AAXJ Options History — May 2015

In May 2015, AAXJ traded between $66.07 and $69.10. ATM implied volatility averaged 14.7%, placing in the 42.2% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 14.5%). Max pain ranged from $62.00 to $62.00. Net GEX was positive for 1 of 20 trading days. Term structure was in contango for 18 of 20 days. Put/call ratio averaged 1.94.

Notable Days

2015-05-07: Highest Volume — 503 contracts
2015-05-11: Largest IV spike — 20.2% change
2015-05-06: Highest IV Rank — 66.6%
2015-05-06: Largest Expected Move — 4.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.56	$66.07	$69.10	$68.55	$66.07
Max Pain	$62.00	$62.00	$62.00	$62.00	$62.00
ATM IV	14.7%	13.0%	18.7%	13.7%	15.0%
Expected Move	4.2%	3.7%	4.8%	3.9%	4.3%
HV 20d	14.5%	13.4%	16.6%	15.2%	14.2%
HV 60d	14.4%	13.7%	15.1%	13.7%	15.1%
IV Rank	42.2%	31.5%	66.6%	35.8%	43.8%
IV Percentile	61.6%	32.9%	98.0%	49.6%	68.3%
Term Structure	0.7%	-0.6%	1.9%	0.6%	0.2%
VWIV	16.6%	12.3%	19.6%	17.7%	16.6%
Skew 25d	3.1%	2.2%	3.8%	2.2%	2.3%
Skew 10d	6.7%	4.2%	10.1%	10.1%	4.2%
Call IV 25d	13.3%	11.6%	15.2%	13.2%	13.9%
Put IV 25d	16.4%	14.1%	19.1%	15.5%	16.2%
Bid-Ask Spread %	33.77	23.73	45.61	34.01	43.91
Gamma HHI	0.24	0.17	0.35	0.23	0.26
Net GEX	-16.6K	-37.6K	5.2K	-33.1K	-1.9K
Net DEX	-1.4M	-2.2M	-609.7K	-1.9M	-609.7K
Net VEX	-5.8K	-7.2K	-4.4K	-6.3K	-5.0K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.94	0.00	3.26	1.77	2.31
Total Volume	345.9	0	503	495	453
Total OI	1,164.05	1,082	1,244	1,202	1,097

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
2015-05-01	$68.55	$62.00	13.7%	3.9%	15.2%	35.8%	17.7%	2.2%	0.6%	-33.1K	-1.9M	-6.3K	1.77	34.01	N/A	N/A	179	316	421	781
2015-05-04	$69.10	$62.00	13.8%	4.2%	15.2%	36.5%	0.0%	3.3%	1.4%	-37.6K	-2.2M	-5.8K	0.00	27.66	N/A	N/A	5	0	449	778
2015-05-05	$67.95	$62.00	16.1%	4.4%	16.6%	50.8%	19.1%	3.4%	1.1%	-26.5K	-1.9M	-6.6K	1.77	27.20	N/A	N/A	179	316	455	781
2015-05-06	$67.08	$62.00	18.7%	4.8%	15.3%	66.6%	19.6%	3.8%	0.2%	-10.3K	-1.7M	-7.2K	1.70	38.02	N/A	N/A	186	316	455	781
2015-05-07	$66.89	$62.00	16.6%	4.6%	13.8%	54.0%	18.8%	3.5%	0.6%	5.2K	-1.6M	-7.2K	1.68	23.73	N/A	N/A	188	315	463	781
2015-05-08	$67.72	$62.00	13.3%	4.1%	14.6%	33.7%	16.8%	3.3%	1.6%	-25.0K	-1.4M	-6.1K	0.00	28.42	N/A	N/A	51	0	375	787
2015-05-11	$67.06	$62.00	16.0%	4.3%	15.0%	50.2%	0.0%	3.1%	1.2%	-4.4K	-1.5M	-6.4K	0.00	31.66	N/A	N/A	0	0	423	787
2015-05-12	$66.83	$62.00	17.2%	4.3%	15.0%	57.4%	17.4%	3.6%	1.3%	-6.3K	-1.4M	-6.8K	2.17	42.45	N/A	N/A	145	315	425	790
2015-05-13	$66.92	$62.00	14.8%	4.2%	15.0%	42.7%	18.2%	3.3%	1.2%	-14.1K	-1.5M	-6.6K	2.16	28.63	N/A	N/A	146	315	422	790
2015-05-14	$67.44	$62.00	14.1%	4.0%	14.8%	38.3%	16.4%	3.1%	1.7%	-22.9K	-1.6M	-6.1K	2.16	32.03	N/A	N/A	146	315	422	790
2015-05-15	$67.98	$62.00	13.2%	3.8%	13.8%	33.0%	15.2%	2.5%	1.9%	-25.4K	-1.8M	-5.6K	2.17	30.31	N/A	N/A	145	315	422	790
2015-05-18	$67.43	$62.00	14.3%	4.1%	14.0%	39.6%	12.3%	3.2%	0.3%	-15.4K	-935.9K	-5.3K	0.00	33.91	N/A	N/A	7	0	295	787
2015-05-19	$67.88	$62.00	13.7%	3.9%	14.0%	35.9%	0.0%	3.4%	0.0%	-21.7K	-1.0M	-5.3K	0.00	33.63	N/A	N/A	0	0	302	787
2015-05-20	$67.79	$62.00	13.0%	3.7%	13.5%	31.5%	15.7%	3.2%	0.4%	-20.4K	-1.1M	-5.2K	2.74	45.61	N/A	N/A	115	315	304	790
2015-05-21	$67.70	$62.00	13.0%	3.7%	13.4%	31.5%	14.7%	2.8%	0.2%	-12.1K	-1.1M	-4.9K	2.74	27.80	N/A	N/A	115	315	319	790
2015-05-22	$68.45	$62.00	13.0%	3.7%	14.1%	31.8%	14.1%	2.6%	0.6%	-22.5K	-1.3M	-4.4K	2.65	40.09	N/A	N/A	119	315	319	790
2015-05-26	$67.90	$62.00	15.4%	4.4%	14.1%	46.5%	17.4%	3.0%	-0.6%	-9.5K	-1.1M	-5.0K	2.66	29.27	N/A	N/A	119	316	323	790
2015-05-27	$67.71	$62.00	14.6%	4.2%	14.1%	41.5%	14.9%	2.7%	-0.2%	-15.0K	-1.0M	-5.1K	2.95	32.69	N/A	N/A	107	316	323	793
2015-05-28	$66.66	$62.00	15.0%	4.3%	14.6%	43.8%	16.9%	3.0%	0.1%	-12.0K	-677.5K	-5.4K	3.26	44.28	N/A	N/A	97	316	311	793
2015-05-29	$66.07	$62.00	15.0%	4.3%	14.2%	43.8%	16.6%	2.3%	0.2%	-1.9K	-609.7K	-5.0K	2.31	43.91	N/A	N/A	137	316	304	793