AAXJ Options History — February 2013

In February 2013, AAXJ traded between $59.16 and $60.80. ATM implied volatility averaged 14.1%, placing in the 8.6% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded above realized volatility by 3.6% (HV 20d: 10.5%). Max pain ranged from $57.00 to $59.00. Net GEX was positive for 18 of 19 trading days. Term structure was in contango for 12 of 19 days. Put/call ratio averaged 1.00.

Notable Days

2013-02-20: Highest Volume — 1,200 contracts
2013-02-20: Largest IV spike — 76.0% change
2013-02-25: Highest IV Rank — 27.0%
2013-02-11: Largest Expected Move — 6.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.14	$59.16	$60.80	$60.80	$60.12
Max Pain	$57.53	$57.00	$59.00	$57.00	$59.00
ATM IV	14.1%	6.9%	23.1%	12.0%	14.7%
Expected Move	4.0%	2.0%	6.6%	3.9%	4.2%
HV 20d	10.5%	9.0%	11.8%	9.0%	11.8%
HV 60d	11.2%	10.5%	12.2%	11.8%	11.0%
IV Rank	8.6%	0.0%	27.0%	0.0%	15.1%
IV Percentile	14.2%	0.0%	75.8%	0.0%	15.1%
Term Structure	-0.4%	-17.6%	3.0%	2.0%	-1.3%
VWIV	15.1%	13.1%	17.1%	17.1%	15.3%
Skew 25d	3.4%	1.6%	5.1%	3.6%	2.9%
Skew 10d	9.3%	-0.1%	14.5%	13.9%	2.5%
Call IV 25d	12.0%	9.6%	14.7%	12.7%	11.2%
Put IV 25d	15.4%	11.2%	19.8%	16.3%	14.1%
Bid-Ask Spread %	55.74	35.97	122.59	53.71	122.59
Gamma HHI	0.61	0.28	0.79	0.71	0.28
Net GEX	76.9K	-9.3K	129.6K	77.0K	82.2K
Net DEX	-432.6K	-699.0K	241.6K	-658.5K	-448.5K
Net VEX	-2.8K	-5.6K	-1.5K	-1.9K	-3.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	0.00	3.00	0.00	0.00
Total Volume	68.263	0	1,200	0	0
Total OI	616.895	217	1,499	217	1,499

Daily Data (19 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
2013-02-01	$60.80	$57.00	12.0%	3.9%	9.0%	0.0%	0.0%	3.6%	2.0%	77.0K	-658.5K	-1.9K	0.00	53.71	N/A	N/A	0	0	197	20
2013-02-04	$59.95	$57.00	14.0%	4.2%	10.2%	4.2%	0.0%	4.2%	1.7%	80.8K	-525.2K	-1.9K	0.00	54.63	N/A	N/A	0	0	197	20
2013-02-05	$60.05	$57.00	12.6%	4.0%	10.0%	1.2%	0.0%	4.2%	1.8%	89.7K	-544.6K	-1.9K	0.00	49.76	N/A	N/A	0	0	197	20
2013-02-06	$60.10	$57.00	16.6%	3.9%	9.5%	9.6%	0.0%	3.7%	2.6%	87.7K	-547.7K	-1.8K	0.00	99.78	N/A	N/A	2	0	197	20
2013-02-07	$59.43	$57.00	15.1%	4.3%	9.8%	6.5%	0.0%	4.2%	1.2%	87.6K	-447.3K	-1.8K	0.00	47.42	N/A	N/A	0	0	198	20
2013-02-08	$60.13	$57.00	13.3%	3.8%	10.4%	2.6%	17.1%	4.1%	1.9%	92.0K	-565.0K	-1.8K	0.00	48.35	N/A	N/A	0	7	198	20
2013-02-11	$60.14	$57.00	23.1%	6.6%	10.2%	23.6%	0.0%	3.6%	-17.6%	91.0K	-556.4K	-1.8K	0.00	54.40	N/A	N/A	0	0	198	27
2013-02-12	$60.30	$57.00	12.7%	3.6%	10.2%	1.5%	0.0%	3.0%	2.1%	95.0K	-591.5K	-1.7K	0.00	42.39	N/A	N/A	0	0	198	27
2013-02-13	$60.67	$57.00	11.6%	3.3%	10.4%	0.0%	0.0%	2.9%	2.9%	99.3K	-662.2K	-1.7K	0.00	43.44	N/A	N/A	0	0	198	27
2013-02-14	$60.74	$57.00	11.5%	3.3%	10.4%	0.0%	0.0%	2.7%	2.9%	96.7K	-675.6K	-1.6K	0.00	41.13	N/A	N/A	0	0	198	27
2013-02-15	$60.63	$57.00	10.8%	3.1%	10.2%	0.0%	0.0%	2.6%	3.0%	107.5K	-670.2K	-1.6K	0.00	40.17	N/A	N/A	0	0	198	27
2013-02-19	$60.69	$57.00	6.9%	2.0%	10.2%	0.0%	0.0%	1.6%	-0.1%	129.6K	-699.0K	-1.5K	0.00	68.97	N/A	N/A	0	0	197	27
2013-02-20	$60.41	$57.00	12.1%	3.5%	10.3%	10.1%	0.0%	1.9%	1.1%	117.2K	-631.7K	-1.5K	1.00	38.87	N/A	N/A	600	600	197	27
2013-02-21	$59.79	$57.00	15.3%	4.4%	10.8%	16.2%	15.1%	2.2%	-1.2%	35.6K	-86.5K	-4.9K	3.00	73.44	N/A	N/A	10	30	797	627
2013-02-22	$59.95	$59.00	13.6%	3.9%	10.8%	12.9%	13.1%	3.7%	0.0%	37.7K	-115.0K	-5.1K	0.00	42.25	N/A	N/A	5	0	807	657
2013-02-25	$59.16	$59.00	20.8%	6.0%	11.5%	27.0%	15.2%	5.1%	-9.4%	-9.3K	241.6K	-5.4K	2.00	55.73	N/A	N/A	10	20	812	657
2013-02-26	$59.37	$59.00	16.0%	4.6%	11.5%	17.5%	15.3%	3.9%	-0.9%	4.5K	198.6K	-5.6K	0.00	46.07	N/A	N/A	13	0	812	677
2013-02-27	$60.18	$59.00	14.7%	4.2%	11.8%	15.0%	0.0%	4.7%	-0.5%	59.6K	-235.4K	-5.3K	0.00	35.97	N/A	N/A	0	0	822	677
2013-02-28	$60.12	$59.00	14.7%	4.2%	11.8%	15.1%	0.0%	2.9%	-1.3%	82.2K	-448.5K	-3.9K	0.00	122.59	N/A	N/A	0	0	822	677