AAXJ Options History — July 2015 In July 2015, AAXJ traded between $58.24 and $63.53. ATM implied volatility averaged 17.7%, placing in the 52.0% IV rank vs the trailing year. The 30-day expected move averaged 4.7%. IV traded below realized volatility by 6.7% (HV 20d: 24.4%). Max pain ranged from $63.00 to $64.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 14 of 22 days. Put/call ratio averaged 3.34.
Notable Days 2015-07-28 : Highest Volume — 384 contracts2015-07-08 : Largest IV spike — 37.7% change2015-07-08 : Highest IV Rank — 100.0%2015-07-08 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $60.63 $58.24 $63.53 $63.29 $59.23 Max Pain $63.09 $63.00 $64.00 $64.00 $63.00 ATM IV 17.7% 13.6% 27.7% 18.4% 15.8% Expected Move 4.7% 3.9% 6.2% 5.3% 4.5% HV 20d 24.4% 15.0% 27.0% 15.3% 26.2% HV 60d 17.7% 14.0% 18.8% 14.8% 18.6% IV Rank 52.0% 28.9% 100.0% 64.4% 40.2% IV Percentile 75.4% 31.3% 100.0% 97.2% 74.2% Term Structure 0.0% -1.9% 1.1% -1.9% 0.9% VWIV 14.6% 10.7% 18.9% 17.4% 13.7% Skew 25d 2.8% 1.1% 4.7% 2.0% 3.3% Skew 10d 4.1% 2.0% 7.4% 4.6% 4.2% Call IV 25d 15.2% 12.7% 20.7% 17.2% 14.8% Put IV 25d 18.0% 15.5% 22.6% 19.2% 18.1% Bid-Ask Spread % 32.97 25.70 44.24 26.57 40.94 Gamma HHI 0.54 0.23 0.75 0.75 0.23 Net GEX -56.2K -129.2K -17.4K -123.2K -17.4K Net DEX 1.9M 1.6M 2.4M 1.8M 2.0M Net VEX -3.2K -6.0K -1.4K -5.8K -4.2K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% P/C Ratio 3.34 1.89 5.10 3.42 1.89 Total Volume 238.955 183 384 212 384 Total OI 508.136 445 649 560 649
Daily Data (22 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 2015-07-01 $63.29 $64.00 18.4% 5.3% 15.3% 64.4% 17.4% 2.0% -1.9% -123.2K 1.8M -5.8K 3.42 26.57 N/A N/A 48 164 82 478 2015-07-02 $63.53 $64.00 16.9% 4.9% 15.0% 55.7% 17.2% 1.9% -1.7% -129.2K 1.8M -6.0K 3.42 31.67 N/A N/A 48 164 82 478 2015-07-06 $61.68 $63.00 19.5% 5.0% 18.0% 71.7% 16.4% 1.6% 0.1% -93.4K 2.2M -4.5K 3.42 25.98 N/A N/A 48 164 82 478 2015-07-07 $60.60 $63.00 20.1% 5.1% 18.8% 75.4% 16.4% 1.5% -0.0% -72.8K 2.4M -3.6K 3.31 30.53 N/A N/A 48 159 82 478 2015-07-08 $58.24 $63.00 27.7% 6.2% 22.7% 100.0% 14.1% 1.1% -1.1% -29.3K 1.9M -2.0K 4.46 44.24 N/A N/A 37 165 82 378 2015-07-09 $59.65 $63.00 26.9% 6.0% 24.6% 96.1% 18.4% 3.6% -1.1% -46.8K 1.9M -2.8K 4.46 26.06 N/A N/A 37 165 82 384 2015-07-10 $61.15 $63.00 24.0% 5.4% 26.6% 81.2% 16.8% 4.7% -0.4% -66.5K 1.8M -3.4K 2.75 30.55 N/A N/A 60 165 82 384 2015-07-13 $61.55 $63.00 19.8% 4.6% 26.7% 60.0% 15.5% 3.9% 0.1% -71.3K 1.6M -3.4K 2.75 25.70 N/A N/A 60 165 105 384 2015-07-14 $61.43 $63.00 17.9% 4.4% 26.4% 50.8% 13.6% 3.8% 0.3% -71.2K 1.7M -3.1K 2.75 27.47 N/A N/A 60 165 105 384 2015-07-15 $60.70 $63.00 14.8% 4.2% 26.6% 35.0% 13.2% 3.7% 0.6% -53.5K 1.8M -2.6K 2.75 28.96 N/A N/A 60 165 105 384 2015-07-16 $61.54 $63.00 13.8% 4.0% 27.0% 30.1% 12.8% 3.2% 0.7% -71.2K 1.7M -2.9K 2.70 31.26 N/A N/A 61 165 105 383 2015-07-17 $61.64 $63.00 13.6% 3.9% 26.8% 28.9% 12.8% 2.6% 1.1% -74.3K 1.7M -3.1K 2.70 30.58 N/A N/A 61 165 106 383 2015-07-20 $61.29 $63.00 14.6% 4.2% 26.8% 34.0% 12.9% 3.0% 0.4% -64.2K 1.9M -2.6K 5.10 33.23 N/A N/A 30 153 71 380 2015-07-21 $61.31 $63.00 14.1% 4.0% 26.3% 31.5% 12.9% 2.6% 0.7% -61.1K 1.9M -2.5K 4.37 32.58 N/A N/A 35 153 71 374 2015-07-22 $60.67 $63.00 13.9% 4.0% 26.0% 30.3% 10.7% 2.6% 0.6% -41.0K 1.9M -2.0K 4.37 33.75 N/A N/A 35 153 78 374 2015-07-23 $60.39 $63.00 14.8% 4.2% 26.0% 34.9% 12.6% 3.0% 0.8% -38.7K 1.9M -2.0K 4.37 27.31 N/A N/A 35 153 78 374 2015-07-24 $59.73 $63.00 15.9% 4.6% 26.0% 40.8% 12.3% 3.1% 0.2% -31.7K 2.0M -1.9K 4.37 31.09 N/A N/A 35 153 78 374 2015-07-27 $58.40 $63.00 19.2% 5.5% 26.7% 56.9% 18.9% 1.6% -0.5% -19.6K 2.0M -1.4K 4.50 41.31 N/A N/A 34 153 78 374 2015-07-28 $59.12 $63.00 17.3% 5.0% 26.5% 47.8% 16.4% 3.3% -0.4% -21.4K 2.0M -1.4K 1.89 40.11 N/A N/A 133 251 78 374 2015-07-29 $59.59 $63.00 15.0% 4.3% 26.3% 35.8% 12.2% 3.0% 0.5% -21.4K 2.0M -4.3K 1.89 42.39 N/A N/A 133 251 177 472 2015-07-30 $59.05 $63.00 16.4% 4.7% 26.2% 43.1% 14.1% 3.2% 0.3% -18.2K 2.0M -4.2K 1.89 43.05 N/A N/A 133 251 177 472 2015-07-31 $59.23 $63.00 15.8% 4.5% 26.2% 40.2% 13.7% 3.3% 0.9% -17.4K 2.0M -4.2K 1.89 40.94 N/A N/A 133 251 177 472
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