AAXJ Options History — February 2012

In February 2012, AAXJ traded between $56.02 and $58.13. ATM implied volatility averaged 21.5%, placing in the 20.8% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded above realized volatility by 5.7% (HV 20d: 15.8%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 3 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 28.07.

Notable Days

2012-02-03: Highest Volume — 392 contracts
2012-02-02: Largest IV drop — 64.7% change
2012-02-01: Highest IV Rank — 69.7%
2012-02-01: Largest Expected Move — 14.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$57.18	$56.02	$58.13	$56.02	$58.13
Max Pain	$55.00	$55.00	$55.00	$55.00	$55.00
ATM IV	21.5%	13.1%	51.9%	51.9%	16.4%
Expected Move	6.4%	3.8%	14.9%	14.9%	4.7%
HV 20d	15.8%	14.8%	17.1%	16.3%	15.4%
HV 60d	24.8%	19.9%	28.4%	28.2%	19.9%
IV Rank	20.8%	7.3%	69.7%	69.7%	12.6%
IV Percentile	44.3%	5.9%	96.0%	96.0%	21.3%
Term Structure	1.1%	-23.0%	9.3%	-23.0%	3.2%
VWIV	24.2%	22.7%	25.5%	22.7%	23.9%
Skew 25d	7.4%	1.7%	56.6%	56.6%	3.4%
Skew 10d	8.1%	1.4%	74.0%	74.0%	5.2%
Call IV 25d	17.6%	11.8%	21.9%	15.0%	18.9%
Put IV 25d	25.1%	18.4%	71.6%	71.6%	22.2%
Bid-Ask Spread %	96.55	84.63	172.48	172.48	99.15
Gamma HHI	0.54	0.48	0.70	0.70	0.50
Net GEX	-12.5K	-21.1K	23.3K	23.3K	-16.7K
Net DEX	-103.6K	-476.1K	128.8K	-382.9K	-177.7K
Net VEX	-4.9K	-6.2K	-1.7K	-1.7K	-4.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	28.07	0.00	195.00	0.00	0.00
Total Volume	25.5	0	392	1	6
Total OI	538.3	167	613	167	607

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
2012-02-01	$56.02	$55.00	51.9%	14.9%	16.3%	69.7%	0.0%	56.6%	-23.0%	23.3K	-382.9K	-1.7K	0.00	172.48	N/A	N/A	1	0	134	33
2012-02-02	$56.38	$55.00	18.3%	5.3%	15.7%	15.6%	0.0%	6.0%	2.5%	20.9K	-417.8K	-1.7K	0.00	101.20	N/A	N/A	5	0	134	33
2012-02-03	$57.29	$55.00	19.0%	6.5%	16.0%	16.8%	22.7%	3.9%	0.8%	19.9K	-476.1K	-1.7K	195.00	86.98	N/A	N/A	2	390	139	33
2012-02-06	$56.60	$55.00	20.2%	6.5%	16.4%	18.7%	0.0%	2.1%	1.6%	-17.9K	4.4K	-5.5K	1.50	90.04	N/A	N/A	20	30	140	423
2012-02-07	$56.54	$55.00	20.4%	6.7%	16.6%	18.9%	0.0%	1.7%	1.1%	-16.1K	-2.1K	-5.7K	0.00	87.97	N/A	N/A	0	10	154	425
2012-02-08	$57.28	$55.00	21.2%	7.0%	15.3%	20.2%	0.0%	4.0%	1.0%	-15.7K	-56.9K	-5.8K	0.00	85.81	N/A	N/A	0	10	154	435
2012-02-09	$57.37	$55.00	24.5%	7.0%	14.8%	25.5%	0.0%	3.9%	1.3%	-16.8K	-47.4K	-5.9K	0.00	86.71	N/A	N/A	0	9	154	445
2012-02-10	$56.28	$55.00	25.5%	7.3%	17.1%	27.1%	25.5%	5.1%	1.1%	-21.1K	128.8K	-6.2K	0.00	84.63	N/A	N/A	0	5	154	454
2012-02-13	$56.79	$55.00	24.7%	7.1%	16.9%	25.9%	24.7%	2.7%	0.6%	-20.9K	35.6K	-5.9K	0.00	88.94	N/A	N/A	1	0	154	459
2012-02-14	$56.77	$55.00	25.5%	7.3%	16.4%	27.2%	0.0%	3.4%	0.9%	-20.9K	61.2K	-5.8K	0.00	90.68	N/A	N/A	0	0	154	459
2012-02-15	$57.31	$55.00	26.9%	7.7%	15.7%	29.4%	0.0%	4.8%	0.4%	-20.0K	3.3K	-5.8K	0.00	87.19	N/A	N/A	0	0	154	459
2012-02-16	$57.63	$55.00	15.6%	4.5%	15.3%	11.2%	0.0%	6.1%	4.0%	-19.1K	-69.6K	-5.5K	0.00	91.97	N/A	N/A	0	0	154	459
2012-02-17	$57.81	$55.00	17.6%	5.0%	15.3%	14.5%	0.0%	5.1%	3.7%	-18.2K	-97.4K	-5.4K	0.00	90.81	N/A	N/A	0	0	154	459
2012-02-21	$57.67	$55.00	15.6%	4.5%	15.3%	11.3%	0.0%	4.3%	4.1%	-18.3K	-82.9K	-5.3K	0.00	92.57	N/A	N/A	0	0	152	459
2012-02-22	$57.78	$55.00	14.9%	4.3%	15.3%	10.1%	0.0%	4.6%	4.0%	-17.7K	-103.4K	-5.3K	0.00	93.41	N/A	N/A	20	0	152	459
2012-02-23	$57.49	$55.00	21.6%	6.2%	15.3%	20.9%	0.0%	9.9%	1.0%	-19.0K	-85.7K	-5.2K	0.00	99.30	N/A	N/A	0	0	148	459
2012-02-24	$57.75	$55.00	14.5%	4.2%	15.3%	9.5%	0.0%	4.0%	4.3%	-17.6K	-144.9K	-4.9K	0.00	98.80	N/A	N/A	0	0	148	459
2012-02-27	$57.00	$55.00	23.0%	6.6%	16.1%	23.2%	0.0%	9.2%	-0.6%	-20.4K	-16.1K	-5.1K	0.00	98.15	N/A	N/A	1	0	148	459
2012-02-28	$57.75	$55.00	13.1%	3.8%	15.3%	7.3%	0.0%	8.0%	9.3%	-17.8K	-145.2K	-4.8K	0.00	104.27	N/A	N/A	0	0	148	459
2012-02-29	$58.13	$55.00	16.4%	4.7%	15.4%	12.6%	23.9%	3.4%	3.2%	-16.7K	-177.7K	-4.7K	0.00	99.15	N/A	N/A	0	6	148	459