AAXJ Options History — August 2016

In August 2016, AAXJ traded between $57.32 and $60.01. ATM implied volatility averaged 14.1%, placing in the 5.5% IV rank vs the trailing year. The 30-day expected move averaged 4.1%. IV traded above realized volatility by 3.7% (HV 20d: 10.4%). Max pain ranged from $53.00 to $54.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 24.93.

Notable Days

2016-08-02: Highest Volume — 28,024 contracts
2016-08-10: Largest IV spike — 16.1% change
2016-08-30: Highest IV Rank — 17.7%
2016-08-30: Largest Expected Move — 4.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$58.85	$57.32	$60.01	$57.65	$58.75
Max Pain	$53.13	$53.00	$54.00	$54.00	$53.00
ATM IV	14.1%	11.7%	16.0%	14.1%	15.3%
Expected Move	4.1%	3.7%	4.6%	4.1%	4.4%
HV 20d	10.4%	9.6%	12.5%	12.5%	10.8%
HV 60d	18.0%	17.7%	18.6%	18.6%	17.7%
IV Rank	5.5%	0.1%	17.7%	3.1%	15.0%
IV Percentile	4.2%	0.4%	11.5%	0.8%	9.1%
Term Structure	1.6%	-0.3%	2.7%	0.8%	1.7%
VWIV	15.8%	12.8%	20.5%	16.7%	16.0%
Skew 25d	3.5%	1.9%	7.9%	2.5%	3.7%
Skew 10d	6.8%	-0.8%	13.0%	-0.8%	11.3%
Call IV 25d	12.8%	9.9%	14.7%	12.4%	14.3%
Put IV 25d	16.3%	15.0%	18.0%	15.0%	18.0%
Bid-Ask Spread %	79.15	62.16	92.73	79.72	87.68
Gamma HHI	0.60	0.56	0.64	0.64	0.56
Net GEX	1.1M	994.7K	1.2M	1.1M	1.2M
Net DEX	-122.6M	-133.9M	-97.5M	-103.7M	-126.7M
Net VEX	-171.4K	-291.0K	-122.0K	-270.2K	-139.9K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	24.93	0.95	46.78	0.95	46.47
Total Volume	17,577.13	0	28,024	27,907	14,003
Total OI	45,321.87	45,237	45,354	45,237	45,327

Daily Data (23 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
2016-08-01	$57.65	$54.00	14.1%	4.1%	12.5%	3.1%	16.7%	2.5%	0.8%	1.1M	-103.7M	-270.2K	0.95	79.72	N/A	N/A	14,318	13,589	24,866	20,371
2016-08-02	$57.36	$54.00	15.2%	4.4%	11.3%	4.4%	15.9%	2.3%	0.5%	1.2M	-97.5M	-291.0K	0.96	79.26	N/A	N/A	14,318	13,706	24,866	20,371
2016-08-03	$57.32	$54.00	14.2%	4.1%	11.1%	3.1%	13.6%	3.4%	1.5%	1.1M	-99.3M	-267.7K	0.96	88.79	N/A	N/A	14,318	13,706	24,866	20,488
2016-08-04	$57.46	$53.00	13.2%	4.3%	11.0%	2.0%	18.2%	3.8%	2.6%	1.1M	-102.4M	-266.7K	0.96	62.16	N/A	N/A	14,318	13,706	24,866	20,488
2016-08-05	$58.23	$53.00	11.7%	4.1%	10.8%	0.1%	18.2%	2.1%	1.9%	1.2M	-112.7M	-220.6K	0.96	66.65	N/A	N/A	14,318	13,706	24,866	20,488
2016-08-08	$58.55	$53.00	13.5%	3.9%	10.5%	2.3%	20.3%	3.1%	2.1%	1.1M	-115.8M	-216.8K	0.99	72.99	N/A	N/A	13,811	13,706	24,841	20,488
2016-08-09	$58.95	$53.00	11.8%	3.7%	9.9%	0.2%	20.5%	3.6%	2.7%	1.2M	-123.9M	-171.4K	0.99	71.80	N/A	N/A	13,815	13,706	24,842	20,488
2016-08-10	$58.88	$53.00	13.7%	3.9%	9.9%	2.5%	15.8%	1.9%	1.7%	1.1M	-124.2M	-170.4K	0.99	74.48	N/A	N/A	13,815	13,706	24,828	20,488
2016-08-11	$59.57	$53.00	13.1%	3.8%	9.8%	1.9%	15.0%	2.4%	2.0%	1.2M	-129.5M	-151.8K	0.99	69.86	N/A	N/A	13,815	13,706	24,828	20,488
2016-08-12	$59.39	$53.00	13.5%	3.9%	9.9%	2.3%	12.8%	2.3%	2.0%	1.1M	-127.6M	-160.9K	40.92	74.21	N/A	N/A	335	13,709	24,828	20,488
2016-08-15	$60.01	$53.00	14.4%	4.1%	10.2%	3.4%	15.2%	2.1%	0.9%	994.7K	-133.9M	-122.0K	40.92	82.07	N/A	N/A	335	13,709	24,848	20,488
2016-08-16	$59.70	$53.00	14.1%	4.0%	9.6%	3.1%	14.1%	2.5%	1.3%	1.0M	-130.4M	-148.3K	40.92	78.78	N/A	N/A	335	13,709	24,848	20,488
2016-08-17	$59.38	$53.00	14.5%	4.1%	9.7%	3.5%	0.0%	2.3%	2.1%	1.2M	-130.7M	-131.6K	0.00	76.27	N/A	N/A	0	0	24,840	20,487
2016-08-18	$59.85	$53.00	13.3%	3.8%	9.8%	2.1%	0.0%	2.0%	2.1%	1.1M	-132.2M	-133.4K	0.00	83.57	N/A	N/A	0	0	24,840	20,487
2016-08-19	$59.50	$53.00	13.8%	4.0%	10.2%	2.7%	13.0%	3.8%	2.1%	1.2M	-131.8M	-129.0K	40.92	78.53	N/A	N/A	335	13,709	24,841	20,488
2016-08-22	$58.88	$53.00	14.6%	4.2%	10.6%	3.7%	14.3%	2.6%	1.2%	1.2M	-126.2M	-144.6K	46.78	80.08	N/A	N/A	293	13,708	24,838	20,487
2016-08-23	$59.03	$53.00	14.1%	4.0%	10.1%	3.1%	14.9%	3.1%	1.6%	1.1M	-128.9M	-137.7K	46.78	77.25	N/A	N/A	293	13,708	24,838	20,487
2016-08-24	$59.02	$53.00	15.0%	4.3%	10.2%	8.1%	0.0%	7.0%	1.3%	1.2M	-128.9M	-134.6K	0.00	88.60	N/A	N/A	0	0	24,837	20,487
2016-08-25	$59.09	$53.00	15.5%	4.4%	10.2%	15.5%	15.4%	7.9%	0.5%	1.1M	-129.9M	-127.3K	46.78	84.80	N/A	N/A	293	13,708	24,838	20,487
2016-08-26	$58.72	$53.00	15.1%	4.3%	10.5%	13.8%	15.3%	4.8%	1.7%	1.2M	-124.6M	-151.4K	46.47	78.04	N/A	N/A	295	13,708	24,838	20,487
2016-08-29	$59.07	$53.00	15.2%	4.4%	10.6%	14.4%	14.2%	4.7%	1.9%	1.2M	-129.6M	-124.7K	46.47	92.12	N/A	N/A	295	13,708	24,840	20,487
2016-08-30	$59.14	$53.00	16.0%	4.6%	10.4%	17.7%	16.5%	6.2%	-0.3%	1.1M	-129.0M	-130.0K	46.47	92.73	N/A	N/A	295	13,708	24,840	20,487
2016-08-31	$58.75	$53.00	15.3%	4.4%	10.8%	15.0%	16.0%	3.7%	1.7%	1.2M	-126.7M	-139.9K	46.47	87.68	N/A	N/A	295	13,708	24,840	20,487