AAXJ Options History — January 2012 In January 2012, AAXJ traded between $50.42 and $55.65. ATM implied volatility averaged 22.5%, placing in the 22.4% IV rank vs the trailing year. The 30-day expected move averaged 6.3%. IV traded above realized volatility by 1.1% (HV 20d: 21.5%). Max pain ranged from $45.00 to $55.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-01-17 : Highest Volume — 79 contracts2012-01-10 : Largest IV spike — 199.6% change2012-01-10 : Highest IV Rank — 75.7%2012-01-10 : Largest Expected Move — 9.6%Monthly Statistics Metric Avg Min Max Open Close Price $53.12 $50.42 $55.65 $51.24 $55.08 Max Pain $53.50 $45.00 $55.00 $45.00 $55.00 ATM IV 22.5% 17.2% 55.6% 23.8% 19.4% Expected Move 6.3% 4.9% 9.6% 6.8% 5.6% HV 20d 21.5% 16.3% 26.7% 26.7% 17.5% HV 60d 32.5% 28.0% 35.6% 35.6% 28.0% IV Rank 22.4% 13.8% 75.7% 24.5% 17.4% IV Percentile 51.3% 24.5% 97.3% 58.2% 45.8% Term Structure 1.2% -7.1% 5.4% 3.9% 1.4% Skew 25d 5.8% 1.2% 15.5% 9.3% 2.5% Skew 10d 4.9% 1.9% 10.3% 10.3% 2.4% Call IV 25d 16.6% 14.0% 19.6% 19.6% 15.8% Put IV 25d 22.4% 15.9% 33.0% 29.0% 18.2% Bid-Ask Spread % 119.05 106.88 148.41 115.67 125.70 Gamma HHI 0.77 0.63 0.91 0.80 0.68 Net GEX 16.6K 8.1K 25.5K 14.1K 19.5K Net DEX -292.9K -602.6K -121.4K -152.3K -335.9K Net VEX -1.2K -1.8K -571 -650 -1.7K 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 5.9 0 79 11 0 Total OI 149.3 110 220 110 167
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 2012-01-03 $51.24 $45.00 23.8% 6.8% 26.7% 24.5% 0.0% 0.0% 3.9% 14.1K -152.3K -650 0.00 115.67 N/A N/A 11 0 75 35 2012-01-04 $50.87 $45.00 23.2% 6.7% 26.6% 23.5% 0.0% 9.3% 3.3% 17.4K -147.3K -767 0.00 115.97 N/A N/A 0 0 86 35 2012-01-05 $50.87 $45.00 22.4% 6.4% 26.4% 22.2% 0.0% 9.4% 3.2% 18.6K -151.0K -758 0.00 118.50 N/A N/A 0 0 86 35 2012-01-06 $50.42 $55.00 22.1% 7.1% 26.5% 21.8% 0.0% 12.2% 0.6% 20.6K -121.4K -753 0.00 106.88 N/A N/A 0 0 86 35 2012-01-09 $50.62 $55.00 18.6% 6.9% 24.4% 16.0% 0.0% 6.6% 0.8% 25.5K -141.4K -707 0.00 108.90 N/A N/A 0 0 86 35 2012-01-10 $51.88 $55.00 55.6% 9.6% 25.3% 75.7% 0.0% 15.5% -7.1% 9.3K -179.0K -737 0.00 148.41 N/A N/A 0 0 86 35 2012-01-11 $51.56 $55.00 22.7% 7.0% 22.2% 22.6% 0.0% 4.1% 1.3% 17.6K -201.7K -672 0.00 109.10 N/A N/A 0 0 86 35 2012-01-12 $52.00 $55.00 23.1% 6.6% 22.2% 23.2% 0.0% 5.1% 5.4% 13.8K -224.1K -635 0.00 116.51 N/A N/A 0 0 86 35 2012-01-13 $51.77 $55.00 26.3% 7.5% 21.8% 28.4% 0.0% 4.8% 1.2% 16.1K -215.3K -639 0.00 108.80 N/A N/A 0 0 86 35 2012-01-17 $52.62 $55.00 17.7% 5.1% 22.3% 14.6% 0.0% 6.7% 3.1% 8.1K -263.9K -571 0.00 123.23 N/A N/A 79 0 86 35 2012-01-18 $53.58 $55.00 17.2% 4.9% 22.7% 13.8% 0.0% 5.5% 2.0% 11.6K -502.7K -1.6K 0.00 115.58 N/A N/A 20 0 165 35 2012-01-19 $54.28 $55.00 19.8% 5.7% 19.7% 18.0% 0.0% 5.8% 1.6% 15.9K -586.6K -1.8K 0.00 117.31 N/A N/A 0 0 185 35 2012-01-20 $54.49 $55.00 19.9% 5.7% 18.3% 18.2% 0.0% 4.3% 0.6% 16.6K -602.6K -1.8K 0.00 123.67 N/A N/A 0 0 185 35 2012-01-23 $54.84 $55.00 20.3% 5.8% 18.3% 18.7% 0.0% 5.0% 1.0% 16.6K -315.3K -1.8K 0.00 117.03 N/A N/A 0 0 128 33 2012-01-24 $54.98 $55.00 19.8% 5.7% 18.3% 18.0% 0.0% 1.2% 0.8% 17.5K -320.7K -1.7K 0.00 119.49 N/A N/A 0 0 128 33 2012-01-25 $55.50 $55.00 19.0% 5.4% 18.4% 16.7% 0.0% 4.5% 0.9% 18.4K -353.9K -1.7K 0.00 123.56 N/A N/A 0 0 128 33 2012-01-26 $55.38 $55.00 20.3% 5.8% 17.7% 18.8% 0.0% 4.1% 0.3% 18.1K -347.7K -1.7K 0.00 121.27 N/A N/A 7 0 128 33 2012-01-27 $55.65 $55.00 19.2% 5.5% 16.3% 17.0% 0.0% 1.6% 1.0% 19.5K -374.4K -1.8K 0.00 121.96 N/A N/A 0 0 135 33 2012-01-30 $54.77 $55.00 20.5% 5.9% 17.7% 19.2% 0.0% 1.8% -1.6% 18.0K -319.7K -1.7K 0.00 123.41 N/A N/A 1 0 135 33 2012-01-31 $55.08 $55.00 19.4% 5.6% 17.5% 17.4% 0.0% 2.5% 1.4% 19.5K -335.9K -1.7K 0.00 125.70 N/A N/A 0 0 134 33
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