AAXJ Options History — February 2014

In February 2014, AAXJ traded between $54.75 and $58.38. ATM implied volatility averaged 19.1%, placing in the 56.3% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 0.4% (HV 20d: 18.7%). Max pain ranged from $57.00 to $65.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 9 of 19 days. Put/call ratio averaged 169.19.

Notable Days

2014-02-05: Highest Volume — 8,428 contracts
2014-02-25: Largest IV spike — 8.4% change
2014-02-03: Highest IV Rank — 76.1%
2014-02-03: Largest Expected Move — 6.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$56.94	$54.75	$58.38	$54.75	$58.15
Max Pain	$63.32	$57.00	$65.00	$57.00	$65.00
ATM IV	19.1%	17.5%	22.4%	22.4%	18.2%
Expected Move	5.5%	5.0%	6.4%	6.4%	5.2%
HV 20d	18.7%	16.5%	20.9%	16.8%	17.0%
HV 60d	17.4%	16.9%	18.2%	16.9%	17.1%
IV Rank	56.3%	41.6%	76.1%	76.1%	45.4%
IV Percentile	59.1%	40.9%	92.5%	92.5%	48.0%
Term Structure	0.1%	-0.7%	1.2%	-0.3%	-0.0%
VWIV	21.9%	17.5%	29.7%	21.2%	17.5%
Skew 25d	4.7%	3.2%	5.8%	5.8%	4.4%
Skew 10d	11.7%	8.4%	16.2%	12.8%	8.7%
Call IV 25d	17.5%	15.6%	20.8%	20.8%	16.9%
Put IV 25d	22.2%	20.3%	26.6%	26.6%	21.3%
Bid-Ask Spread %	29.09	21.33	33.88	25.02	31.98
Gamma HHI	0.59	0.49	0.69	0.49	0.67
Net GEX	-2.4M	-2.7M	-2.2M	-2.5M	-2.5M
Net DEX	17.4M	10.1M	29.4M	29.4M	11.2M
Net VEX	-48.9K	-73.0K	-31.4K	-72.6K	-32.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	169.19	0.00	841.80	841.80	0.00
Total Volume	646.895	0	8,428	3,426	0
Total OI	9,811.211	9,470	11,249	11,049	9,812

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
2014-02-03	$54.75	$57.00	22.4%	6.4%	16.8%	76.1%	0.0%	5.8%	-0.3%	-2.5M	29.4M	-72.6K	0.00	25.02	N/A	N/A	0	3,426	167	10,882
2014-02-04	$55.47	$57.00	21.9%	6.3%	17.6%	73.6%	0.0%	4.9%	-0.2%	-2.6M	27.0M	-73.0K	0.00	28.16	N/A	N/A	0	0	167	11,082
2014-02-05	$55.07	$57.00	20.8%	6.0%	17.6%	68.3%	0.0%	4.1%	0.2%	-2.7M	28.6M	-70.8K	841.80	28.48	N/A	N/A	10	8,418	167	11,082
2014-02-06	$56.09	$57.00	21.0%	6.0%	19.0%	69.2%	21.2%	3.2%	-0.7%	-2.4M	21.9M	-60.9K	0.00	29.64	N/A	N/A	4	0	157	9,682
2014-02-07	$56.30	$65.00	19.6%	5.9%	19.1%	62.5%	0.0%	5.5%	-0.5%	-2.3M	19.9M	-57.6K	0.00	27.88	N/A	N/A	0	0	155	9,332
2014-02-10	$55.77	$65.00	19.3%	5.6%	18.7%	60.9%	0.0%	5.3%	0.7%	-2.4M	22.0M	-55.3K	0.00	21.33	N/A	N/A	0	0	155	9,332
2014-02-11	$57.08	$65.00	18.3%	5.5%	20.6%	56.1%	0.0%	5.0%	-0.1%	-2.4M	16.8M	-51.8K	0.00	28.02	N/A	N/A	0	12	155	9,332
2014-02-12	$57.25	$65.00	18.0%	5.7%	20.3%	54.4%	0.0%	4.8%	-0.3%	-2.2M	16.0M	-51.4K	0.00	29.50	N/A	N/A	0	0	155	9,344
2014-02-13	$57.13	$65.00	18.9%	5.4%	20.3%	59.2%	0.0%	5.6%	0.6%	-2.4M	16.4M	-50.6K	0.00	26.36	N/A	N/A	0	0	155	9,344
2014-02-14	$57.82	$65.00	17.9%	5.1%	20.8%	54.0%	0.0%	5.1%	0.5%	-2.2M	13.5M	-45.7K	0.00	28.68	N/A	N/A	0	10	155	9,344
2014-02-18	$57.51	$65.00	18.3%	5.2%	20.9%	56.0%	29.7%	4.5%	0.4%	-2.4M	14.4M	-45.2K	1.67	31.21	N/A	N/A	6	10	155	9,334
2014-02-19	$57.52	$65.00	18.4%	5.3%	20.8%	56.8%	22.2%	4.8%	0.5%	-2.4M	14.5M	-42.5K	0.00	32.97	N/A	N/A	0	6	158	9,344
2014-02-20	$57.54	$65.00	18.1%	5.2%	20.4%	44.9%	20.9%	5.1%	0.3%	-2.3M	13.8M	-40.5K	2.50	31.81	N/A	N/A	2	5	158	9,346
2014-02-21	$57.73	$65.00	17.8%	5.1%	18.6%	42.9%	0.0%	4.3%	1.2%	-2.4M	13.3M	-39.4K	0.00	30.36	N/A	N/A	0	0	156	9,346
2014-02-24	$57.67	$65.00	17.5%	5.0%	16.5%	41.6%	20.1%	4.2%	0.0%	-2.6M	12.9M	-37.3K	0.00	33.88	N/A	N/A	0	20	148	9,342
2014-02-25	$57.21	$65.00	19.0%	5.4%	16.7%	50.5%	0.0%	3.5%	-0.3%	-2.7M	14.9M	-36.5K	0.00	30.06	N/A	N/A	20	0	148	9,342
2014-02-26	$57.39	$65.00	19.2%	5.5%	16.6%	51.8%	0.0%	4.4%	-0.0%	-2.6M	14.0M	-34.9K	0.00	27.05	N/A	N/A	0	340	128	9,342
2014-02-27	$58.38	$65.00	18.3%	5.2%	17.0%	46.0%	17.5%	4.1%	-0.1%	-2.3M	10.1M	-31.4K	0.00	30.24	N/A	N/A	0	2	128	9,682
2014-02-28	$58.15	$65.00	18.2%	5.2%	17.0%	45.4%	0.0%	4.4%	-0.0%	-2.5M	11.2M	-32.5K	0.00	31.98	N/A	N/A	0	0	128	9,684