AAXJ Options History — September 2011 In September 2011, AAXJ traded between $46.64 and $54.93. ATM implied volatility averaged 36.9%. The 30-day expected move averaged 10.0%. IV traded below realized volatility by 13.6% (HV 20d: 50.5%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 1 of 9 trading days. Term structure was in contango for 4 of 9 days. Put/call ratio averaged 0.00.
Notable Days 2011-09-22 : Highest Volume — 1 contracts2011-09-09 : Largest IV drop — 64.5% change2011-09-30 : Largest Expected Move — 14.2%Monthly Statistics Metric Avg Min Max Open Close Price $50.25 $46.64 $54.93 $54.93 $46.64 Max Pain $50.56 $45.00 $55.00 $55.00 $45.00 ATM IV 36.9% 18.3% 51.6% 51.6% 49.7% Expected Move 10.0% 5.3% 14.2% 9.1% 14.2% HV 20d 50.5% 43.3% 56.8% 43.3% 56.8% HV 60d 35.9% 31.3% 40.1% 31.3% 40.1% Term Structure -1.1% -16.9% 3.8% -16.9% -0.8% VWIV 23.5% 23.5% 23.5% 23.5% 23.5% Skew 25d 12.4% 1.5% 26.2% 2.8% 26.2% Skew 10d 11.7% -1.4% 21.5% -1.4% 9.0% Call IV 25d 34.6% 24.9% 60.8% 60.8% 37.6% Put IV 25d 47.0% 30.8% 63.8% 63.6% 63.8% Bid-Ask Spread % 121.01 57.31 200.00 200.00 137.13 Gamma HHI 0.52 0.29 0.98 0.98 0.29 Net GEX -28.8K -171.3K 3.2K -86.2K -1.3K Net DEX 339.2K -22.0K 1.7M 915.2K 85.7K Net VEX -488 -1.4K -158 -1.4K -342 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 0.111 0 1 0 0 Total OI 127.556 23 401 374 61
Daily Data (9 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 2011-09-08 $54.93 $55.00 51.6% 9.1% 43.3% 0.0% 0.0% 2.8% -16.9% -86.2K 915.2K -1.4K 0.00 200.00 N/A N/A 0 0 29 345 2011-09-09 $53.41 $55.00 18.3% 5.3% 43.6% 0.0% 0.0% 0.0% -1.0% 3.2K -22.0K -158 0.00 200.00 N/A N/A 0 0 22 1 2011-09-16 $53.70 $55.00 26.6% 7.6% 43.9% 0.0% 0.0% 7.9% 1.2% -171.3K 1.7M -702 0.00 65.64 N/A N/A 0 0 31 370 2011-09-21 $50.14 $55.00 34.4% 9.9% 48.8% 0.0% 0.0% 1.5% 3.6% -138 69.0K -392 0.00 153.33 N/A N/A 0 0 27 26 2011-09-22 $46.87 $55.00 41.2% 11.8% 52.9% 0.0% 23.5% 0.0% -1.0% -386 79.6K -318 0.00 57.31 N/A N/A 1 0 27 26 2011-09-27 $49.56 $45.00 34.9% 10.0% 54.7% 0.0% 0.0% 17.4% 2.3% -715 72.8K -403 0.00 92.68 N/A N/A 0 0 26 35 2011-09-28 $48.18 $45.00 39.3% 11.3% 54.8% 0.0% 0.0% 15.3% -0.7% -1.3K 87.0K -349 0.00 91.59 N/A N/A 0 0 26 35 2011-09-29 $48.82 $45.00 36.1% 10.4% 55.5% 0.0% 0.0% 15.6% 3.8% -1.2K 82.7K -359 0.00 91.44 N/A N/A 0 0 26 35 2011-09-30 $46.64 $45.00 49.7% 14.2% 56.8% 0.0% 0.0% 26.2% -0.8% -1.3K 85.7K -342 0.00 137.13 N/A N/A 0 0 26 35
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