AAXJ Options History — July 2011

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

In July 2011, AAXJ traded between $60.86 and $62.94. ATM implied volatility averaged 15.9%. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 14.7% (HV 20d: 30.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 8 trading days. Term structure was in contango for 7 of 8 days. Put/call ratio averaged 0.00.

Notable Days

2011-07-29: Highest Volume — 10 contracts
2011-07-11: Largest IV spike — 90.4% change
2011-07-29: Largest Expected Move — 7.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.22	$60.86	$62.94	$62.70	$62.32
Max Pain	$58.75	$55.00	$60.00	$55.00	$55.00
ATM IV	15.9%	8.6%	25.5%	8.6%	25.5%
Expected Move	4.7%	2.5%	7.3%	2.5%	7.3%
HV 20d	30.6%	30.0%	31.4%	31.4%	30.2%
HV 60d	23.6%	23.2%	23.9%	23.2%	23.9%
Term Structure	2.0%	0.9%	6.0%	6.0%	1.4%
VWIV	17.2%	12.6%	25.5%	15.1%	25.5%
Skew 25d	2.8%	0.9%	6.3%	1.8%	2.1%
Skew 10d	2.9%	-0.2%	4.7%	2.7%	3.2%
Call IV 25d	13.5%	8.9%	16.6%	8.9%	15.5%
Put IV 25d	16.3%	10.7%	18.0%	10.7%	17.6%
Bid-Ask Spread %	55.42	25.88	100.37	39.57	25.88
Gamma HHI	0.91	0.81	1.00	0.96	1.00
Net GEX	-32.4K	-50.4K	-293	-35.7K	-293
Net DEX	141.3K	4.8K	296.3K	134.3K	4.8K
Net VEX	-1.4K	-2.1K	-48	-1.7K	-48
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	3.125	0	10	0	10
Total OI	361.625	3	437	434	3

Daily Data (8 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	Put Vol	Call OI	Put OI
2011-07-01	$62.70	$55.00	8.6%	2.5%	31.4%	0.0%	0.0%	1.8%	6.0%	-35.7K	134.3K	-1.7K	39.57	N/A	N/A	0	0	21	413
2011-07-05	$62.68	$60.00	9.9%	4.3%	30.5%	0.0%	15.1%	3.2%	1.7%	-36.6K	126.0K	-1.7K	43.30	N/A	N/A	1	0	21	413
2011-07-11	$61.52	$60.00	18.9%	5.5%	30.4%	0.0%	0.0%	0.9%	0.9%	-41.1K	198.2K	-2.0K	45.68	N/A	N/A	0	0	24	413
2011-07-18	$60.86	$60.00	18.0%	5.2%	30.7%	0.0%	0.0%	3.5%	1.2%	-50.4K	296.3K	-2.1K	67.61	N/A	N/A	0	3	15	378
2011-07-20	$61.90	$60.00	17.7%	5.1%	31.2%	0.0%	0.0%	6.3%	1.6%	-42.4K	207.7K	-1.8K	70.50	N/A	N/A	0	0	15	381
2011-07-22	$62.85	$60.00	14.4%	4.1%	30.8%	0.0%	12.6%	1.9%	1.4%	-33.0K	112.8K	-1.2K	50.45	N/A	N/A	2	0	15	381
2011-07-26	$62.94	$60.00	14.1%	4.0%	30.0%	0.0%	15.6%	2.1%	1.4%	-19.8K	50.6K	-884	100.37	N/A	N/A	9	0	19	381
2011-07-29	$62.32	$55.00	25.5%	7.3%	30.2%	0.0%	25.5%	0.0%	0.0%	-293	4.8K	-48	25.88	N/A	N/A	0	10	0	3