AAXJ Options History — February 2020

In February 2020, AAXJ traded between $67.55 and $74.05. ATM implied volatility averaged 20.9%, placing in the 41.2% IV rank vs the trailing year. The 30-day expected move averaged 6.0%. IV traded below realized volatility by 3.5% (HV 20d: 24.4%). Max pain ranged from $70.00 to $71.00. Net GEX was positive for 19 of 19 trading days. Term structure was in contango for 8 of 19 days. Put/call ratio averaged 3.54.

Notable Days

2020-02-25: Highest Volume — 632 contracts
2020-02-28: Largest IV spike — 32.2% change
2020-02-27: Highest IV Rank — 100.0%
2020-02-28: Largest Expected Move — 12.4%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$71.33	$67.55	$74.05	$69.59	$67.55
Max Pain	$70.16	$70.00	$71.00	$71.00	$70.00
ATM IV	20.9%	16.2%	43.3%	20.0%	43.3%
Expected Move	6.0%	4.6%	12.4%	5.7%	12.4%
HV 20d	24.4%	21.5%	26.3%	21.5%	23.9%
HV 60d	18.2%	16.4%	19.5%	16.4%	19.5%
IV Rank	41.2%	19.7%	100.0%	40.2%	100.0%
IV Percentile	79.4%	53.2%	100.0%	91.7%	100.0%
Term Structure	-1.3%	-10.5%	0.9%	-0.6%	-10.5%
VWIV	23.8%	15.6%	63.3%	21.5%	63.3%
Skew 25d	4.6%	2.4%	12.9%	4.3%	12.9%
Skew 10d	10.3%	5.6%	28.2%	11.4%	28.2%
Call IV 25d	19.2%	15.1%	39.6%	19.0%	39.6%
Put IV 25d	23.8%	18.2%	52.5%	23.2%	52.5%
Bid-Ask Spread %	43.98	28.81	58.00	58.00	41.05
Gamma HHI	0.27	0.22	0.35	0.33	0.22
Net GEX	460.6K	263.2K	591.8K	364.4K	263.2K
Net DEX	-5.1M	-9.3M	-343.3K	-2.6M	-343.3K
Net VEX	-22.0K	-25.1K	-19.1K	-25.0K	-21.7K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	3.54	0.02	16.00	0.41	11.33
Total Volume	71.947	3	632	14	37
Total OI	3,158.684	2,904	3,556	2,904	3,538

Daily Data (19 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
2020-02-03	$69.59	$71.00	20.0%	5.7%	21.5%	40.2%	21.5%	4.3%	-0.6%	364.4K	-2.6M	-25.0K	0.00	58.00	N/A	N/A	0	14	1,971	933
2020-02-04	$71.70	$71.00	18.1%	5.2%	24.5%	29.6%	22.7%	2.6%	-0.4%	445.2K	-5.8M	-25.1K	0.41	56.65	N/A	N/A	44	18	1,971	945
2020-02-05	$72.03	$71.00	18.2%	5.2%	24.5%	30.3%	17.6%	3.5%	-0.6%	470.1K	-6.3M	-24.4K	0.78	52.17	N/A	N/A	9	7	1,996	949
2020-02-06	$72.44	$70.00	17.6%	5.0%	24.5%	27.0%	17.1%	4.0%	-0.3%	467.8K	-6.7M	-23.6K	0.50	31.28	N/A	N/A	2	1	1,991	956
2020-02-07	$71.44	$70.00	18.4%	5.3%	24.7%	31.2%	16.0%	4.2%	-0.4%	452.7K	-5.1M	-24.2K	0.14	30.00	N/A	N/A	21	3	1,991	957
2020-02-10	$72.06	$70.00	17.5%	5.1%	24.8%	26.7%	26.5%	3.5%	0.2%	484.6K	-6.2M	-23.1K	4.00	28.81	N/A	N/A	1	4	2,012	960
2020-02-11	$72.88	$70.00	16.8%	4.9%	24.3%	22.9%	15.6%	3.4%	0.1%	506.8K	-7.5M	-21.8K	0.02	37.76	N/A	N/A	111	2	2,013	964
2020-02-12	$74.05	$70.00	16.3%	4.7%	25.1%	20.3%	18.5%	3.0%	0.4%	567.2K	-9.3M	-20.8K	2.00	42.60	N/A	N/A	1	2	2,112	964
2020-02-13	$73.10	$70.00	16.8%	4.8%	25.4%	23.0%	16.4%	2.4%	0.5%	551.9K	-8.2M	-20.6K	2.27	39.32	N/A	N/A	22	50	2,102	966
2020-02-14	$73.09	$70.00	16.6%	4.8%	25.2%	21.8%	21.9%	2.8%	0.6%	575.5K	-8.1M	-20.5K	16.00	45.80	N/A	N/A	1	16	2,123	1,016
2020-02-18	$72.62	$70.00	16.6%	4.8%	25.1%	21.8%	21.8%	4.0%	0.3%	570.3K	-7.3M	-19.6K	0.00	48.75	N/A	N/A	0	17	2,122	1,032
2020-02-19	$73.10	$70.00	16.2%	4.6%	23.6%	19.7%	18.6%	3.1%	0.9%	591.8K	-8.3M	-19.1K	0.00	49.91	N/A	N/A	0	152	2,122	1,069
2020-02-20	$71.92	$70.00	17.4%	5.0%	24.1%	26.3%	20.5%	3.5%	0.3%	505.9K	-5.7M	-21.3K	0.00	51.16	N/A	N/A	0	14	2,122	1,220
2020-02-21	$71.51	$70.00	18.0%	5.2%	24.0%	29.2%	23.5%	3.7%	-0.1%	505.5K	-4.9M	-22.0K	0.18	48.10	N/A	N/A	39	7	2,122	1,234
2020-02-24	$69.19	$70.00	23.1%	6.6%	26.3%	56.6%	24.4%	4.9%	-1.8%	350.1K	-915.3K	-20.6K	6.44	50.55	N/A	N/A	9	58	2,074	1,125
2020-02-25	$68.95	$70.00	26.9%	7.7%	23.9%	77.1%	24.3%	7.0%	-3.2%	297.4K	-483.7K	-20.5K	0.04	43.75	N/A	N/A	609	23	2,080	1,168
2020-02-26	$69.44	$70.00	27.2%	7.8%	24.0%	78.6%	30.1%	6.6%	-3.6%	436.1K	-1.7M	-22.6K	0.00	43.48	N/A	N/A	0	47	2,377	1,179
2020-02-27	$68.58	$70.00	32.8%	9.4%	24.1%	100.0%	31.7%	8.5%	-5.8%	344.9K	-821.2K	-22.0K	5.50	36.42	N/A	N/A	4	22	2,377	1,162
2020-02-28	$67.55	$70.00	43.3%	12.4%	23.9%	100.0%	63.3%	12.9%	-10.5%	263.2K	-343.3K	-21.7K	11.33	41.05	N/A	N/A	3	34	2,376	1,162