AAXJ Options History — August 2011

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

In August 2011, AAXJ traded between $52.60 and $61.22. ATM implied volatility averaged 36.5%. The 30-day expected move averaged 8.1%. IV traded above realized volatility by 3.3% (HV 20d: 33.1%). Max pain ranged from $55.00 to $70.00. Net GEX was positive for 0 of 7 trading days. Term structure was in contango for 1 of 7 days. Put/call ratio averaged 0.00.

Notable Days

2011-08-04: Highest Volume — 3 contracts
2011-08-04: Largest IV spike — 127.0% change
2011-08-04: Largest Expected Move — 12.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.55	$52.60	$61.22	$61.22	$56.16
Max Pain	$63.33	$55.00	$70.00	$60.00	$55.00
ATM IV	36.5%	11.9%	65.2%	19.1%	11.9%
Expected Move	8.1%	3.4%	12.5%	5.5%	3.4%
HV 20d	33.1%	30.7%	43.0%	30.9%	43.0%
HV 60d	27.0%	24.1%	31.1%	24.1%	31.1%
Term Structure	-4.2%	-14.3%	11.6%	-0.1%	-14.3%
VWIV	11.9%	11.9%	11.9%	11.9%	11.9%
Skew 25d	0.7%	-4.3%	5.7%	5.7%	-4.3%
Skew 10d	-15.2%	-37.1%	6.7%	6.7%	-37.1%
Call IV 25d	21.5%	13.3%	29.7%	13.3%	29.7%
Put IV 25d	22.2%	19.0%	25.5%	19.0%	25.5%
Bid-Ask Spread %	114.00	50.54	200.00	50.54	200.00
Gamma HHI	0.95	0.87	1.00	0.87	1.00
Net GEX	-57.7K	-95.6K	0	-33.4K	0
Net DEX	719.7K	0	1.4M	155.3K	0
Net VEX	-2.1K	-3.1K	0	-1.5K	0
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	1.143	0	3	0	1
Total OI	346.429	0	425	415	0

Daily Data (7 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
2011-08-02	$61.22	$60.00	19.1%	5.5%	30.9%	0.0%	0.0%	5.7%	-0.1%	-33.4K	155.3K	-1.5K	50.54	N/A	N/A	0	0	24	391
2011-08-04	$58.05	$65.00	43.4%	12.5%	30.7%	0.0%	0.0%	0.0%	-13.3%	-74.2K	661.4K	-2.8K	81.09	N/A	N/A	0	3	14	388
2011-08-05	$57.19	$60.00	42.6%	8.8%	30.9%	0.0%	0.0%	0.0%	-5.1%	-79.6K	764.9K	-2.9K	91.54	N/A	N/A	0	0	21	390
2011-08-09	$55.65	$70.00	65.2%	10.6%	31.8%	0.0%	0.0%	0.0%	0.0%	-66.0K	998.4K	-3.1K	63.78	N/A	N/A	2	0	22	401
2011-08-10	$55.00	$70.00	54.8%	7.8%	31.1%	0.0%	0.0%	-4.3%	11.6%	-55.0K	1.1M	-3.0K	111.09	N/A	N/A	0	0	24	401
2011-08-22	$52.60	$55.00	18.2%	0.0%	33.7%	0.0%	0.0%	0.0%	-14.3%	-95.6K	1.4M	-1.5K	200.00	N/A	N/A	2	0	0	349
2011-08-31	$56.16	$0.00	11.9%	3.4%	43.0%	0.0%	11.9%	0.0%	0.0%	0	0	0	200.00	N/A	N/A	1	0	0	0