AAXJ Options History — June 2017

In June 2017, AAXJ traded between $67.10 and $68.38. ATM implied volatility averaged 37.5%, placing in the 27.7% IV rank vs the trailing year. The 30-day expected move averaged 8.3%. IV traded above realized volatility by 27.2% (HV 20d: 10.3%). Max pain ranged from $54.00 to $69.00. Net GEX was positive for 15 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.37.

Notable Days

2017-06-22: Highest Volume — 105,042 contracts
2017-06-05: Largest IV spike — 529.1% change
2017-06-12: Highest IV Rank — 75.3%
2017-06-20: Largest Expected Move — 18.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$67.66	$67.10	$68.38	$67.33	$67.61
Max Pain	$61.50	$54.00	$69.00	$54.00	$69.00
ATM IV	37.5%	8.7%	89.1%	30.8%	12.1%
Expected Move	8.3%	2.5%	18.1%	8.8%	3.5%
HV 20d	10.3%	9.0%	11.4%	9.8%	11.4%
HV 60d	9.5%	8.9%	10.1%	10.0%	10.0%
IV Rank	27.7%	1.0%	75.3%	21.5%	4.2%
IV Percentile	47.7%	0.4%	98.0%	66.7%	6.7%
Term Structure	-6.6%	-39.8%	15.7%	11.9%	-0.5%
VWIV	27.8%	7.6%	99.4%	99.4%	7.6%
Skew 25d	1.3%	-44.2%	20.2%	-0.3%	5.2%
Skew 10d	4.8%	-33.0%	23.7%	-33.0%	8.3%
Call IV 25d	35.6%	6.9%	80.9%	52.5%	7.9%
Put IV 25d	36.9%	10.8%	83.4%	52.3%	13.0%
Bid-Ask Spread %	139.76	105.99	168.69	140.00	118.83
Gamma HHI	0.38	0.16	0.57	0.28	0.52
Net GEX	1.1M	-373.5K	5.0M	-42.1K	3.0M
Net DEX	-51.8M	-104.6M	40.3M	-102.5M	22.3M
Net VEX	-441.1K	-1.5M	-397	-3.1K	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.37	0.00	1.00	0.00	1.00
Total Volume	26,759.955	42	105,042	21,085	25,080
Total OI	68,504.318	45	105,083	66,367	105,083

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
2017-06-01	$67.33	$54.00	30.8%	8.8%	9.8%	21.5%	99.4%	-0.3%	11.9%	-42.1K	-102.5M	-3.1K	0.00	140.00	N/A	N/A	21,062	23	15,304	51,063
2017-06-02	$67.76	$54.00	8.7%	2.5%	9.3%	1.0%	10.4%	2.2%	1.4%	18.3K	-103.6M	-397	0.00	126.00	N/A	N/A	21,072	23	15,304	51,063
2017-06-05	$67.72	$0.00	54.5%	8.6%	9.4%	43.4%	0.0%	4.8%	-5.9%	3.7K	-103.5M	-767	0.00	135.92	N/A	N/A	21,072	23	15,314	51,063
2017-06-06	$67.84	$0.00	55.8%	7.5%	9.3%	44.5%	0.0%	0.8%	-9.5%	-67.8K	-103.1M	-4.5K	0.00	143.92	N/A	N/A	21,072	23	15,314	51,063
2017-06-07	$67.78	$0.00	58.8%	7.6%	9.0%	47.3%	0.0%	20.2%	-9.8%	8.7K	-103.6M	-768	0.00	144.50	N/A	N/A	21,072	23	15,314	51,063
2017-06-08	$68.36	$0.00	11.3%	3.2%	9.2%	3.5%	0.0%	5.7%	1.6%	16.8K	-104.6M	-479	0.00	128.05	N/A	N/A	21,074	23	15,314	51,063
2017-06-09	$67.73	$0.00	69.1%	8.3%	10.1%	56.8%	0.0%	1.1%	15.7%	-12.4K	-103.4M	-1.3K	0.00	135.99	N/A	N/A	21,074	24	15,316	51,063
2017-06-12	$67.25	$0.00	89.1%	8.2%	10.5%	75.3%	0.0%	0.7%	7.9%	-151.5K	-102.0M	-3.5K	0.00	143.48	N/A	N/A	21,074	24	15,316	51,064
2017-06-13	$67.83	$0.00	56.9%	16.2%	10.7%	45.6%	0.0%	2.4%	-21.5%	-87.3K	-102.9M	-2.9K	0.00	163.37	N/A	N/A	21,074	24	15,316	51,064
2017-06-14	$67.68	$0.00	57.3%	16.4%	10.7%	45.9%	0.0%	2.2%	-22.3%	-373.5K	-100.2M	-6.8K	0.00	168.17	N/A	N/A	21,074	24	15,316	51,064
2017-06-15	$67.10	$0.00	58.8%	16.9%	10.0%	47.3%	0.0%	2.3%	-22.7%	-7.9K	-102.6M	-677	0.00	168.69	N/A	N/A	21,074	24	15,316	51,064
2017-06-16	$67.14	$0.00	59.7%	17.1%	10.0%	48.1%	0.0%	1.9%	-19.5%	6.7K	-102.7M	-622	0.00	162.63	N/A	N/A	21,071	24	15,315	51,064
2017-06-19	$67.96	$0.00	61.4%	17.6%	10.2%	49.7%	0.0%	-44.2%	-38.7%	6.8K	-205.5K	-600	0.02	167.06	N/A	N/A	41	1	48	1
2017-06-20	$67.20	$0.00	63.1%	18.1%	11.0%	51.3%	0.0%	2.6%	-39.8%	6.7K	-195.6K	-609	0.02	168.48	N/A	N/A	41	1	48	1
2017-06-21	$67.38	$0.00	11.6%	3.3%	10.8%	3.7%	0.0%	4.4%	0.6%	13.1K	-195.3K	-456	1.00	142.29	N/A	N/A	40,041	40,001	44	1
2017-06-22	$67.70	$0.00	11.0%	3.2%	10.8%	3.2%	0.0%	3.4%	1.1%	3.4M	-7.2M	-1.1M	1.00	116.38	N/A	N/A	52,541	52,501	40,044	40,001
2017-06-23	$67.84	$0.00	10.0%	2.9%	10.4%	2.3%	0.0%	1.4%	1.3%	3.6M	15.7M	-1.5M	1.00	141.34	N/A	N/A	12,542	12,502	52,544	52,501
2017-06-26	$68.38	$0.00	9.5%	2.7%	10.8%	1.8%	0.0%	3.8%	2.2%	5.0M	-2.2M	-1.5M	1.00	120.98	N/A	N/A	12,542	12,502	52,545	52,502
2017-06-27	$67.83	$0.00	11.6%	3.3%	11.2%	3.7%	0.0%	2.4%	-0.2%	4.1M	11.0M	-1.4M	1.00	118.36	N/A	N/A	12,542	12,534	52,545	52,502
2017-06-28	$67.92	$0.00	10.9%	3.1%	11.0%	3.1%	9.4%	3.3%	1.0%	3.3M	15.5M	-1.5M	1.00	114.40	N/A	N/A	12,546	12,534	52,548	52,534
2017-06-29	$67.15	$69.00	13.3%	3.8%	11.4%	5.3%	12.0%	2.6%	-0.4%	1.9M	40.3M	-1.4M	1.00	105.99	N/A	N/A	12,546	12,534	52,549	52,534
2017-06-30	$67.61	$69.00	12.1%	3.5%	11.4%	4.2%	7.6%	5.2%	-0.5%	3.0M	22.3M	-1.4M	1.00	118.83	N/A	N/A	12,546	12,534	52,549	52,534