AAXJ Options History — March 2013

In March 2013, AAXJ traded between $57.83 and $60.71. ATM implied volatility averaged 13.8%, placing in the 14.0% IV rank vs the trailing year. The 30-day expected move averaged 3.9%. IV traded above realized volatility by 2.0% (HV 20d: 11.8%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 12 of 20 trading days. Term structure was in contango for 15 of 20 days. Put/call ratio averaged 0.46.

Notable Days

2013-03-07: Highest Volume — 1,278 contracts
2013-03-11: Largest IV spike — 35.9% change
2013-03-22: Highest IV Rank — 16.8%
2013-03-22: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$59.24	$57.83	$60.71	$60.13	$59.08
Max Pain	$58.60	$58.00	$59.00	$59.00	$59.00
ATM IV	13.8%	10.6%	15.5%	13.3%	13.3%
Expected Move	3.9%	3.4%	4.3%	3.8%	3.8%
HV 20d	11.8%	10.0%	13.3%	11.8%	12.3%
HV 60d	11.5%	10.9%	12.3%	10.9%	11.8%
IV Rank	14.0%	7.2%	16.8%	12.5%	13.1%
IV Percentile	12.3%	0.4%	21.8%	7.9%	8.3%
Term Structure	1.7%	-0.5%	18.6%	1.0%	0.5%
VWIV	13.7%	10.3%	15.3%	14.4%	14.7%
Skew 25d	3.7%	1.3%	5.1%	3.1%	4.0%
Skew 10d	9.8%	4.1%	13.3%	5.8%	4.1%
Call IV 25d	12.2%	10.4%	13.3%	12.5%	10.4%
Put IV 25d	15.9%	13.8%	18.1%	15.6%	14.5%
Bid-Ask Spread %	59.18	34.83	82.89	34.83	46.24
Gamma HHI	0.38	0.29	0.50	0.31	0.32
Net GEX	44.5K	-98.6K	222.4K	61.5K	3.6K
Net DEX	-230.4K	-1.4M	368.0K	-191.5K	-283.1K
Net VEX	-4.8K	-5.4K	-3.7K	-5.0K	-3.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.46	0.00	2.13	0.00	0.00
Total Volume	78.65	0	1,278	15	0
Total OI	1,423.95	1,302	1,633	1,499	1,326

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
2013-03-01	$60.13	$59.00	13.3%	3.8%	11.8%	12.5%	14.4%	3.1%	1.0%	61.5K	-191.5K	-5.0K	0.00	34.83	N/A	N/A	15	0	822	677
2013-03-04	$59.66	$58.00	15.5%	4.1%	11.9%	16.6%	0.0%	3.7%	0.6%	43.9K	-32.9K	-4.4K	0.00	70.82	N/A	N/A	0	2	837	677
2013-03-05	$60.16	$58.00	13.4%	3.9%	11.3%	12.6%	0.0%	2.9%	1.1%	124.1K	-392.8K	-3.9K	0.00	77.60	N/A	N/A	30	0	837	679
2013-03-06	$60.32	$58.00	13.5%	3.9%	11.3%	12.8%	0.0%	2.3%	1.6%	125.9K	-399.3K	-3.8K	0.08	77.63	N/A	N/A	121	10	824	679
2013-03-07	$60.39	$58.00	13.3%	3.7%	11.3%	12.5%	10.3%	1.3%	1.8%	211.0K	-971.3K	-5.4K	0.89	77.57	N/A	N/A	678	600	944	689
2013-03-08	$60.71	$58.00	10.6%	3.4%	10.6%	7.2%	0.0%	2.8%	2.1%	214.8K	-1.4M	-5.2K	0.00	81.57	N/A	N/A	12	0	922	589
2013-03-11	$60.39	$58.00	14.4%	3.6%	10.0%	15.5%	0.0%	3.0%	1.5%	222.4K	-1.1M	-5.1K	0.00	79.94	N/A	N/A	60	0	920	589
2013-03-12	$59.75	$58.00	13.5%	3.6%	10.7%	13.6%	0.0%	3.5%	1.3%	162.0K	-530.2K	-5.3K	0.00	80.20	N/A	N/A	0	0	880	589
2013-03-13	$59.18	$58.00	13.4%	3.9%	11.1%	13.4%	13.8%	2.9%	1.0%	81.4K	-189.5K	-5.2K	1.50	54.64	N/A	N/A	2	3	880	589
2013-03-14	$59.56	$59.00	12.4%	3.5%	11.2%	11.3%	15.3%	4.5%	1.5%	175.5K	-278.7K	-5.2K	0.00	82.89	N/A	N/A	4	0	878	592
2013-03-15	$58.90	$59.00	13.5%	3.9%	11.7%	13.5%	0.0%	4.0%	1.1%	8.1K	27.4K	-5.1K	0.00	82.00	N/A	N/A	0	10	880	592
2013-03-18	$58.17	$59.00	15.0%	4.3%	12.3%	16.7%	14.7%	4.0%	-0.2%	-75.4K	222.7K	-5.3K	2.13	38.80	N/A	N/A	8	17	737	565
2013-03-19	$57.87	$59.00	14.7%	4.2%	12.3%	16.0%	0.0%	5.0%	-0.1%	-98.6K	365.9K	-5.4K	0.00	41.08	N/A	N/A	0	0	745	582
2013-03-20	$58.35	$59.00	14.8%	4.2%	12.8%	16.3%	0.0%	4.0%	-0.1%	-69.2K	147.3K	-5.2K	0.00	42.22	N/A	N/A	0	0	745	582
2013-03-21	$57.83	$59.00	14.8%	4.3%	12.7%	16.3%	0.0%	5.1%	18.6%	-95.2K	368.0K	-5.3K	0.00	40.92	N/A	N/A	0	0	745	582
2013-03-22	$58.11	$59.00	15.1%	4.3%	12.8%	16.8%	0.0%	4.9%	-0.2%	-79.6K	275.0K	-5.2K	0.00	41.42	N/A	N/A	1	0	745	582
2013-03-25	$58.09	$59.00	14.5%	4.2%	12.1%	15.7%	0.0%	5.0%	-0.5%	-84.9K	220.9K	-4.8K	0.00	39.07	N/A	N/A	0	0	744	582
2013-03-26	$58.98	$59.00	13.4%	3.8%	13.3%	13.3%	0.0%	4.4%	0.2%	-22.3K	-214.3K	-4.0K	0.00	51.54	N/A	N/A	0	0	744	582
2013-03-27	$59.08	$59.00	13.4%	3.8%	12.3%	13.4%	0.0%	4.6%	0.3%	-19.8K	-235.7K	-3.9K	0.00	42.52	N/A	N/A	0	0	744	582
2013-03-28	$59.08	$59.00	13.3%	3.8%	12.3%	13.1%	0.0%	4.0%	0.5%	3.6K	-283.1K	-3.7K	0.00	46.24	N/A	N/A	0	0	744	582