AAXJ Options History — December 2016

In December 2016, AAXJ traded between $54.11 and $57.89. ATM implied volatility averaged 39.7%, placing in the 30.3% IV rank vs the trailing year. The 30-day expected move averaged 9.7%. IV traded above realized volatility by 24.5% (HV 20d: 15.1%). Max pain ranged from $50.00 to $60.00. Net GEX was positive for 11 of 21 trading days. Term structure was in contango for 9 of 21 days. Put/call ratio averaged 0.06.

Notable Days

2016-12-15: Highest Volume — 31,244 contracts
2016-12-13: Largest IV spike — 438.3% change
2016-12-13: Highest IV Rank — 100.0%
2016-12-23: Largest Expected Move — 18.6%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$55.99	$54.11	$57.89	$56.74	$54.92
Max Pain	$57.24	$50.00	$60.00	$50.00	$60.00
ATM IV	39.7%	14.9%	115.9%	49.7%	56.2%
Expected Move	9.7%	4.0%	18.6%	14.3%	16.1%
HV 20d	15.1%	12.3%	20.0%	20.0%	14.7%
HV 60d	16.5%	15.9%	17.9%	17.9%	15.9%
IV Rank	30.3%	3.2%	100.0%	49.9%	42.8%
IV Percentile	71.5%	9.5%	100.0%	96.4%	95.2%
Term Structure	-2.7%	-35.1%	23.0%	23.0%	-5.9%
VWIV	31.8%	16.2%	80.9%	80.9%	19.9%
Skew 25d	7.7%	-30.1%	70.3%	45.7%	30.0%
Skew 10d	4.8%	-81.1%	80.0%	51.3%	13.7%
Call IV 25d	48.1%	14.3%	110.7%	79.5%	63.5%
Put IV 25d	55.8%	18.3%	125.2%	125.2%	93.5%
Bid-Ask Spread %	139.65	114.40	164.98	149.18	156.06
Gamma HHI	0.66	0.36	0.99	0.87	0.37
Net GEX	1.3M	-57.5K	7.9M	532.8K	-41.5K
Net DEX	-54.8M	-113.3M	-2.4M	-82.6M	-22.9M
Net VEX	-888.1K	-989.4K	-814.9K	-989.4K	-843.3K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.06	0.04	0.10	0.06	0.04
Total Volume	29,214.714	28,230	31,244	29,320	28,232
Total OI	78,802.857	68,467	87,900	86,952	68,467

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
2016-12-01	$56.74	$50.00	49.7%	14.3%	20.0%	49.9%	80.9%	45.7%	23.0%	532.8K	-82.6M	-989.4K	0.06	149.18	N/A	N/A	27,547	1,773	45,329	41,623
2016-12-02	$56.55	$50.00	41.3%	11.8%	19.9%	38.9%	78.9%	-4.8%	4.4%	686.3K	-64.9M	-981.5K	0.06	152.43	N/A	N/A	27,547	1,773	45,329	41,623
2016-12-05	$56.81	$56.00	15.1%	8.5%	19.9%	4.7%	30.3%	-14.0%	-21.2%	1.7M	-87.1M	-929.1K	0.06	127.90	N/A	N/A	27,547	1,773	45,329	41,623
2016-12-06	$56.94	$56.00	46.2%	9.0%	17.8%	45.3%	20.6%	8.8%	2.2%	1.7M	-89.8M	-925.9K	0.06	127.23	N/A	N/A	27,557	1,773	45,298	41,623
2016-12-07	$57.77	$54.00	22.4%	5.6%	18.3%	14.1%	24.6%	-14.0%	21.3%	7.9M	-113.3M	-899.1K	0.06	131.41	N/A	N/A	27,557	1,773	45,308	41,623
2016-12-08	$57.89	$54.00	72.7%	9.1%	14.7%	79.9%	33.1%	7.6%	-14.0%	672.0K	-88.9M	-880.7K	0.06	138.55	N/A	N/A	27,558	1,773	44,288	41,623
2016-12-09	$57.50	$54.00	24.1%	4.4%	13.1%	16.3%	22.8%	4.1%	4.1%	2.3M	-100.4M	-892.7K	0.06	137.95	N/A	N/A	27,558	1,773	44,291	41,623
2016-12-12	$56.83	$54.00	21.5%	4.0%	12.3%	13.0%	16.2%	2.7%	2.1%	3.9M	-93.4M	-884.8K	0.06	114.40	N/A	N/A	27,453	1,773	44,291	41,623
2016-12-13	$57.59	$54.00	115.9%	14.4%	12.4%	100.0%	34.7%	2.7%	-2.4%	622.5K	-95.9M	-814.9K	0.10	141.18	N/A	N/A	28,453	2,773	44,287	41,623
2016-12-14	$56.38	$60.00	19.4%	5.6%	13.9%	7.6%	17.1%	9.5%	-1.5%	3.6M	-80.7M	-889.6K	0.10	131.85	N/A	N/A	28,458	2,773	45,277	42,623
2016-12-15	$56.20	$60.00	43.6%	12.5%	13.7%	30.7%	37.9%	2.8%	-35.1%	3.7M	-54.6M	-876.3K	0.10	132.74	N/A	N/A	28,458	2,786	43,558	42,623
2016-12-16	$55.79	$60.00	14.9%	4.3%	13.9%	3.2%	22.1%	7.7%	3.9%	-37.7K	-42.5M	-885.6K	0.10	122.58	N/A	N/A	28,458	2,760	43,558	42,637
2016-12-19	$55.55	$60.00	29.0%	8.3%	14.0%	16.7%	26.8%	2.7%	-11.0%	-42.6K	-21.8M	-882.4K	0.04	136.78	N/A	N/A	27,031	1,199	34,131	34,344
2016-12-20	$55.50	$60.00	17.4%	5.0%	14.0%	5.6%	20.4%	2.3%	-0.0%	-57.5K	-21.8M	-861.6K	0.04	130.02	N/A	N/A	27,031	1,199	34,131	34,344
2016-12-21	$54.69	$60.00	17.9%	5.1%	14.0%	6.1%	19.2%	3.8%	-0.8%	-54.6K	-17.3M	-886.1K	0.04	120.86	N/A	N/A	27,031	1,199	34,131	34,344
2016-12-22	$54.11	$60.00	59.5%	17.0%	14.2%	45.9%	47.8%	2.1%	-10.3%	-35.5K	-14.7M	-875.1K	0.04	145.53	N/A	N/A	27,033	1,199	34,123	34,344
2016-12-23	$54.23	$60.00	65.0%	18.6%	14.0%	51.3%	30.5%	5.2%	-13.7%	-30.9K	-2.4M	-876.7K	0.04	164.98	N/A	N/A	27,033	1,199	34,123	34,344
2016-12-27	$54.33	$60.00	30.8%	8.8%	14.0%	18.5%	33.9%	-30.1%	-9.8%	-39.0K	-14.7M	-862.8K	0.04	157.96	N/A	N/A	27,033	1,199	34,123	34,344
2016-12-28	$54.34	$60.00	17.2%	4.9%	13.9%	5.4%	29.0%	70.3%	2.4%	-56.4K	-14.9M	-856.5K	0.04	161.89	N/A	N/A	27,033	1,199	34,123	34,344
2016-12-29	$55.11	$60.00	53.2%	15.3%	14.9%	39.9%	20.6%	17.0%	5.6%	-52.5K	-25.2M	-855.3K	0.04	151.23	N/A	N/A	27,033	1,199	34,123	34,344
2016-12-30	$54.92	$60.00	56.2%	16.1%	14.7%	42.8%	19.9%	30.0%	-5.9%	-41.5K	-22.9M	-843.3K	0.04	156.06	N/A	N/A	27,033	1,199	34,123	34,344