AAXJ Options History — May 2017

In May 2017, AAXJ traded between $64.16 and $67.19. ATM implied volatility averaged 40.2%, placing in the 30.1% IV rank vs the trailing year. The 30-day expected move averaged 10.9%. IV traded above realized volatility by 31.0% (HV 20d: 9.1%). Max pain ranged from $54.00 to $70.00. Net GEX was positive for 4 of 22 trading days. Term structure was in contango for 9 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2017-05-01: Highest Volume — 75,085 contracts
2017-05-08: Largest IV spike — 327.6% change
2017-05-22: Highest IV Rank — 58.2%
2017-05-22: Largest Expected Move — 20.2%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.79	$64.16	$67.19	$64.53	$66.74
Max Pain	$56.18	$54.00	$70.00	$70.00	$54.00
ATM IV	40.2%	10.8%	70.6%	48.0%	28.2%
Expected Move	10.9%	3.1%	20.2%	13.8%	8.1%
HV 20d	9.1%	8.4%	9.7%	8.8%	9.7%
HV 60d	10.1%	9.8%	10.5%	9.9%	9.9%
IV Rank	30.1%	3.0%	58.2%	37.4%	19.0%
IV Percentile	63.7%	1.2%	91.7%	79.0%	65.1%
Term Structure	-7.9%	-48.8%	18.2%	-14.5%	-12.0%
VWIV	54.1%	8.8%	99.8%	50.4%	99.8%
Skew 25d	-1.1%	-72.0%	66.0%	-46.6%	-35.6%
Skew 10d	21.3%	-14.2%	64.0%	1.4%	29.6%
Call IV 25d	49.5%	8.1%	85.2%	61.1%	53.4%
Put IV 25d	48.4%	12.9%	79.4%	14.5%	17.8%
Bid-Ask Spread %	139.57	104.54	150.26	138.43	141.05
Gamma HHI	0.76	0.23	0.99	0.97	0.23
Net GEX	-886.8K	-2.5M	22.2K	-1.5M	-6.3K
Net DEX	-79.6M	-141.3M	-13.0M	-71.4M	-140.1M
Net VEX	-156.5K	-383.1K	-472	-259.5K	-2.2K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.27	1.27	0.00
Total Volume	41,541.909	21,085	75,085	75,085	21,085
Total OI	88,485.091	72,117	96,126	96,109	72,117

Daily Data (22 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
2017-05-01	$64.53	$70.00	48.0%	13.8%	8.8%	37.4%	50.4%	-46.6%	-14.5%	-1.5M	-71.4M	-259.5K	1.27	138.43	N/A	N/A	33,065	42,020	33,049	63,060
2017-05-02	$64.84	$70.00	44.8%	12.8%	8.6%	34.4%	51.7%	30.7%	-17.6%	-1.3M	-58.9M	-299.6K	1.27	143.07	N/A	N/A	33,065	42,020	33,060	63,060
2017-05-03	$64.58	$70.00	46.2%	13.2%	8.8%	35.7%	27.0%	-23.3%	-19.2%	-1.2M	-58.0M	-276.0K	1.27	142.34	N/A	N/A	33,065	42,020	33,060	63,060
2017-05-04	$64.16	$54.00	13.0%	3.5%	9.2%	5.0%	38.7%	39.0%	5.8%	-2.2K	-57.6M	-2.4K	0.36	121.56	N/A	N/A	33,065	12,024	33,060	63,060
2017-05-05	$64.24	$54.00	13.0%	6.5%	9.1%	5.0%	19.2%	57.2%	-17.5%	-56.3K	-56.2M	-18.4K	0.36	117.12	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-08	$64.60	$54.00	55.5%	8.4%	9.2%	44.3%	42.6%	29.8%	7.9%	1.2K	-86.7M	-80.2K	0.36	138.26	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-09	$65.25	$54.00	58.1%	8.6%	9.5%	46.7%	41.2%	27.1%	11.2%	-736.2K	-61.9M	-146.2K	0.36	139.12	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-10	$65.51	$54.00	29.9%	8.6%	9.1%	20.7%	42.6%	21.4%	3.1%	-677.1K	-88.0M	-176.6K	0.36	140.74	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-11	$65.73	$54.00	30.3%	8.7%	9.1%	21.0%	43.4%	16.7%	6.8%	-637.1K	-90.9M	-167.4K	0.36	140.96	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-12	$65.93	$54.00	44.4%	12.7%	9.1%	34.0%	43.0%	-9.8%	7.0%	-2.1M	-32.1M	-383.1K	0.36	144.67	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-15	$66.37	$54.00	47.5%	13.6%	9.1%	36.9%	45.9%	-12.7%	18.2%	-1.7M	-39.9M	-330.0K	0.36	143.70	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-16	$66.40	$54.00	46.9%	13.4%	8.4%	36.3%	79.1%	-16.0%	-18.8%	-2.5M	-36.5M	-311.6K	0.36	143.63	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-17	$65.52	$54.00	49.3%	14.1%	9.7%	38.6%	73.6%	-20.3%	-10.9%	-1.7M	-43.5M	-281.5K	0.36	150.17	N/A	N/A	33,065	12,024	33,060	63,064
2017-05-18	$65.62	$54.00	50.2%	14.4%	8.9%	39.3%	69.1%	-20.5%	-11.7%	-1.6M	-13.0M	-224.4K	0.36	150.26	N/A	N/A	33,067	12,024	33,060	63,064
2017-05-19	$66.33	$54.00	50.8%	14.6%	9.4%	39.9%	74.4%	-19.6%	-11.6%	-1.4M	-23.3M	-195.6K	0.36	148.62	N/A	N/A	33,067	12,024	33,062	63,064
2017-05-22	$66.67	$54.00	70.6%	20.2%	9.2%	58.2%	79.1%	-23.4%	-46.6%	-813.4K	-123.9M	-95.5K	0.00	148.42	N/A	N/A	21,062	23	21,057	51,063
2017-05-23	$66.31	$54.00	45.4%	13.0%	9.1%	35.0%	82.3%	-23.5%	7.3%	-1.1M	-114.2M	-129.4K	0.00	148.96	N/A	N/A	21,062	23	21,057	51,063
2017-05-24	$66.54	$54.00	46.0%	13.2%	9.1%	35.5%	77.4%	-72.0%	-9.1%	13.1K	-140.0M	-560	0.00	141.26	N/A	N/A	21,062	23	21,057	51,063
2017-05-25	$67.13	$54.00	12.1%	3.5%	9.4%	4.2%	13.3%	6.3%	-3.8%	16.5K	-141.3M	-499	0.00	140.34	N/A	N/A	21,062	23	21,057	51,063
2017-05-26	$67.19	$54.00	43.2%	12.4%	9.4%	32.9%	87.2%	66.0%	-48.8%	-522.9K	-131.6M	-61.0K	0.00	143.26	N/A	N/A	21,062	23	21,057	51,063
2017-05-30	$67.11	$54.00	10.8%	3.1%	9.4%	3.0%	8.8%	4.8%	0.5%	22.2K	-141.2M	-472	0.00	104.54	N/A	N/A	21,062	23	21,057	51,063
2017-05-31	$66.74	$54.00	28.2%	8.1%	9.7%	19.0%	99.8%	-35.6%	-12.0%	-6.3K	-140.1M	-2.2K	0.00	141.05	N/A	N/A	21,062	23	21,054	51,063