AAXJ Options History — September 2012 In September 2012, AAXJ traded between $52.40 and $56.87. ATM implied volatility averaged 18.9%, placing in the 11.2% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.4% (HV 20d: 14.5%). Max pain ranged from $50.00 to $54.00. Net GEX was positive for 14 of 18 trading days. Term structure was in contango for 18 of 18 days. Put/call ratio averaged 0.00.
Notable Days 2012-09-26 : Highest Volume — 676 contracts2012-09-06 : Largest IV drop — 9.8% change2012-09-05 : Highest IV Rank — 16.0%2012-09-05 : Largest Expected Move — 6.1%Monthly Statistics Metric Avg Min Max Open Close Price $55.24 $52.40 $56.87 $52.79 $56.26 Max Pain $50.39 $50.00 $54.00 $51.00 $50.00 ATM IV 18.9% 16.7% 21.3% 21.0% 17.6% Expected Move 5.5% 4.8% 6.1% 6.0% 5.1% HV 20d 14.5% 8.6% 17.7% 8.6% 17.7% HV 60d 18.9% 16.3% 20.7% 20.2% 16.3% IV Rank 11.2% 6.2% 16.0% 15.4% 7.8% IV Percentile 15.5% 5.6% 32.5% 31.3% 8.3% Term Structure 2.2% 1.4% 3.4% 1.5% 1.7% VWIV 21.1% 18.9% 23.5% 21.0% 18.9% Skew 25d 3.8% 2.3% 5.5% 5.5% 3.4% Skew 10d 8.5% 1.8% 12.4% 3.4% 9.3% Call IV 25d 17.1% 14.2% 18.8% 17.2% 15.7% Put IV 25d 20.9% 18.5% 22.7% 22.7% 19.1% Bid-Ask Spread % 67.93 28.96 107.18 103.31 59.73 Gamma HHI 0.31 0.19 0.62 0.24 0.62 Net GEX 18.1K -107.4K 64.5K 1.1K -107.4K Net DEX -315.1K -798.3K 933.0K -127.0K 933.0K Net VEX -1.8K -7.9K -889 -1.5K -7.9K 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 60.444 0 676 0 0 Total OI 945.667 348 1,186 897 1,041
Daily Data (18 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 2012-09-04 $52.79 $51.00 21.0% 6.0% 8.6% 15.4% 0.0% 5.5% 1.5% 1.1K -127.0K -1.5K 0.00 103.31 N/A N/A 0 0 176 721 2012-09-05 $52.40 $51.00 21.3% 6.1% 8.6% 16.0% 0.0% 5.1% 1.4% -9.3K -72.5K -1.4K 0.00 107.18 N/A N/A 0 0 176 721 2012-09-06 $53.27 $51.00 19.2% 5.5% 10.7% 12.4% 21.0% 4.3% 1.6% 40.6K -263.3K -985 0.00 103.48 N/A N/A 0 6 176 721 2012-09-07 $54.31 $54.00 17.7% 5.6% 12.6% 9.9% 23.5% 4.4% 2.8% 64.5K -387.8K -948 0.00 89.47 N/A N/A 0 208 176 727 2012-09-10 $53.81 $50.00 18.8% 5.8% 12.9% 11.7% 0.0% 4.6% 2.5% 19.3K -133.2K -1.8K 0.00 74.45 N/A N/A 0 40 176 935 2012-09-11 $54.42 $50.00 19.8% 5.9% 13.3% 13.5% 0.0% 3.8% 2.4% 33.8K -226.2K -1.9K 0.00 70.18 N/A N/A 0 0 176 955 2012-09-12 $54.87 $50.00 18.8% 5.8% 13.5% 11.8% 0.0% 3.6% 2.5% 42.9K -325.2K -1.7K 0.00 28.96 N/A N/A 0 0 176 955 2012-09-13 $56.03 $50.00 19.7% 5.6% 15.3% 13.2% 0.0% 4.0% 1.9% 47.0K -551.8K -1.4K 0.00 74.81 N/A N/A 16 0 176 955 2012-09-14 $56.87 $50.00 19.4% 5.6% 16.0% 12.8% 0.0% 3.5% 2.0% 37.0K -658.9K -1.2K 0.00 77.04 N/A N/A 0 0 171 955 2012-09-17 $56.46 $50.00 19.8% 5.7% 16.2% 13.5% 18.9% 3.4% 2.4% 46.4K -636.7K -1.1K 0.00 74.67 N/A N/A 1 0 171 955 2012-09-18 $56.35 $50.00 19.3% 5.5% 16.3% 12.5% 0.0% 3.5% 2.5% 39.0K -660.9K -1.0K 0.00 78.38 N/A N/A 0 0 172 955 2012-09-19 $56.60 $50.00 18.2% 5.2% 16.3% 8.7% 0.0% 2.3% 2.8% 26.3K -704.6K -889 0.00 73.48 N/A N/A 4 0 172 955 2012-09-20 $56.18 $50.00 18.4% 5.3% 16.6% 9.2% 0.0% 2.6% 3.0% 28.1K -652.6K -961 0.00 38.50 N/A N/A 124 0 169 955 2012-09-21 $56.33 $50.00 17.2% 4.9% 16.4% 7.1% 0.0% 2.8% 3.4% 15.1K -798.3K -1.7K 0.00 39.69 N/A N/A 0 0 231 955 2012-09-24 $56.35 $50.00 16.7% 4.8% 16.4% 6.2% 0.0% 3.6% 2.2% 5.2K -170.9K -1.6K 0.00 36.60 N/A N/A 10 0 108 240 2012-09-25 $55.59 $50.00 18.2% 5.2% 16.9% 8.8% 0.0% 4.3% 2.0% -814 -126.3K -1.7K 0.00 43.36 N/A N/A 3 0 118 240 2012-09-26 $55.34 $50.00 19.3% 5.5% 16.9% 10.7% 0.0% 4.1% 1.8% -3.4K -109.5K -1.8K 0.00 49.44 N/A N/A 0 676 121 240 2012-09-28 $56.26 $50.00 17.6% 5.1% 17.7% 7.8% 0.0% 3.4% 1.7% -107.4K 933.0K -7.9K 0.00 59.73 N/A N/A 0 0 123 918
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