AAXJ Options History — January 2016

In January 2016, AAXJ traded between $47.04 and $52.02. ATM implied volatility averaged 27.7%, placing in the 19.3% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 4.6% (HV 20d: 23.2%). Max pain ranged from $52.00 to $52.00. Net GEX was positive for 0 of 19 trading days. Term structure was in contango for 10 of 19 days. Put/call ratio averaged 1.79.

Notable Days

2016-01-28: Highest Volume — 251 contracts
2016-01-07: Largest IV spike — 30.9% change
2016-01-11: Highest IV Rank — 26.1%
2016-01-21: Largest Expected Move — 8.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$48.99	$47.04	$52.02	$51.83	$49.31
Max Pain	$52.00	$52.00	$52.00	$52.00	$52.00
ATM IV	27.7%	23.3%	33.4%	25.1%	24.4%
Expected Move	7.5%	6.0%	8.7%	6.3%	7.0%
HV 20d	23.2%	19.8%	28.0%	20.4%	28.0%
HV 60d	19.6%	18.0%	21.2%	18.2%	21.2%
IV Rank	19.3%	13.9%	26.1%	16.1%	15.3%
IV Percentile	91.0%	81.0%	98.0%	90.1%	81.0%
Term Structure	-0.1%	-1.1%	1.0%	0.4%	0.7%
VWIV	25.0%	21.0%	31.4%	21.9%	28.0%
Skew 25d	4.3%	1.7%	7.3%	1.7%	4.7%
Skew 10d	6.2%	2.4%	10.0%	3.1%	9.8%
Call IV 25d	23.5%	18.8%	26.9%	20.2%	22.6%
Put IV 25d	27.8%	21.9%	34.1%	21.9%	27.3%
Bid-Ask Spread %	36.04	22.89	51.87	42.63	37.89
Gamma HHI	0.32	0.17	0.44	0.18	0.25
Net GEX	-10.8K	-14.7K	-6.7K	-6.7K	-8.9K
Net DEX	333.9K	223.4K	370.9K	304.6K	223.4K
Net VEX	-850	-1.4K	-656	-1.1K	-1.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.79	1.39	2.25	1.78	1.39
Total Volume	206.579	188	251	211	251
Total OI	181.842	167	233	183	233

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
2016-01-04	$51.83	$0.00	25.1%	6.3%	20.4%	16.1%	21.9%	1.7%	0.4%	-6.7K	304.6K	-1.1K	1.78	42.63	N/A	N/A	76	135	44	139
2016-01-05	$52.02	$52.00	23.3%	6.0%	19.8%	13.9%	21.0%	3.4%	1.0%	-6.7K	300.7K	-1.0K	1.78	28.23	N/A	N/A	76	135	44	140
2016-01-06	$50.93	$52.00	25.4%	6.4%	20.5%	16.4%	21.0%	2.4%	0.2%	-9.1K	330.7K	-992	1.78	32.41	N/A	N/A	76	135	44	140
2016-01-07	$49.68	$52.00	33.2%	7.5%	21.7%	25.9%	24.3%	2.3%	-0.5%	-10.0K	358.6K	-1.0K	1.67	30.91	N/A	N/A	76	127	44	140
2016-01-08	$49.12	$52.00	31.2%	7.4%	21.8%	23.5%	24.7%	1.9%	0.4%	-10.7K	370.9K	-966	1.67	31.38	N/A	N/A	76	127	44	140
2016-01-11	$49.24	$52.00	33.4%	7.8%	21.9%	26.1%	24.6%	2.9%	-0.5%	-10.9K	370.0K	-953	1.67	31.41	N/A	N/A	76	127	44	140
2016-01-12	$49.30	$52.00	30.8%	7.3%	20.9%	22.9%	22.4%	4.0%	-0.4%	-11.2K	369.6K	-925	1.47	28.26	N/A	N/A	76	112	44	140
2016-01-13	$48.69	$52.00	25.9%	7.4%	20.6%	17.0%	22.7%	3.7%	-0.3%	-9.9K	342.9K	-776	1.47	32.60	N/A	N/A	76	112	44	128
2016-01-14	$49.22	$52.00	25.3%	7.3%	20.2%	16.3%	22.2%	4.1%	0.1%	-9.8K	332.3K	-770	1.47	31.21	N/A	N/A	76	112	44	128
2016-01-15	$47.46	$52.00	27.9%	8.0%	21.3%	19.4%	23.0%	2.5%	0.6%	-10.4K	370.9K	-723	1.75	51.87	N/A	N/A	76	133	44	128
2016-01-19	$48.34	$52.00	28.5%	8.2%	23.0%	20.1%	21.8%	6.6%	-1.0%	-10.4K	319.1K	-687	2.00	22.89	N/A	N/A	65	130	33	134
2016-01-20	$47.04	$52.00	30.0%	8.6%	24.1%	21.9%	21.9%	4.7%	-1.1%	-11.4K	341.7K	-687	2.00	36.61	N/A	N/A	65	130	33	134
2016-01-21	$47.39	$52.00	30.5%	8.7%	24.6%	22.5%	31.4%	7.3%	-1.1%	-11.1K	336.1K	-675	2.15	40.43	N/A	N/A	65	140	33	134
2016-01-22	$48.56	$52.00	24.9%	7.1%	26.6%	15.8%	28.7%	5.9%	0.9%	-12.6K	321.0K	-688	2.08	48.46	N/A	N/A	65	135	33	144
2016-01-25	$47.98	$52.00	27.4%	7.9%	25.9%	18.9%	29.7%	7.0%	0.1%	-13.8K	338.6K	-684	2.09	35.09	N/A	N/A	65	136	33	149
2016-01-26	$48.39	$52.00	27.4%	7.9%	26.4%	18.9%	29.6%	6.2%	-0.6%	-13.5K	327.8K	-691	2.09	35.66	N/A	N/A	65	136	33	150
2016-01-27	$48.01	$52.00	26.3%	7.5%	26.4%	17.4%	28.5%	5.1%	-0.1%	-14.3K	337.9K	-656	2.25	43.55	N/A	N/A	65	146	33	150
2016-01-28	$48.38	$52.00	26.3%	7.5%	26.7%	17.5%	28.6%	5.7%	0.2%	-14.7K	346.8K	-787	1.39	43.19	N/A	N/A	105	146	33	160
2016-01-29	$49.31	$52.00	24.4%	7.0%	28.0%	15.3%	28.0%	4.7%	0.7%	-8.9K	223.4K	-1.4K	1.39	37.89	N/A	N/A	105	146	73	160