AAXJ Options History — April 2012 In April 2012, AAXJ traded between $54.69 and $57.07. ATM implied volatility averaged 21.6%, placing in the 20.9% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 3.1% (HV 20d: 18.5%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 0 of 20 trading days. Term structure was in contango for 20 of 20 days. Put/call ratio averaged 0.00.
Notable Days 2012-04-26 : Highest Volume — 6 contracts2012-04-10 : Largest IV spike — 12.9% change2012-04-10 : Highest IV Rank — 25.5%2012-04-10 : Largest Expected Move — 7.1%Monthly Statistics Metric Avg Min Max Open Close Price $56.00 $54.69 $57.07 $57.07 $56.20 Max Pain $55.20 $55.00 $56.00 $56.00 $55.00 ATM IV 21.6% 18.3% 24.5% 19.7% 19.5% Expected Move 6.2% 5.3% 7.1% 5.6% 5.6% HV 20d 18.5% 16.4% 20.9% 20.9% 18.3% HV 60d 18.2% 17.5% 18.6% 17.8% 18.0% IV Rank 20.9% 15.6% 25.5% 17.9% 17.5% IV Percentile 53.6% 30.6% 65.1% 45.5% 40.5% Term Structure 1.7% 0.5% 3.3% 1.0% 2.2% VWIV 18.8% 18.8% 18.8% 18.8% 18.8% Skew 25d 5.8% 3.6% 7.9% 7.6% 7.5% Skew 10d 8.8% -2.0% 13.1% -2.0% 3.6% Call IV 25d 18.0% 13.1% 22.7% 13.5% 13.1% Put IV 25d 23.8% 19.9% 27.3% 21.1% 20.6% Bid-Ask Spread % 83.99 68.76 108.15 96.64 102.24 Gamma HHI 0.45 0.37 0.53 0.43 0.44 Net GEX -23.3K -32.5K -10.5K -17.1K -15.9K Net DEX 25.3K -127.3K 251.9K -94.3K -100.8K Net VEX -3.5K -4.1K -2.7K -3.8K -2.7K 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 0.85 0 6 5 0 Total OI 577.35 572 583 581 583
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 2012-04-02 $57.07 $56.00 19.7% 5.6% 20.9% 17.9% 0.0% 7.6% 1.0% -17.1K -94.3K -3.8K 0.00 96.64 N/A N/A 0 5 147 434 2012-04-03 $57.01 $56.00 19.5% 5.6% 17.6% 17.6% 0.0% 6.0% 1.6% -17.6K -85.1K -3.8K 0.00 108.15 N/A N/A 0 0 147 429 2012-04-04 $56.00 $56.00 20.7% 5.9% 18.4% 19.5% 0.0% 7.3% 1.4% -24.2K 54.7K -4.0K 0.00 95.18 N/A N/A 0 0 147 429 2012-04-05 $56.45 $56.00 20.0% 5.7% 17.3% 18.3% 0.0% 3.6% 2.3% -21.4K -6.4K -4.0K 0.00 97.66 N/A N/A 0 0 147 429 2012-04-09 $55.66 $55.00 21.7% 6.4% 17.8% 21.0% 0.0% 5.5% 1.8% -26.7K 98.9K -3.9K 0.00 74.09 N/A N/A 1 0 147 429 2012-04-10 $54.69 $55.00 24.5% 7.1% 18.5% 25.5% 0.0% 4.6% 0.5% -32.5K 251.9K -4.1K 0.00 68.76 N/A N/A 0 0 148 429 2012-04-11 $55.35 $55.00 23.9% 7.1% 16.4% 24.6% 0.0% 5.3% 0.7% -28.9K 156.6K -4.0K 0.00 71.59 N/A N/A 0 0 148 429 2012-04-12 $56.70 $55.00 22.9% 6.6% 18.3% 23.1% 0.0% 5.5% 2.3% -20.1K -26.0K -3.8K 0.00 71.76 N/A N/A 0 0 148 429 2012-04-13 $55.80 $55.00 23.7% 6.8% 18.9% 24.3% 0.0% 5.5% 1.9% -26.4K 80.2K -3.7K 0.00 69.59 N/A N/A 0 0 148 429 2012-04-16 $55.72 $55.00 24.0% 6.9% 18.9% 24.7% 0.0% 5.6% 1.6% -27.7K 98.2K -3.6K 0.00 72.85 N/A N/A 0 0 148 429 2012-04-17 $56.30 $55.00 23.5% 6.7% 19.4% 23.9% 0.0% 4.9% 1.5% -22.9K -17.7K -3.4K 0.00 71.98 N/A N/A 0 0 148 429 2012-04-18 $56.10 $55.00 22.6% 6.5% 18.6% 22.5% 0.0% 5.6% 1.7% -26.0K 13.6K -3.4K 0.00 75.42 N/A N/A 0 0 148 429 2012-04-19 $55.91 $55.00 22.6% 6.5% 18.6% 22.6% 0.0% 7.2% 2.1% -29.3K 46.9K -3.5K 0.00 76.31 N/A N/A 0 0 148 429 2012-04-20 $56.05 $55.00 20.6% 5.9% 18.2% 19.3% 0.0% 5.8% 2.3% -31.7K 21.6K -3.3K 0.00 83.92 N/A N/A 0 0 148 429 2012-04-23 $55.18 $55.00 22.3% 6.4% 18.9% 22.1% 0.0% 7.7% 1.4% -28.4K 136.0K -3.3K 0.00 86.50 N/A N/A 5 0 148 424 2012-04-24 $55.39 $55.00 22.2% 6.4% 18.6% 21.8% 0.0% 7.9% 0.9% -24.7K 75.3K -3.3K 0.00 85.14 N/A N/A 0 0 153 424 2012-04-25 $55.92 $55.00 20.1% 5.8% 19.0% 18.4% 0.0% 5.2% 1.9% -19.1K -9.3K -3.1K 0.00 87.31 N/A N/A 0 0 153 424 2012-04-26 $56.24 $55.00 19.9% 5.7% 18.8% 18.2% 18.8% 4.2% 2.5% -15.3K -61.0K -2.9K 0.00 90.44 N/A N/A 6 0 153 424 2012-04-27 $56.21 $55.00 18.3% 5.3% 18.6% 15.6% 0.0% 4.0% 3.3% -10.5K -127.3K -2.8K 0.00 94.32 N/A N/A 0 0 159 424 2012-04-30 $56.20 $55.00 19.5% 5.6% 18.3% 17.5% 0.0% 7.5% 2.2% -15.9K -100.8K -2.7K 0.00 102.24 N/A N/A 0 0 159 424
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