AAXJ Options History — October 2017

In October 2017, AAXJ traded between $72.47 and $75.42. ATM implied volatility averaged 13.0%, placing in the 5.0% IV rank vs the trailing year. The 30-day expected move averaged 3.8%. IV traded above realized volatility by 1.9% (HV 20d: 11.0%). Max pain ranged from $70.00 to $73.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 22 of 22 days. Put/call ratio averaged 138.45.

Notable Days

2017-10-10: Highest Volume — 92,468 contracts
2017-10-20: Largest IV drop — 13.1% change
2017-10-25: Highest IV Rank — 6.1%
2017-10-25: Largest Expected Move — 4.1%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$74.38	$72.47	$75.42	$72.47	$75.28
Max Pain	$72.00	$70.00	$73.00	$73.00	$71.00
ATM IV	13.0%	11.9%	14.2%	12.5%	14.0%
Expected Move	3.8%	3.5%	4.1%	3.6%	4.0%
HV 20d	11.0%	9.5%	12.3%	12.3%	9.6%
HV 60d	11.6%	11.4%	12.0%	11.9%	12.0%
IV Rank	5.0%	4.0%	6.1%	4.6%	5.9%
IV Percentile	31.9%	21.4%	42.5%	25.4%	42.5%
Term Structure	0.8%	0.4%	1.3%	1.0%	0.5%
VWIV	14.5%	12.4%	16.0%	14.7%	15.7%
Skew 25d	2.9%	2.0%	3.8%	2.8%	3.2%
Skew 10d	8.5%	6.6%	11.5%	9.0%	11.5%
Call IV 25d	12.0%	11.1%	13.4%	11.2%	12.2%
Put IV 25d	14.9%	13.4%	17.2%	14.0%	15.4%
Bid-Ask Spread %	64.86	21.47	106.67	104.14	30.39
Gamma HHI	0.30	0.28	0.32	0.29	0.32
Net GEX	29.7M	21.9M	34.8M	21.9M	33.4M
Net DEX	-315.0M	-403.3M	-148.3M	-148.3M	-395.3M
Net VEX	-1.6M	-1.9M	-1.3M	-1.9M	-1.3M
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	138.45	1.39	264.01	1.39	208.23
Total Volume	55,566.273	42,221	92,468	72,374	42,264
Total OI	208,008.5	207,003	209,497	209,397	207,443

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
2017-10-02	$72.47	$73.00	12.5%	3.6%	12.3%	4.6%	14.7%	2.8%	1.0%	21.9M	-148.3M	-1.9M	1.39	104.14	N/A	N/A	30,310	42,064	99,821	109,576
2017-10-03	$73.33	$73.00	12.5%	3.6%	11.9%	4.6%	12.8%	2.7%	0.9%	24.4M	-220.5M	-1.9M	1.39	103.92	N/A	N/A	30,367	42,073	99,824	109,577
2017-10-04	$73.36	$73.00	12.5%	3.6%	11.9%	4.6%	12.4%	2.2%	0.9%	24.5M	-220.9M	-1.9M	1.39	106.67	N/A	N/A	30,367	42,083	99,872	109,567
2017-10-05	$73.95	$70.00	11.9%	3.7%	12.0%	4.0%	14.1%	2.6%	0.7%	27.7M	-271.3M	-1.8M	1.39	70.95	N/A	N/A	30,374	42,093	99,872	109,577
2017-10-06	$73.53	$72.00	12.2%	3.8%	12.1%	4.2%	14.4%	3.2%	0.6%	25.4M	-229.2M	-1.8M	1.39	69.67	N/A	N/A	30,374	42,092	99,879	109,587
2017-10-09	$73.75	$72.00	12.5%	3.8%	11.2%	4.6%	14.7%	3.2%	0.5%	25.1M	-244.1M	-1.8M	1.39	70.65	N/A	N/A	30,378	42,086	99,888	109,601
2017-10-10	$74.46	$72.00	12.8%	3.9%	11.6%	4.8%	14.9%	2.8%	0.6%	27.7M	-310.7M	-1.7M	2.04	51.03	N/A	N/A	30,378	62,090	99,892	109,605
2017-10-11	$74.63	$72.00	12.7%	3.6%	11.5%	4.7%	14.8%	2.9%	0.8%	29.9M	-330.3M	-1.7M	1.39	53.23	N/A	N/A	30,374	42,090	99,892	107,111
2017-10-12	$74.59	$72.00	12.6%	3.6%	11.5%	4.6%	14.4%	2.7%	0.6%	32.0M	-339.9M	-1.6M	1.39	57.04	N/A	N/A	30,234	42,090	99,901	107,111
2017-10-13	$75.19	$72.00	12.2%	3.5%	11.6%	4.3%	13.9%	2.2%	0.7%	31.4M	-386.6M	-1.6M	171.10	56.34	N/A	N/A	246	42,090	99,903	107,111
2017-10-16	$75.42	$72.00	12.3%	3.5%	11.2%	4.4%	13.7%	2.0%	0.5%	31.4M	-403.3M	-1.5M	264.01	81.82	N/A	N/A	161	42,505	99,911	107,111
2017-10-17	$75.03	$73.00	12.7%	3.6%	11.4%	4.7%	14.5%	2.8%	1.1%	30.0M	-370.3M	-1.5M	244.30	58.44	N/A	N/A	174	42,509	99,917	107,526
2017-10-18	$75.23	$73.00	12.8%	3.7%	11.2%	4.8%	14.8%	2.9%	1.0%	31.7M	-397.6M	-1.5M	249.98	59.51	N/A	N/A	170	42,497	99,932	107,531
2017-10-19	$74.47	$73.00	14.0%	4.0%	11.9%	6.0%	15.0%	3.1%	0.7%	27.8M	-306.9M	-1.6M	227.58	61.38	N/A	N/A	185	42,102	99,950	107,538
2017-10-20	$74.85	$73.00	12.2%	3.5%	11.6%	4.3%	13.7%	2.7%	1.3%	34.8M	-376.6M	-1.4M	233.90	67.17	N/A	N/A	180	42,102	99,970	107,548
2017-10-23	$74.41	$73.00	13.7%	3.9%	9.5%	5.7%	14.5%	3.1%	1.0%	31.6M	-327.7M	-1.5M	237.62	61.98	N/A	N/A	177	42,059	99,930	107,500
2017-10-24	$74.41	$71.00	13.6%	3.9%	9.5%	5.6%	14.7%	2.9%	1.1%	32.0M	-332.4M	-1.5M	240.30	62.02	N/A	N/A	175	42,053	99,941	107,501
2017-10-25	$74.23	$71.00	14.2%	4.1%	9.5%	6.1%	15.4%	3.2%	0.4%	31.4M	-296.0M	-1.5M	241.65	57.71	N/A	N/A	174	42,047	99,941	107,501
2017-10-26	$74.16	$71.00	14.0%	4.0%	9.5%	5.9%	15.0%	3.1%	0.8%	31.3M	-306.4M	-1.4M	241.65	61.80	N/A	N/A	174	42,047	99,942	107,501
2017-10-27	$75.01	$71.00	13.2%	3.8%	9.6%	5.2%	15.2%	3.3%	0.7%	34.4M	-373.4M	-1.4M	236.22	59.49	N/A	N/A	178	42,047	99,942	107,501
2017-10-30	$74.58	$71.00	13.9%	4.0%	9.9%	5.9%	16.0%	3.8%	0.5%	33.6M	-343.2M	-1.3M	236.22	21.47	N/A	N/A	178	42,047	99,942	107,501
2017-10-31	$75.28	$71.00	14.0%	4.0%	9.6%	5.9%	15.7%	3.2%	0.5%	33.4M	-395.3M	-1.3M	208.23	30.39	N/A	N/A	202	42,062	99,942	107,501