AAXJ Options History — March 2017

In March 2017, AAXJ traded between $60.08 and $63.62. ATM implied volatility averaged 40.2%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 7.5%. IV traded above realized volatility by 28.8% (HV 20d: 11.5%). Max pain ranged from $54.00 to $61.00. Net GEX was positive for 4 of 23 trading days. Term structure was in contango for 12 of 23 days. Put/call ratio averaged 1.25.

Notable Days

2017-03-16: Highest Volume — 56,736 contracts
2017-03-13: Largest IV spike — 678.6% change
2017-03-09: Highest IV Rank — 88.3%
2017-03-03: Largest Expected Move — 16.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$62.08	$60.08	$63.62	$61.23	$63.01
Max Pain	$60.09	$54.00	$61.00	$54.00	$61.00
ATM IV	40.2%	7.6%	103.4%	51.3%	13.7%
Expected Move	7.5%	2.2%	16.4%	14.7%	3.9%
HV 20d	11.5%	7.7%	13.6%	7.7%	11.6%
HV 60d	10.9%	10.0%	11.9%	11.4%	10.0%
IV Rank	29.6%	0.0%	88.3%	39.3%	5.6%
IV Percentile	56.3%	0.0%	99.6%	86.5%	7.1%
Term Structure	-11.9%	-58.2%	26.1%	-32.4%	0.6%
VWIV	37.6%	10.8%	83.4%	80.9%	13.6%
Skew 25d	-7.5%	-90.0%	6.4%	-90.0%	2.1%
Skew 10d	-5.1%	-60.0%	35.0%	-24.4%	0.8%
Call IV 25d	42.8%	8.7%	125.0%	114.4%	10.5%
Put IV 25d	35.2%	10.4%	126.0%	24.4%	12.6%
Bid-Ask Spread %	141.63	102.36	166.29	149.67	102.36
Gamma HHI	0.70	0.47	0.93	0.73	0.47
Net GEX	-1.5M	-4.8M	348.9K	-4.8M	-257.8K
Net DEX	-111.1M	-165.8M	-24.6M	-50.9M	-124.5M
Net VEX	-307.8K	-729.7K	-3.4K	-653.9K	-106.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.25	1.14	1.40	1.14	1.39
Total Volume	54,489.609	51,561	56,736	56,721	51,639
Total OI	83,515.478	72,579	91,914	91,910	72,673

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
2017-03-01	$61.23	$54.00	51.3%	14.7%	7.7%	39.3%	80.9%	-90.0%	-32.4%	-4.8M	-50.9M	-653.9K	1.14	149.67	N/A	N/A	26,541	30,180	28,632	63,278
2017-03-02	$60.34	$54.00	15.3%	4.4%	9.7%	5.5%	15.3%	-0.7%	-2.8%	-2.3M	-121.9M	-437.3K	1.14	147.32	N/A	N/A	26,544	30,180	28,632	63,279
2017-03-03	$60.36	$54.00	57.3%	16.4%	9.7%	45.0%	83.4%	1.0%	-41.9%	-401.1K	-152.9M	-53.7K	1.14	159.60	N/A	N/A	26,544	30,180	28,635	63,279
2017-03-06	$60.42	$61.00	14.9%	4.3%	9.6%	5.2%	12.9%	4.4%	0.7%	-2.3M	-120.8M	-449.1K	1.14	114.34	N/A	N/A	26,544	30,180	28,635	63,279
2017-03-07	$60.52	$61.00	65.5%	3.4%	9.6%	52.7%	11.4%	5.8%	15.5%	-3.5M	-76.7M	-614.0K	1.14	132.42	N/A	N/A	26,544	30,180	28,635	63,279
2017-03-08	$60.49	$61.00	97.8%	3.6%	9.4%	83.0%	13.4%	-8.7%	6.2%	-2.4M	-25.8M	-729.7K	1.14	135.66	N/A	N/A	26,544	30,180	28,635	63,279
2017-03-09	$60.08	$61.00	103.4%	3.2%	9.5%	88.3%	11.8%	1.2%	8.9%	-2.5M	-24.6M	-680.3K	1.14	132.84	N/A	N/A	26,544	30,180	28,635	63,279
2017-03-10	$60.52	$61.00	13.1%	4.0%	9.7%	3.5%	12.8%	4.2%	0.8%	-1.9M	-130.6M	-355.8K	1.14	118.62	N/A	N/A	26,544	30,180	28,635	63,279
2017-03-13	$61.38	$61.00	101.8%	3.4%	10.8%	86.8%	10.8%	5.9%	15.7%	-2.6M	-143.7M	-123.5K	1.14	130.19	N/A	N/A	26,544	30,180	28,632	63,279
2017-03-14	$61.17	$61.00	16.7%	4.0%	10.8%	6.9%	13.2%	2.9%	0.6%	-1.3M	-141.4M	-306.9K	1.14	126.66	N/A	N/A	26,544	30,180	28,632	63,279
2017-03-15	$62.50	$61.00	12.7%	3.6%	13.0%	3.1%	12.6%	5.4%	26.1%	-2.4M	-92.6M	-599.5K	1.14	149.07	N/A	N/A	26,548	30,180	28,630	63,279
2017-03-16	$62.87	$61.00	24.2%	6.9%	12.9%	13.9%	14.5%	2.6%	-0.0%	-502.5K	-165.8M	-153.1K	1.14	146.26	N/A	N/A	26,556	30,180	28,634	63,279
2017-03-17	$62.98	$61.00	37.3%	10.7%	12.8%	26.2%	62.2%	1.2%	-58.2%	-611.2K	-165.5M	-158.4K	1.14	156.06	N/A	N/A	26,556	30,180	28,631	63,279
2017-03-20	$63.62	$61.00	7.6%	2.2%	13.0%	0.0%	60.2%	-7.1%	4.3%	224.3K	-135.9M	-3.9K	1.40	166.29	N/A	N/A	21,533	30,057	21,524	51,055
2017-03-21	$62.93	$61.00	13.9%	4.0%	13.6%	5.8%	14.4%	-2.7%	12.2%	-1.3M	-104.0M	-280.7K	1.40	146.26	N/A	N/A	21,533	30,057	21,528	51,055
2017-03-22	$63.23	$61.00	46.5%	13.3%	13.6%	36.0%	63.9%	3.9%	-36.5%	-1.5M	-98.8M	-332.4K	1.39	163.01	N/A	N/A	21,536	30,025	21,528	51,064
2017-03-23	$63.25	$61.00	39.2%	11.2%	13.6%	29.2%	69.4%	-20.3%	-54.6%	53.8K	-134.6M	-4.4K	1.39	147.41	N/A	N/A	21,536	30,025	21,531	51,064
2017-03-24	$63.32	$61.00	41.1%	11.8%	13.2%	31.0%	67.2%	-53.7%	-45.4%	-2.2M	-72.5M	-463.2K	1.39	152.83	N/A	N/A	21,536	30,025	21,531	51,064
2017-03-27	$63.35	$61.00	45.2%	12.9%	13.1%	34.7%	69.5%	0.5%	-46.2%	-1.8M	-75.0M	-460.1K	1.39	166.22	N/A	N/A	21,536	30,025	21,531	51,064
2017-03-28	$63.50	$61.00	51.3%	14.7%	13.0%	40.4%	67.2%	-37.9%	-46.4%	72.8K	-135.3M	-3.8K	1.39	132.21	N/A	N/A	21,536	30,025	21,531	51,064
2017-03-29	$63.53	$61.00	43.5%	12.5%	12.7%	33.2%	72.9%	0.1%	-3.9%	348.9K	-135.7M	-3.4K	1.39	152.70	N/A	N/A	21,536	30,025	21,531	51,064
2017-03-30	$63.30	$61.00	12.6%	3.6%	11.3%	4.6%	11.1%	6.4%	3.6%	-241.5K	-125.6M	-106.8K	1.39	129.59	N/A	N/A	21,614	30,025	21,531	51,064
2017-03-31	$63.01	$61.00	13.7%	3.9%	11.6%	5.6%	13.6%	2.1%	0.6%	-257.8K	-124.5M	-106.7K	1.39	102.36	N/A	N/A	21,614	30,025	21,609	51,064