AAXJ Options History — August 2017

In August 2017, AAXJ traded between $69.17 and $72.11. ATM implied volatility averaged 13.2%, placing in the 5.2% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.2% (HV 20d: 12.0%). Max pain ranged from $63.00 to $71.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 20 of 23 days. Put/call ratio averaged 44.41.

Notable Days

2017-08-01: Highest Volume — 32,665 contracts
2017-08-29: Largest IV spike — 284.4% change
2017-08-29: Highest IV Rank — 33.1%
2017-08-29: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$70.96	$69.17	$72.11	$71.29	$72.08
Max Pain	$63.61	$63.00	$71.00	$71.00	$63.00
ATM IV	13.2%	9.4%	43.4%	10.7%	10.6%
Expected Move	3.8%	2.9%	12.4%	3.1%	3.0%
HV 20d	12.0%	8.0%	13.9%	10.5%	13.5%
HV 60d	11.4%	10.4%	12.0%	10.5%	11.9%
IV Rank	5.2%	1.7%	33.1%	2.9%	2.8%
IV Percentile	16.2%	1.2%	66.3%	6.0%	7.9%
Term Structure	-0.5%	-39.5%	2.5%	0.7%	2.0%
VWIV	15.4%	12.3%	24.5%	13.0%	16.4%
Skew 25d	3.8%	2.7%	16.5%	3.3%	2.8%
Skew 10d	10.3%	5.4%	37.9%	6.2%	8.3%
Call IV 25d	10.9%	8.3%	15.6%	8.3%	9.4%
Put IV 25d	14.6%	11.6%	32.1%	11.6%	12.2%
Bid-Ask Spread %	95.01	74.54	127.02	99.84	108.47
Gamma HHI	0.56	0.49	0.68	0.68	0.58
Net GEX	13.0M	8.4M	16.3M	11.1M	16.2M
Net DEX	-64.9M	-128.8M	9.5M	-108.6M	-128.8M
Net VEX	-1.6M	-1.7M	-1.4M	-1.4M	-1.6M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	44.41	0.45	90.91	0.45	90.10
Total Volume	17,752.391	10,202	32,665	32,665	10,203
Total OI	130,717.304	105,176	132,272	105,176	132,191

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
2017-08-01	$71.29	$71.00	10.7%	3.1%	10.5%	2.9%	13.0%	3.3%	0.7%	11.1M	-108.6M	-1.4M	0.45	99.84	N/A	N/A	22,586	10,079	52,600	52,576
2017-08-02	$71.13	$69.00	10.3%	2.9%	10.6%	2.5%	17.6%	3.1%	0.8%	11.3M	-58.9M	-1.6M	0.48	108.54	N/A	N/A	21,038	10,079	62,605	62,579
2017-08-03	$70.82	$63.00	9.8%	3.2%	9.6%	2.1%	13.3%	2.7%	1.8%	13.0M	-52.2M	-1.7M	0.48	93.96	N/A	N/A	21,040	10,079	69,693	62,579
2017-08-04	$71.11	$63.00	9.4%	3.2%	9.6%	1.7%	14.1%	2.8%	2.1%	12.7M	-71.7M	-1.7M	0.48	92.36	N/A	N/A	21,040	10,079	69,593	62,579
2017-08-07	$71.45	$63.00	10.6%	3.2%	9.5%	2.8%	12.6%	2.9%	1.9%	14.7M	-81.2M	-1.7M	0.48	87.33	N/A	N/A	21,040	10,079	69,593	62,578
2017-08-08	$71.57	$63.00	10.5%	3.1%	9.1%	2.7%	12.8%	2.8%	1.9%	14.9M	-86.7M	-1.7M	0.48	83.68	N/A	N/A	21,041	10,079	69,593	62,578
2017-08-09	$70.98	$63.00	12.2%	3.5%	8.0%	4.3%	17.1%	2.8%	1.2%	12.5M	-61.0M	-1.7M	0.48	90.77	N/A	N/A	21,041	10,079	69,594	62,578
2017-08-10	$69.17	$63.00	15.7%	4.5%	12.4%	7.5%	20.3%	3.9%	-0.2%	8.4M	9.5M	-1.6M	0.80	87.83	N/A	N/A	12,619	10,087	69,594	62,578
2017-08-11	$69.33	$63.00	15.9%	4.6%	11.8%	7.7%	21.9%	4.1%	-0.5%	8.4M	6.5M	-1.6M	0.80	82.40	N/A	N/A	12,619	10,132	69,569	62,591
2017-08-14	$70.09	$63.00	13.3%	3.8%	12.4%	5.3%	13.8%	3.4%	1.0%	10.2M	-29.2M	-1.6M	72.37	74.54	N/A	N/A	140	10,132	69,569	62,636
2017-08-15	$70.04	$63.00	11.9%	3.4%	12.3%	4.0%	14.6%	3.4%	1.9%	10.6M	-17.1M	-1.5M	64.13	95.70	N/A	N/A	158	10,132	69,590	62,636
2017-08-16	$70.62	$63.00	10.8%	3.1%	12.4%	3.0%	14.2%	3.2%	2.5%	13.0M	-52.9M	-1.5M	63.33	96.64	N/A	N/A	160	10,132	69,600	62,636
2017-08-17	$69.81	$63.00	13.5%	3.9%	13.1%	5.5%	18.8%	4.3%	0.8%	10.1M	-12.6M	-1.5M	59.25	82.67	N/A	N/A	171	10,132	69,602	62,636
2017-08-18	$70.28	$63.00	13.2%	3.8%	13.3%	5.2%	14.4%	3.6%	0.8%	12.1M	-25.0M	-1.5M	61.84	95.24	N/A	N/A	164	10,141	69,617	62,626
2017-08-21	$70.43	$63.00	13.5%	3.9%	13.1%	5.4%	17.2%	3.2%	0.9%	11.5M	-36.7M	-1.6M	72.05	87.81	N/A	N/A	140	10,087	69,600	62,588
2017-08-22	$71.30	$63.00	11.9%	3.4%	13.9%	4.0%	14.2%	3.5%	1.2%	14.3M	-74.3M	-1.6M	72.08	99.49	N/A	N/A	140	10,091	69,600	62,588
2017-08-23	$71.49	$63.00	12.0%	3.4%	13.7%	4.1%	13.4%	2.9%	1.5%	14.2M	-88.5M	-1.6M	72.08	103.62	N/A	N/A	140	10,091	69,593	62,592
2017-08-24	$71.81	$63.00	11.1%	3.2%	13.5%	3.3%	12.9%	2.8%	1.3%	16.2M	-98.7M	-1.6M	68.18	99.82	N/A	N/A	148	10,091	69,593	62,592
2017-08-25	$72.11	$63.00	11.5%	3.3%	13.6%	3.7%	12.7%	2.7%	1.1%	16.3M	-118.8M	-1.6M	69.59	88.69	N/A	N/A	145	10,091	69,600	62,592
2017-08-28	$71.78	$63.00	11.3%	3.2%	13.7%	3.4%	12.9%	3.0%	1.2%	15.9M	-112.2M	-1.5M	69.59	106.22	N/A	N/A	145	10,091	69,598	62,592
2017-08-29	$71.63	$63.00	43.4%	12.4%	13.6%	33.1%	24.5%	16.5%	-39.5%	14.7M	-76.1M	-1.5M	90.91	127.02	N/A	N/A	111	10,091	69,598	62,592
2017-08-30	$71.85	$63.00	10.8%	3.1%	13.6%	3.0%	12.3%	2.9%	2.1%	16.0M	-117.7M	-1.5M	90.91	92.65	N/A	N/A	111	10,091	69,599	62,592
2017-08-31	$72.08	$63.00	10.6%	3.0%	13.5%	2.8%	16.4%	2.8%	2.0%	16.2M	-128.8M	-1.6M	90.10	108.47	N/A	N/A	112	10,091	69,599	62,592