AAXJ Options History — June 2013

In June 2013, AAXJ traded between $52.16 and $59.09. ATM implied volatility averaged 21.0%, placing in the 28.9% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded above realized volatility by 1.2% (HV 20d: 19.7%). Max pain ranged from $51.00 to $59.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 7 of 20 days. Put/call ratio averaged 0.78.

Notable Days

2013-06-20: Highest Volume — 884 contracts
2013-06-20: Largest IV spike — 26.7% change
2013-06-24: Highest IV Rank — 41.8%
2013-06-24: Largest Expected Move — 7.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.68	$52.16	$59.09	$59.09	$54.77
Max Pain	$55.30	$51.00	$59.00	$59.00	$51.00
ATM IV	21.0%	16.0%	27.2%	16.0%	22.7%
Expected Move	6.0%	4.6%	7.8%	4.6%	6.5%
HV 20d	19.7%	14.3%	28.3%	14.3%	28.0%
HV 60d	16.8%	14.7%	20.2%	14.7%	20.2%
IV Rank	28.9%	18.7%	41.8%	18.7%	32.4%
IV Percentile	78.0%	44.4%	96.8%	44.4%	89.7%
Term Structure	-0.4%	-2.7%	0.4%	-0.4%	-0.3%
VWIV	23.0%	18.5%	28.2%	18.5%	27.7%
Skew 25d	4.6%	2.0%	7.0%	3.4%	6.0%
Skew 10d	10.5%	5.6%	18.7%	7.9%	13.7%
Call IV 25d	18.9%	14.6%	24.3%	14.6%	20.9%
Put IV 25d	23.5%	18.0%	31.2%	18.0%	26.9%
Bid-Ask Spread %	52.14	28.02	73.76	46.15	64.88
Gamma HHI	0.27	0.17	0.44	0.44	0.25
Net GEX	127.7K	40.5K	301.2K	182.3K	213.3K
Net DEX	-1.1M	-2.6M	618.7K	-1.6M	-2.6M
Net VEX	-10.0K	-14.8K	-5.4K	-5.4K	-14.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.78	0.00	4.63	0.46	0.14
Total Volume	108.05	0	884	204	32
Total OI	1,437.35	744	2,450	744	2,114

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
2013-06-03	$59.09	$59.00	16.0%	4.6%	14.3%	18.7%	0.0%	3.4%	-0.4%	182.3K	-1.6M	-5.4K	0.46	46.15	N/A	N/A	140	64	630	114
2013-06-04	$58.47	$59.00	17.0%	4.9%	14.6%	20.8%	0.0%	3.4%	-0.7%	177.5K	-1.7M	-7.6K	0.00	41.62	N/A	N/A	0	0	770	178
2013-06-05	$57.51	$59.00	17.6%	5.1%	15.0%	22.1%	0.0%	3.9%	-0.6%	121.6K	-1.2M	-7.5K	0.02	45.22	N/A	N/A	50	1	770	178
2013-06-06	$57.93	$59.00	17.3%	4.9%	15.1%	21.3%	0.0%	3.2%	-0.1%	152.8K	-1.6M	-8.0K	0.00	42.52	N/A	N/A	0	0	820	179
2013-06-07	$57.49	$58.00	18.1%	5.2%	15.1%	23.0%	0.0%	3.6%	-0.1%	124.4K	-1.4M	-7.8K	0.00	53.71	N/A	N/A	10	0	820	179
2013-06-10	$56.84	$58.00	19.0%	5.2%	15.4%	24.9%	18.5%	2.8%	0.1%	101.9K	-1.1M	-7.6K	0.00	57.75	N/A	N/A	0	1	830	179
2013-06-11	$55.89	$58.00	20.5%	5.5%	15.9%	28.0%	19.3%	2.1%	-0.5%	66.8K	-737.3K	-7.1K	0.00	53.93	N/A	N/A	0	1	830	180
2013-06-12	$55.68	$58.00	21.0%	5.7%	15.4%	29.0%	20.9%	2.0%	-0.4%	59.5K	-680.4K	-7.0K	1.92	61.13	N/A	N/A	120	230	830	181
2013-06-13	$56.49	$55.00	19.6%	5.6%	16.7%	26.1%	0.0%	4.8%	0.1%	60.3K	-1.0M	-10.6K	0.00	61.46	N/A	N/A	0	0	950	411
2013-06-14	$55.74	$55.00	19.5%	5.6%	17.1%	25.9%	0.0%	4.8%	0.4%	40.6K	-651.2K	-10.3K	0.00	59.25	N/A	N/A	0	0	950	411
2013-06-17	$56.38	$55.00	20.2%	5.8%	17.7%	27.3%	20.3%	5.1%	0.1%	40.5K	-938.1K	-10.2K	0.25	55.29	N/A	N/A	155	39	950	411
2013-06-18	$56.40	$55.00	19.9%	5.7%	17.3%	26.7%	0.0%	4.4%	0.3%	84.0K	-1.3M	-11.4K	0.00	62.95	N/A	N/A	0	0	1,105	450
2013-06-19	$54.99	$55.00	20.5%	5.9%	18.8%	27.9%	19.0%	4.5%	0.4%	65.1K	-472.9K	-11.0K	0.40	64.53	N/A	N/A	15	6	1,105	450
2013-06-20	$52.49	$55.00	25.9%	7.4%	23.8%	39.1%	26.8%	7.0%	-1.2%	59.8K	618.7K	-9.1K	1.16	73.76	N/A	N/A	410	474	1,120	451
2013-06-21	$53.37	$52.00	24.0%	6.9%	25.1%	35.2%	0.0%	6.4%	-1.0%	301.2K	-647.4K	-12.4K	0.00	63.24	N/A	N/A	0	4	1,530	920
2013-06-24	$52.16	$52.00	27.2%	7.8%	25.9%	41.8%	28.2%	6.9%	-2.7%	86.0K	55.0K	-11.1K	0.02	43.56	N/A	N/A	213	5	1,102	633
2013-06-25	$53.27	$51.00	25.9%	7.4%	27.1%	39.0%	26.8%	6.5%	-1.4%	180.1K	-1.3M	-13.0K	0.38	28.02	N/A	N/A	13	5	1,309	635
2013-06-26	$54.10	$51.00	23.2%	6.6%	28.1%	33.4%	0.0%	5.2%	0.2%	233.4K	-2.3M	-12.4K	4.63	32.24	N/A	N/A	30	139	1,322	640
2013-06-27	$54.45	$51.00	24.4%	7.0%	28.3%	35.9%	0.0%	6.0%	-0.5%	202.3K	-2.3M	-14.8K	0.00	31.53	N/A	N/A	4	0	1,333	777
2013-06-28	$54.77	$51.00	22.7%	6.5%	28.0%	32.4%	27.7%	6.0%	-0.3%	213.3K	-2.6M	-14.7K	0.14	64.88	N/A	N/A	28	4	1,337	777