AAXJ Options History — December 2012

In December 2012, AAXJ traded between $57.93 and $60.52. ATM implied volatility averaged 15.5%, placing in the 5.1% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 4.7% (HV 20d: 10.8%). Max pain ranged from $53.00 to $60.00. Net GEX was positive for 13 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.14.

Notable Days

2012-12-21: Highest Volume — 741 contracts
2012-12-10: Largest IV spike — 26.7% change
2012-12-28: Highest IV Rank — 10.2%
2012-12-03: Largest Expected Move — 5.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.31	$57.93	$60.52	$57.93	$60.52
Max Pain	$57.70	$53.00	$60.00	$53.00	$58.00
ATM IV	15.5%	12.8%	17.5%	17.5%	13.8%
Expected Move	4.5%	3.9%	5.0%	5.0%	3.9%
HV 20d	10.8%	8.0%	14.7%	14.4%	9.4%
HV 60d	14.2%	13.1%	15.7%	15.7%	13.5%
IV Rank	5.1%	0.0%	10.2%	7.6%	2.0%
IV Percentile	6.6%	0.0%	23.0%	16.3%	0.8%
Term Structure	1.2%	-0.9%	2.5%	-0.6%	0.5%
VWIV	17.3%	15.5%	20.9%	17.5%	16.4%
Skew 25d	3.4%	1.5%	8.5%	3.3%	6.2%
Skew 10d	7.3%	-28.0%	13.9%	11.9%	10.6%
Call IV 25d	14.4%	9.1%	16.7%	16.7%	12.1%
Put IV 25d	17.8%	15.4%	20.7%	20.1%	18.4%
Bid-Ask Spread %	61.51	39.86	94.77	46.95	67.14
Gamma HHI	0.55	0.33	0.75	0.67	0.60
Net GEX	-28.5K	-188.5K	87.2K	-133.6K	-81.3K
Net DEX	-110.9K	-418.0K	434.8K	191.8K	-106.6K
Net VEX	-2.1K	-4.0K	-1.1K	-3.1K	-2.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.14	0.00	0.67	0.67	0.00
Total Volume	43.55	0	741	10	1
Total OI	1,654.4	867	1,927	1,908	874

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
2012-12-03	$57.93	$53.00	17.5%	5.0%	14.4%	7.6%	17.5%	3.3%	-0.6%	-133.6K	191.8K	-3.1K	0.00	46.95	N/A	N/A	0	10	133	1,775
2012-12-04	$58.02	$53.00	17.4%	5.0%	14.2%	7.3%	0.0%	4.5%	-0.2%	-130.5K	225.9K	-3.2K	0.00	50.46	N/A	N/A	0	0	133	1,785
2012-12-05	$58.75	$53.00	16.1%	4.6%	14.7%	5.1%	16.2%	2.2%	0.9%	4.9K	-244.0K	-1.5K	0.00	51.60	N/A	N/A	0	3	133	1,785
2012-12-06	$59.04	$53.00	15.8%	4.5%	13.1%	4.6%	15.8%	3.2%	0.4%	5.2K	-266.4K	-1.6K	0.67	47.82	N/A	N/A	3	2	133	1,788
2012-12-07	$59.26	$60.00	12.8%	4.5%	12.3%	0.0%	0.0%	2.1%	1.6%	39.0K	-331.7K	-1.4K	0.00	79.97	N/A	N/A	0	1	136	1,790
2012-12-10	$59.43	$60.00	16.3%	4.8%	12.2%	5.9%	0.0%	2.3%	1.2%	25.5K	-330.8K	-1.4K	0.00	63.47	N/A	N/A	0	0	136	1,791
2012-12-11	$59.66	$60.00	15.5%	4.5%	12.2%	4.6%	0.0%	8.5%	-0.9%	35.4K	-372.4K	-1.4K	0.00	92.86	N/A	N/A	0	0	136	1,791
2012-12-12	$59.78	$60.00	14.5%	4.3%	11.1%	2.9%	0.0%	2.7%	2.0%	51.2K	-393.2K	-1.3K	0.00	63.52	N/A	N/A	0	0	136	1,791
2012-12-13	$59.56	$60.00	15.4%	4.4%	10.6%	4.4%	0.0%	2.5%	2.3%	46.9K	-371.9K	-1.3K	0.00	57.60	N/A	N/A	8	0	136	1,791
2012-12-14	$59.84	$60.00	15.3%	4.4%	10.6%	4.2%	0.0%	2.4%	1.6%	14.5K	-342.6K	-1.4K	0.00	69.97	N/A	N/A	0	10	134	1,791
2012-12-17	$59.82	$60.00	14.4%	4.1%	10.5%	3.5%	15.5%	1.5%	1.8%	87.2K	-418.0K	-1.1K	0.14	58.15	N/A	N/A	69	10	134	1,781
2012-12-18	$59.53	$58.00	14.1%	4.0%	9.5%	2.7%	0.0%	2.5%	1.8%	29.1K	-243.0K	-1.4K	0.00	67.06	N/A	N/A	6	0	103	1,791
2012-12-19	$59.37	$58.00	15.5%	4.4%	9.3%	5.7%	0.0%	2.5%	1.6%	29.5K	-248.6K	-1.5K	0.00	64.13	N/A	N/A	0	0	109	1,791
2012-12-20	$59.66	$58.00	14.8%	4.3%	9.3%	4.4%	0.0%	3.3%	1.5%	31.0K	-293.3K	-1.5K	0.00	94.77	N/A	N/A	0	0	109	1,791
2012-12-21	$58.97	$58.00	15.4%	4.4%	8.8%	5.6%	19.0%	3.1%	2.5%	23.5K	-218.0K	-1.4K	0.00	55.75	N/A	N/A	0	741	109	1,791
2012-12-24	$58.99	$58.00	15.3%	4.4%	8.8%	5.4%	0.0%	3.3%	1.6%	-188.5K	434.8K	-4.0K	0.00	58.30	N/A	N/A	0	0	106	761
2012-12-26	$59.15	$58.00	16.5%	4.7%	8.5%	8.0%	0.0%	3.9%	1.0%	-164.1K	416.6K	-3.9K	0.00	56.03	N/A	N/A	6	0	106	761
2012-12-27	$59.30	$58.00	16.3%	4.7%	8.2%	7.6%	20.9%	4.3%	1.4%	-154.4K	387.2K	-3.9K	0.00	44.86	N/A	N/A	0	1	112	761
2012-12-28	$59.61	$58.00	17.5%	5.0%	8.0%	10.2%	0.0%	4.3%	1.6%	-139.5K	305.3K	-3.9K	0.00	39.86	N/A	N/A	0	0	112	762
2012-12-31	$60.52	$58.00	13.8%	3.9%	9.4%	2.0%	16.4%	6.2%	0.5%	-81.3K	-106.6K	-2.5K	0.00	67.14	N/A	N/A	1	0	112	762