AAXJ Options History — May 2011

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

In May 2011, AAXJ traded between $62.57 and $63.94. ATM implied volatility averaged 17.5%. The 30-day expected move averaged 5.0%. IV traded below realized volatility by 9.7% (HV 20d: 27.2%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 0 of 3 trading days. Term structure was in contango for 3 of 3 days. Put/call ratio averaged 0.00.

Notable Days

2011-05-04: Highest Volume — 2 contracts
2011-05-04: Largest IV drop — 7.9% change
2011-05-03: Largest Expected Move — 5.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.28	$62.57	$63.94	$63.94	$62.57
Max Pain	$53.33	$50.00	$60.00	$50.00	$60.00
ATM IV	17.5%	16.8%	18.2%	18.2%	17.6%
Expected Move	5.0%	4.8%	5.2%	5.2%	5.1%
HV 20d	27.2%	27.1%	27.4%	27.1%	27.3%
HV 60d	20.9%	20.9%	21.1%	20.9%	21.1%
Term Structure	1.6%	1.0%	1.9%	1.0%	1.7%
Skew 25d	0.9%	-1.8%	3.0%	-1.8%	1.4%
Skew 10d	1.6%	-1.2%	4.1%	-1.2%	1.9%
Call IV 25d	15.4%	12.3%	17.0%	17.0%	12.3%
Put IV 25d	16.2%	13.7%	19.7%	15.3%	13.7%
Bid-Ask Spread %	44.55	41.36	50.59	41.36	50.59
Gamma HHI	0.60	0.57	0.64	0.57	0.64
Net GEX	-35.4K	-39.3K	-31.3K	-31.3K	-39.3K
Net DEX	333.3K	282.2K	379.4K	282.2K	379.4K
Net VEX	-3.8K	-3.9K	-3.7K	-3.7K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.00	0.00	0.00
Total Volume	0.667	0	2	0	0
Total OI	469	467	473	467	473

Daily Data (3 trading days)

Date	Price	Max Pain	ATM IV	Exp Move	HV 20d	IV Rank	VWIV	Skew 25d	Term Str	GEX	DEX	VEX	Spread %	Call Wall	Put Wall	Call Vol	Call OI	Put OI
2011-05-03	$63.94	$50.00	18.2%	5.2%	27.1%	0.0%	0.0%	-1.8%	1.0%	-31.3K	282.2K	-3.7K	41.36	N/A	N/A	0	32	435
2011-05-04	$63.33	$50.00	16.8%	4.8%	27.4%	0.0%	0.0%	3.0%	1.9%	-35.7K	338.4K	-3.9K	41.72	N/A	N/A	2	32	435
2011-05-13	$62.57	$60.00	17.6%	5.1%	27.3%	0.0%	0.0%	1.4%	1.7%	-39.3K	379.4K	-3.8K	50.59	N/A	N/A	0	38	435