AAXJ Options History — May 2014

In May 2014, AAXJ traded between $59.44 and $62.19. ATM implied volatility averaged 12.7%, placing in the 11.1% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 2.8% (HV 20d: 9.9%). Max pain ranged from $54.00 to $61.00. Net GEX was positive for 9 of 21 trading days. Term structure was in contango for 21 of 21 days. Put/call ratio averaged 0.25.

Notable Days

2014-05-30: Highest Volume — 75 contracts
2014-05-15: Largest IV spike — 16.4% change
2014-05-15: Highest IV Rank — 19.7%
2014-05-06: Largest Expected Move — 4.3%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$60.92	$59.44	$62.19	$59.80	$61.80
Max Pain	$54.67	$54.00	$61.00	$61.00	$54.00
ATM IV	12.7%	10.5%	13.8%	13.8%	12.9%
Expected Move	3.8%	3.4%	4.3%	4.0%	3.7%
HV 20d	9.9%	8.0%	10.8%	10.4%	10.1%
HV 60d	12.1%	11.6%	13.3%	13.3%	11.7%
IV Rank	11.1%	0.0%	19.7%	15.5%	14.4%
IV Percentile	2.8%	0.0%	6.0%	6.0%	4.4%
Term Structure	1.2%	0.3%	2.3%	1.6%	0.3%
Skew 25d	2.8%	2.1%	3.7%	2.7%	2.7%
Skew 10d	7.6%	3.6%	10.5%	8.9%	10.5%
Call IV 25d	12.4%	11.0%	13.9%	12.8%	12.1%
Put IV 25d	15.1%	13.8%	17.4%	15.5%	14.8%
Bid-Ask Spread %	70.07	51.45	84.62	76.20	78.47
Gamma HHI	0.36	0.29	0.44	0.41	0.31
Net GEX	366	-14.8K	26.3K	-14.4K	23.8K
Net DEX	-104.4K	-457.7K	93.3K	87.4K	-398.7K
Net VEX	-3.3K	-3.9K	-2.7K	-3.8K	-3.8K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.25	0.00	1.00	1.00	0.00
Total Volume	8.667	0	75	0	75
Total OI	469.905	442	544	447	544

Daily Data (21 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
2014-05-01	$59.80	$61.00	13.8%	4.0%	10.4%	15.5%	0.0%	2.7%	1.6%	-14.4K	87.4K	-3.8K	0.00	76.20	N/A	N/A	0	0	80	367
2014-05-02	$59.85	$61.00	13.0%	3.7%	10.3%	10.1%	0.0%	2.2%	2.1%	-13.7K	78.7K	-3.8K	0.00	78.37	N/A	N/A	0	0	80	367
2014-05-05	$59.67	$54.00	13.6%	4.3%	10.4%	14.4%	0.0%	3.6%	1.4%	-14.7K	93.3K	-3.7K	0.00	59.33	N/A	N/A	0	0	80	367
2014-05-06	$59.67	$54.00	13.5%	4.3%	10.3%	13.2%	0.0%	3.4%	1.0%	-14.3K	76.7K	-3.7K	0.00	57.86	N/A	N/A	0	0	80	367
2014-05-07	$59.58	$54.00	13.2%	4.3%	8.8%	11.9%	0.0%	3.7%	1.0%	-14.8K	90.3K	-3.7K	0.00	59.15	N/A	N/A	0	0	80	367
2014-05-08	$59.44	$54.00	13.3%	4.3%	8.0%	12.1%	0.0%	2.8%	0.9%	-14.5K	82.3K	-3.4K	0.00	63.99	N/A	N/A	0	1	80	367
2014-05-09	$59.58	$54.00	11.8%	4.0%	8.1%	1.0%	0.0%	2.8%	1.7%	-12.9K	75.8K	-3.3K	0.00	62.38	N/A	N/A	0	0	80	366
2014-05-12	$60.54	$54.00	11.3%	3.7%	10.0%	0.0%	0.0%	3.0%	1.8%	-7.8K	-3.6K	-3.1K	0.00	53.95	N/A	N/A	0	0	80	366
2014-05-13	$60.76	$54.00	10.5%	3.6%	10.1%	0.0%	0.0%	2.7%	2.3%	-6.8K	-29.8K	-3.1K	0.00	51.45	N/A	N/A	0	0	80	366
2014-05-14	$61.01	$54.00	11.8%	3.8%	9.5%	8.2%	0.0%	2.4%	1.3%	-5.2K	-54.0K	-3.1K	0.00	69.23	N/A	N/A	0	0	80	366
2014-05-15	$60.83	$54.00	13.8%	4.0%	9.1%	19.7%	0.0%	2.3%	1.1%	-8.0K	-34.9K	-3.0K	0.00	65.95	N/A	N/A	0	0	80	366
2014-05-16	$61.77	$54.00	13.0%	3.7%	10.6%	15.3%	0.0%	2.8%	1.4%	4.8K	-105.3K	-2.8K	0.00	71.08	N/A	N/A	0	0	80	366
2014-05-19	$61.72	$54.00	12.4%	3.6%	10.5%	11.7%	0.0%	2.4%	1.2%	2.0K	-110.6K	-2.7K	0.00	73.56	N/A	N/A	0	0	78	364
2014-05-20	$61.28	$54.00	13.8%	3.9%	10.8%	19.6%	0.0%	3.1%	0.4%	-483	-81.3K	-2.7K	0.00	69.08	N/A	N/A	0	0	78	364
2014-05-21	$61.76	$54.00	12.6%	3.6%	10.7%	12.9%	0.0%	3.1%	0.7%	2.5K	-111.3K	-2.7K	1.00	74.16	N/A	N/A	16	16	78	364
2014-05-22	$62.10	$54.00	12.4%	3.6%	10.8%	11.7%	0.0%	2.3%	0.7%	6.4K	-164.4K	-2.9K	0.00	78.84	N/A	N/A	60	0	94	380
2014-05-23	$62.15	$54.00	11.9%	3.4%	9.6%	8.7%	0.0%	2.8%	1.5%	20.5K	-391.8K	-3.9K	0.00	81.00	N/A	N/A	10	0	154	380
2014-05-27	$61.75	$54.00	12.0%	3.4%	10.1%	9.1%	0.0%	2.4%	1.3%	23.9K	-388.9K	-3.9K	0.00	79.88	N/A	N/A	4	0	164	380
2014-05-28	$62.16	$54.00	12.5%	3.6%	10.0%	12.3%	0.0%	2.5%	0.7%	25.3K	-444.6K	-3.7K	0.00	82.89	N/A	N/A	0	0	164	380
2014-05-29	$62.19	$54.00	12.4%	3.6%	9.6%	11.4%	0.0%	2.1%	0.6%	26.3K	-457.7K	-3.6K	0.00	84.62	N/A	N/A	0	0	164	380
2014-05-30	$61.80	$54.00	12.9%	3.7%	10.1%	14.4%	0.0%	2.7%	0.3%	23.8K	-398.7K	-3.8K	0.00	78.47	N/A	N/A	0	75	164	380