AAXJ Options History — September 2014

In September 2014, AAXJ traded between $61.32 and $66.51. ATM implied volatility averaged 13.3%, placing in the 37.5% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 3.2% (HV 20d: 10.1%). Max pain ranged from $65.00 to $65.00. Net GEX was positive for 21 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 0.50.

Notable Days

2014-09-19: Highest Volume — 50 contracts
2014-09-08: Largest IV spike — 20.9% change
2014-09-29: Highest IV Rank — 58.4%
2014-09-29: Largest Expected Move — 4.9%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.18	$61.32	$66.51	$65.43	$61.32
Max Pain	$65.00	$65.00	$65.00	$65.00	$65.00
ATM IV	13.3%	9.5%	16.3%	11.6%	15.9%
Expected Move	4.4%	4.1%	4.9%	4.4%	4.8%
HV 20d	10.1%	8.1%	14.3%	9.2%	14.3%
HV 60d	10.3%	9.3%	12.0%	9.3%	12.0%
IV Rank	37.5%	11.4%	58.4%	24.6%	55.7%
IV Percentile	30.0%	0.8%	54.4%	16.7%	50.8%
Term Structure	1.1%	-0.2%	2.4%	1.1%	0.1%
Skew 25d	2.3%	0.9%	4.1%	1.6%	4.1%
Skew 10d	5.2%	2.1%	8.7%	3.4%	8.2%
Call IV 25d	12.3%	10.2%	15.4%	11.0%	14.0%
Put IV 25d	14.7%	12.5%	18.1%	12.6%	18.1%
Bid-Ask Spread %	23.31	17.32	33.57	22.75	31.76
Gamma HHI	0.31	0.22	0.55	0.22	0.35
Net GEX	38.4K	7.8K	121.7K	46.3K	26.1K
Net DEX	-515.7K	-1.2M	-242.4K	-1.1M	-242.4K
Net VEX	-1.7K	-2.3K	-1.2K	-1.5K	-1.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	4.00	0.00	0.00
Total Volume	10.381	0	50	0	0
Total OI	475.571	119	680	662	122

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
2014-09-02	$65.43	$65.00	11.6%	4.4%	9.2%	24.6%	0.0%	1.6%	1.1%	46.3K	-1.1M	-1.5K	0.00	22.75	N/A	N/A	0	0	215	447
2014-09-03	$66.23	$65.00	11.3%	4.3%	8.6%	22.9%	0.0%	2.5%	1.0%	37.9K	-1.2M	-1.4K	0.00	22.31	N/A	N/A	0	0	215	447
2014-09-04	$66.38	$65.00	11.2%	4.2%	8.5%	23.0%	0.0%	1.6%	1.3%	41.6K	-1.2M	-1.4K	0.00	19.54	N/A	N/A	0	40	215	447
2014-09-05	$66.51	$65.00	9.5%	4.1%	8.1%	11.4%	0.0%	3.3%	2.1%	18.1K	-722.2K	-1.6K	0.00	20.39	N/A	N/A	0	41	152	487
2014-09-08	$66.05	$65.00	11.5%	4.2%	8.6%	25.0%	0.0%	2.9%	1.5%	7.8K	-603.3K	-2.2K	0.00	18.38	N/A	N/A	10	0	152	528
2014-09-09	$65.45	$65.00	13.6%	4.5%	8.8%	39.8%	0.0%	2.3%	1.3%	15.3K	-520.8K	-2.3K	0.00	17.32	N/A	N/A	10	0	152	528
2014-09-10	$65.28	$65.00	13.1%	4.4%	8.9%	36.3%	0.0%	2.9%	1.2%	10.3K	-438.8K	-2.3K	0.00	23.35	N/A	N/A	1	0	142	528
2014-09-11	$64.95	$65.00	14.1%	4.4%	8.3%	43.4%	0.0%	2.7%	1.1%	12.8K	-388.3K	-2.3K	0.00	23.46	N/A	N/A	0	40	142	528
2014-09-12	$64.57	$65.00	14.1%	4.4%	8.5%	43.1%	0.0%	2.0%	1.1%	38.9K	-470.8K	-2.0K	0.00	18.33	N/A	N/A	0	0	142	488
2014-09-15	$63.85	$65.00	15.0%	4.6%	9.3%	49.0%	0.0%	1.3%	0.5%	44.8K	-391.9K	-1.9K	0.00	18.25	N/A	N/A	0	1	142	488
2014-09-16	$64.36	$65.00	14.5%	4.7%	9.6%	46.2%	0.0%	2.5%	1.3%	45.6K	-452.8K	-1.9K	0.00	20.14	N/A	N/A	15	0	142	489
2014-09-17	$63.98	$65.00	13.4%	4.5%	9.5%	38.4%	0.0%	2.2%	2.1%	72.0K	-444.6K	-2.0K	0.00	20.48	N/A	N/A	0	0	157	489
2014-09-18	$64.13	$65.00	12.9%	4.5%	9.6%	34.9%	0.0%	1.9%	2.2%	94.1K	-459.8K	-2.0K	0.00	26.09	N/A	N/A	0	0	157	489
2014-09-19	$63.85	$65.00	12.1%	4.4%	9.4%	29.3%	0.0%	2.2%	2.4%	121.7K	-324.8K	-2.0K	4.00	21.38	N/A	N/A	10	40	145	489
2014-09-22	$62.91	$65.00	13.6%	4.4%	10.4%	39.4%	0.0%	1.1%	0.6%	29.1K	-327.6K	-1.4K	0.00	21.12	N/A	N/A	6	0	114	5
2014-09-23	$62.70	$65.00	13.6%	4.4%	10.2%	39.6%	0.0%	1.5%	0.8%	29.0K	-316.9K	-1.3K	0.00	27.30	N/A	N/A	0	0	115	5
2014-09-24	$63.51	$65.00	12.9%	4.2%	11.5%	34.6%	0.0%	3.7%	0.2%	31.4K	-356.1K	-1.4K	0.00	28.60	N/A	N/A	0	0	115	5
2014-09-25	$62.28	$65.00	15.2%	4.5%	13.0%	50.4%	0.0%	2.0%	-0.2%	27.9K	-290.4K	-1.3K	0.00	27.78	N/A	N/A	2	0	115	5
2014-09-26	$62.57	$65.00	13.9%	4.4%	13.2%	41.5%	0.0%	3.8%	1.4%	29.0K	-310.2K	-1.3K	0.00	27.18	N/A	N/A	2	0	117	5
2014-09-29	$61.41	$65.00	16.3%	4.9%	14.3%	58.4%	0.0%	0.9%	0.0%	26.5K	-249.9K	-1.3K	0.00	33.57	N/A	N/A	0	0	117	5
2014-09-30	$61.32	$65.00	15.9%	4.8%	14.3%	55.7%	0.0%	4.1%	0.1%	26.1K	-242.4K	-1.2K	0.00	31.76	N/A	N/A	0	0	117	5