AAXJ Options History — April 2017

In April 2017, AAXJ traded between $61.99 and $64.20. ATM implied volatility averaged 41.0%, placing in the 30.9% IV rank vs the trailing year. The 30-day expected move averaged 10.4%. IV traded above realized volatility by 31.9% (HV 20d: 9.1%). Max pain ranged from $61.00 to $63.00. Net GEX was positive for 10 of 19 trading days. Term structure was in contango for 7 of 19 days. Put/call ratio averaged 1.39.

Notable Days

2017-04-28: Highest Volume — 75,074 contracts
2017-04-07: Largest IV spike — 375.2% change
2017-04-19: Highest IV Rank — 66.5%
2017-04-19: Largest Expected Move — 22.8%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$63.18	$61.99	$64.20	$63.43	$64.19
Max Pain	$62.68	$61.00	$63.00	$61.00	$63.00
ATM IV	41.0%	11.3%	79.6%	13.0%	13.5%
Expected Move	10.4%	3.7%	22.8%	3.7%	3.9%
HV 20d	9.1%	6.0%	11.8%	11.7%	8.9%
HV 60d	9.6%	9.3%	9.9%	9.6%	9.9%
IV Rank	30.9%	3.5%	66.5%	5.0%	5.5%
IV Percentile	68.5%	1.2%	95.2%	4.0%	7.5%
Term Structure	-8.5%	-64.4%	31.6%	3.0%	12.8%
VWIV	30.9%	10.3%	50.1%	10.3%	20.4%
Skew 25d	3.8%	-66.5%	48.7%	-21.6%	3.1%
Skew 10d	13.1%	-8.1%	58.8%	-8.1%	-0.2%
Call IV 25d	39.8%	7.6%	96.1%	36.1%	10.3%
Put IV 25d	43.6%	12.0%	96.0%	14.5%	13.4%
Bid-Ask Spread %	137.57	99.57	168.00	123.39	125.16
Gamma HHI	0.64	0.26	0.99	0.78	0.34
Net GEX	-311.0K	-2.3M	487.1K	341.3K	-837
Net DEX	-122.6M	-135.7M	-47.9M	-135.7M	-135.0M
Net VEX	-83.7K	-562.7K	-885	-3.2K	-885
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.39	1.27	1.43	1.39	1.27
Total Volume	52,733.526	51,074	75,074	51,639	75,074
Total OI	72,499.316	72,109	72,643	72,622	72,109

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
2017-04-03	$63.43	$61.00	13.0%	3.7%	11.7%	5.0%	10.3%	-21.6%	3.0%	341.3K	-135.7M	-3.2K	1.39	123.39	N/A	N/A	21,614	30,025	21,558	51,064
2017-04-04	$63.29	$61.00	49.8%	14.3%	11.8%	39.0%	42.8%	-13.7%	-15.9%	112.0K	-134.8M	-3.7K	1.39	138.28	N/A	N/A	21,634	30,025	21,558	51,064
2017-04-05	$63.33	$61.00	47.4%	13.6%	11.7%	36.8%	35.7%	22.1%	-15.4%	-1.7M	-47.9M	-562.7K	1.39	143.92	N/A	N/A	21,634	30,025	21,578	51,064
2017-04-06	$63.17	$63.00	11.3%	4.0%	11.4%	3.5%	14.2%	3.8%	0.2%	20.4K	-129.4M	-68.2K	1.39	119.81	N/A	N/A	21,635	30,025	21,578	51,064
2017-04-07	$63.13	$63.00	53.9%	9.0%	11.3%	42.8%	32.5%	1.6%	22.0%	-1.6M	-114.9M	-139.7K	1.39	141.54	N/A	N/A	21,635	30,025	21,579	51,064
2017-04-10	$62.87	$63.00	57.4%	3.9%	10.6%	46.0%	13.1%	3.0%	2.6%	92.2K	-134.0M	-3.4K	1.39	99.57	N/A	N/A	21,635	30,025	21,579	51,064
2017-04-11	$62.51	$63.00	60.3%	10.5%	10.7%	48.7%	23.8%	46.5%	-3.7%	257.3K	-133.1M	-3.3K	1.39	154.30	N/A	N/A	21,557	30,020	21,579	51,064
2017-04-12	$62.75	$63.00	36.2%	10.4%	7.7%	26.5%	23.0%	48.2%	31.6%	487.1K	-134.2M	-2.8K	1.39	154.49	N/A	N/A	21,559	30,020	21,579	51,060
2017-04-13	$62.86	$63.00	39.5%	11.3%	7.4%	29.5%	31.9%	0.2%	-4.2%	-246.4K	-121.3M	-132.3K	1.39	152.69	N/A	N/A	21,559	30,020	21,581	51,060
2017-04-17	$62.84	$63.00	54.2%	15.5%	7.4%	43.1%	47.9%	0.7%	5.9%	120.3K	-133.9M	-2.5K	1.39	168.00	N/A	N/A	21,559	30,020	21,581	51,060
2017-04-18	$62.37	$63.00	42.1%	12.1%	6.8%	31.9%	38.8%	-14.4%	-34.6%	120.1K	-132.8M	-2.3K	1.39	157.22	N/A	N/A	21,559	30,020	21,581	51,060
2017-04-19	$61.99	$63.00	79.6%	22.8%	6.0%	66.5%	26.4%	48.7%	-64.4%	59.9K	-125.9M	-63.9K	1.39	129.50	N/A	N/A	21,559	30,020	21,581	51,060
2017-04-20	$62.81	$63.00	28.1%	8.0%	7.6%	18.9%	40.5%	5.6%	-23.8%	266.8K	-134.0M	-1.8K	1.39	141.62	N/A	N/A	21,559	30,020	21,581	51,060
2017-04-21	$62.94	$63.00	56.7%	16.3%	7.6%	45.4%	50.1%	1.4%	-17.3%	-2.3M	-75.8M	-371.2K	1.39	163.66	N/A	N/A	21,559	30,020	21,581	51,060
2017-04-24	$63.45	$63.00	24.6%	7.1%	8.1%	15.8%	34.3%	8.1%	-18.4%	-106.6K	-131.5M	-21.8K	1.43	136.31	N/A	N/A	21,054	30,020	21,049	51,060
2017-04-25	$64.15	$63.00	58.0%	16.6%	9.0%	46.6%	40.1%	-66.5%	-14.7%	-1.9M	-106.6M	-198.7K	1.43	152.81	N/A	N/A	21,054	30,020	21,049	51,060
2017-04-26	$64.20	$63.00	26.9%	7.7%	9.0%	17.8%	35.7%	-8.0%	-14.3%	-11.3K	-134.3M	-7.1K	1.43	105.66	N/A	N/A	21,054	30,020	21,049	51,060
2017-04-27	$64.19	$63.00	26.2%	7.5%	9.0%	17.3%	25.4%	2.5%	-12.8%	-834	-134.9M	-913	1.43	105.82	N/A	N/A	21,054	30,020	21,049	51,060
2017-04-28	$64.19	$63.00	13.5%	3.9%	8.9%	5.5%	20.4%	3.1%	12.8%	-837	-135.0M	-885	1.27	125.16	N/A	N/A	33,054	42,020	21,049	51,060