AAXJ Options History — July 2017

In July 2017, AAXJ traded between $66.79 and $71.20. ATM implied volatility averaged 10.9%, placing in the 3.1% IV rank vs the trailing year. The 30-day expected move averaged 3.2%. IV traded below realized volatility by 1.0% (HV 20d: 11.9%). Max pain ranged from $67.00 to $69.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 14 of 20 days. Put/call ratio averaged 1.00.

Notable Days

2017-07-31: Highest Volume — 25,157 contracts
2017-07-12: Largest IV spike — 24.0% change
2017-07-06: Highest IV Rank — 4.6%
2017-07-07: Largest Expected Move — 4.0%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$69.52	$66.79	$71.20	$67.63	$70.86
Max Pain	$67.50	$67.00	$69.00	$69.00	$68.00
ATM IV	10.9%	9.9%	12.6%	11.2%	10.3%
Expected Move	3.2%	2.8%	4.0%	3.2%	3.0%
HV 20d	11.9%	10.5%	13.1%	11.4%	10.5%
HV 60d	10.5%	10.0%	10.9%	10.0%	10.5%
IV Rank	3.1%	2.2%	4.6%	3.3%	2.5%
IV Percentile	4.4%	2.0%	9.5%	3.6%	3.6%
Term Structure	0.2%	-1.9%	1.0%	-0.6%	1.0%
VWIV	12.2%	8.6%	15.8%	10.1%	14.3%
Skew 25d	3.2%	1.4%	5.9%	5.9%	1.8%
Skew 10d	7.1%	2.6%	10.6%	3.6%	7.7%
Call IV 25d	9.6%	6.9%	12.1%	7.2%	9.9%
Put IV 25d	12.8%	11.3%	15.8%	13.1%	11.7%
Bid-Ask Spread %	103.86	91.43	124.17	124.17	101.56
Gamma HHI	0.60	0.50	0.68	0.53	0.66
Net GEX	7.3M	1.7M	10.8M	3.5M	10.3M
Net DEX	-44.0M	-107.0M	41.7M	19.6M	-94.6M
Net VEX	-1.4M	-1.5M	-1.3M	-1.4M	-1.4M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	1.00	1.00	1.00	1.00	1.00
Total Volume	25,111.9	25,078	25,157	25,078	25,157
Total OI	105,118.5	105,083	105,162	105,083	105,162

Daily Data (20 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
2017-07-03	$67.63	$69.00	11.2%	3.2%	11.4%	3.3%	10.1%	5.9%	-0.6%	3.5M	19.6M	-1.4M	1.00	124.17	N/A	N/A	12,543	12,535	52,549	52,534
2017-07-05	$67.58	$67.00	10.8%	3.1%	11.4%	3.0%	10.0%	4.2%	0.9%	2.9M	32.7M	-1.3M	1.00	118.84	N/A	N/A	12,543	12,535	52,550	52,535
2017-07-06	$66.79	$67.00	12.6%	3.7%	12.1%	4.6%	13.1%	2.6%	0.0%	1.7M	41.0M	-1.4M	1.00	94.17	N/A	N/A	12,543	12,535	52,550	52,535
2017-07-07	$66.97	$67.00	12.3%	4.0%	11.7%	4.3%	14.1%	3.6%	-1.9%	2.0M	41.7M	-1.3M	1.00	93.86	N/A	N/A	12,543	12,535	52,550	52,535
2017-07-10	$67.47	$67.00	10.4%	3.6%	11.6%	2.7%	13.1%	3.0%	-0.3%	2.7M	35.1M	-1.3M	1.00	102.94	N/A	N/A	12,544	12,535	52,550	52,535
2017-07-11	$68.14	$67.00	10.1%	3.7%	11.8%	2.4%	14.3%	4.1%	-0.3%	4.1M	18.9M	-1.3M	1.00	103.43	N/A	N/A	12,545	12,535	52,551	52,535
2017-07-12	$69.35	$67.00	12.6%	3.6%	13.0%	4.6%	14.5%	4.8%	-0.4%	6.5M	-28.6M	-1.4M	1.00	108.11	N/A	N/A	12,547	12,537	52,552	52,535
2017-07-13	$69.54	$67.00	10.8%	3.1%	13.0%	3.0%	13.5%	1.4%	0.9%	7.3M	-38.8M	-1.4M	1.00	110.48	N/A	N/A	12,550	12,537	52,554	52,537
2017-07-14	$70.25	$67.00	10.7%	3.1%	12.8%	2.9%	12.8%	4.8%	-0.6%	9.6M	-66.6M	-1.4M	1.00	116.63	N/A	N/A	12,591	12,537	52,556	52,537
2017-07-17	$69.84	$67.00	11.5%	3.3%	13.1%	3.6%	13.5%	3.7%	0.2%	8.3M	-59.1M	-1.5M	1.00	97.27	N/A	N/A	12,591	12,537	52,598	52,537
2017-07-18	$70.11	$67.00	10.8%	3.1%	12.5%	3.0%	11.7%	4.3%	0.1%	8.6M	-63.8M	-1.4M	1.00	109.18	N/A	N/A	12,591	12,537	52,598	52,537
2017-07-19	$70.57	$67.00	10.4%	3.0%	11.7%	2.7%	11.4%	2.0%	0.7%	9.6M	-85.3M	-1.4M	1.00	91.43	N/A	N/A	12,581	12,549	52,598	52,537
2017-07-20	$70.52	$68.00	10.7%	3.1%	11.8%	2.9%	10.1%	3.0%	0.4%	9.0M	-81.8M	-1.4M	1.00	103.23	N/A	N/A	12,591	12,549	52,599	52,549
2017-07-21	$70.47	$68.00	10.8%	3.1%	11.8%	3.0%	14.6%	2.6%	0.8%	9.5M	-79.1M	-1.4M	1.00	100.16	N/A	N/A	12,591	12,549	52,609	52,549
2017-07-24	$70.93	$68.00	10.4%	3.0%	11.9%	2.7%	9.7%	2.6%	0.5%	9.9M	-95.5M	-1.4M	1.00	94.13	N/A	N/A	12,572	12,548	52,591	52,548
2017-07-25	$70.81	$68.00	10.1%	2.9%	11.7%	2.4%	8.6%	2.2%	0.7%	10.0M	-96.2M	-1.4M	1.00	103.01	N/A	N/A	12,572	12,548	52,591	52,548
2017-07-26	$71.20	$68.00	9.9%	2.8%	11.2%	2.2%	9.9%	2.2%	0.8%	10.8M	-107.0M	-1.4M	1.00	98.71	N/A	N/A	12,572	12,548	52,591	52,548
2017-07-27	$70.70	$68.00	10.6%	3.0%	11.7%	2.8%	9.8%	2.2%	0.5%	10.3M	-86.4M	-1.4M	1.00	101.22	N/A	N/A	12,572	12,570	52,591	52,548
2017-07-28	$70.72	$68.00	10.3%	3.0%	10.6%	2.5%	15.8%	2.3%	0.5%	10.1M	-86.6M	-1.4M	1.00	104.66	N/A	N/A	12,572	12,571	52,591	52,570
2017-07-31	$70.86	$68.00	10.3%	3.0%	10.5%	2.5%	14.3%	1.8%	1.0%	10.3M	-94.6M	-1.4M	1.00	101.56	N/A	N/A	12,581	12,576	52,591	52,571