	-424	0.00	66.21	N/A	N/A	2	0	16	31
2011-01-06	$64.28	$0.00	13.3%	3.8%	10.1%	0.0%	0.0%	-0.4%	4.6%	542	-24.4K	-464	0.00	68.56	N/A	N/A	0	0	18	31
2011-01-07	$63.83	$60.00	13.5%	5.1%	10.5%	0.0%	0.0%	3.5%	1.1%	311	-16.5K	-464	0.00	63.82	N/A	N/A	1	0	18	31
2011-01-10	$62.92	$60.00	10.8%	5.1%	11.5%	0.0%	0.0%	2.6%	0.8%	199	-7.2K	-482	0.00	62.58	N/A	N/A	0	0	19	31
2011-01-11	$63.40	$60.00	10.6%	5.1%	11.8%	0.0%	0.0%	3.1%	0.9%	461	-14.5K	-482	0.00	63.75	N/A	N/A	0	0	19	31
2011-01-12	$64.41	$60.00	13.3%	5.1%	12.9%	0.0%	0.0%	3.7%	0.8%	913	-32.0K	-441	0.00	71.50	N/A	N/A	0	0	19	31
2011-01-13	$63.88	$60.00	17.8%	5.1%	13.3%	0.0%	0.0%	3.5%	0.9%	707	-22.9K	-459	0.00	65.94	N/A	N/A	0	0	19	31
2011-01-14	$64.11	$60.00	17.8%	5.1%	11.6%	0.0%	0.0%	4.3%	0.8%	895	-27.7K	-437	0.00	68.73	N/A	N/A	0	0	19	31
2011-01-18	$63.93	$60.00	17.5%	5.0%	11.7%	0.0%	0.0%	2.5%	1.2%	811	-23.5K	-442	20.00	72.76	N/A	N/A	1	20	19	31
2011-01-19	$63.81	$60.00	17.6%	5.0%	11.7%	0.0%	0.0%	2.2%	1.0%	-4.2K	31.4K	-570	0.00	72.99	N/A	N/A	0	0	19	46
2011-01-20	$63.08	$60.00	15.8%	4.5%	12.5%	0.0%	0.0%	2.3%	1.4%	-4.6K	53.2K	-563	0.00	102.98	N/A	N/A	0	0	19	46
2011-01-21	$62.27	$60.00	18.8%	5.4%	13.4%	0.0%	0.0%	1.4%	-0.4%	-4.5K	72.0K	-590	0.00	70.17	N/A	N/A	0	0	19	46
2011-01-24	$62.38	$60.00	15.4%	4.4%	13.3%	0.0%	10.6%	6.2%	6.6%	-4.7K	72.7K	-562	161.50	105.62	N/A	N/A	2	323	19	46
2011-01-25	$62.31	$60.00	14.9%	4.3%	13.3%	0.0%	0.0%	5.9%	6.4%	-41.4K	478.0K	-5.0K	0.00	105.32	N/A	N/A	3	0	21	369
2011-01-26	$62.84	$60.00	9.9%	2.9%	13.7%	0.0%	0.0%	1.1%	6.0%	-39.5K	425.2K	-4.7K	0.00	108.20	N/A	N/A	0	20	24	369
2011-01-27	$62.92	$60.00	15.8%	4.5%	13.4%	0.0%	0.0%	-3.0%	1.6%	-38.5K	496.1K	-5.6K	0.00	50.88	N/A	N/A	0	0	24	389
2011-01-28	$61.15	$60.00	18.2%	5.2%	16.5%	0.0%	0.0%	3.4%	0.2%	-44.1K	644.3K	-5.9K	0.00	48.63	N/A	N/A	0	19	24	389
2011-01-31	$61.54	$60.00	18.1%	5.2%	16.7%	0.0%	0.0%	4.4%	0.5%	-47.6K	647.8K	-6.1K	0.00	53.17	N/A	N/A	0	2	24	408