AAXJ Options History — September 2023

In September 2023, AAXJ traded between $63.14 and $66.40. ATM implied volatility averaged 16.1%, placing in the 10.8% IV rank vs the trailing year. The 30-day expected move averaged 4.5%. IV traded above realized volatility by 2.8% (HV 20d: 13.4%). Max pain ranged from $49.79 to $65.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 16 of 20 days. Put/call ratio averaged 0.50.

Notable Days

2023-09-20: Highest Volume — 80 contracts
2023-09-27: Largest IV spike — 57.7% change
2023-09-27: Highest IV Rank — 24.1%
2023-09-27: Largest Expected Move — 6.5%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$64.81	$63.14	$66.40	$66.40	$63.48
Max Pain	$64.24	$49.79	$65.00	$49.79	$65.00
ATM IV	16.1%	10.9%	22.8%	21.1%	20.2%
Expected Move	4.5%	3.1%	6.5%	6.1%	5.8%
HV 20d	13.4%	12.2%	14.4%	14.4%	12.9%
HV 60d	16.7%	16.0%	17.3%	17.1%	16.0%
IV Rank	10.8%	0.4%	24.1%	20.8%	18.9%
IV Percentile	19.2%	0.4%	59.5%	47.6%	47.6%
Term Structure	1.6%	-6.3%	8.3%	-1.6%	0.5%
VWIV	16.1%	16.0%	16.3%	16.3%	16.0%
Skew 25d	1.2%	-9.5%	16.8%	0.5%	-9.5%
Skew 10d	3.6%	-1.3%	15.4%	2.3%	-1.3%
Call IV 25d	15.2%	9.8%	24.4%	16.7%	24.4%
Put IV 25d	16.4%	10.5%	29.9%	17.2%	14.9%
Bid-Ask Spread %	101.07	65.18	131.96	108.76	130.92
Gamma HHI	0.72	0.32	0.87	0.87	0.52
Net GEX	88.3K	27.3K	122.8K	122.2K	66.1K
Net DEX	-460.6K	-713.0K	-195.9K	-690.8K	-405.3K
Net VEX	-4.1K	-5.7K	-2.0K	-5.4K	-3.5K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.50	0.00	1.00	1.00	0.00
Total Volume	4.15	0	80	0	0
Total OI	664.15	632	713	640	713

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
2023-09-01	$66.40	$49.79	21.1%	6.1%	14.4%	20.8%	0.0%	0.5%	-1.6%	122.2K	-690.8K	-5.4K	0.00	108.76	N/A	N/A	0	0	610	30
2023-09-05	$66.09	$65.00	17.7%	4.8%	14.4%	13.8%	0.0%	2.5%	1.1%	122.8K	-713.0K	-5.7K	0.00	65.18	N/A	N/A	0	0	610	30
2023-09-06	$65.72	$65.00	17.2%	4.7%	13.8%	12.9%	0.0%	2.5%	-4.2%	107.0K	-603.4K	-5.3K	0.00	69.21	N/A	N/A	0	0	610	30
2023-09-07	$64.88	$65.00	17.9%	5.0%	14.2%	14.3%	0.0%	2.2%	1.1%	96.0K	-522.7K	-4.6K	0.00	72.11	N/A	N/A	0	0	610	30
2023-09-08	$64.91	$65.00	16.5%	4.4%	14.3%	11.5%	0.0%	2.8%	1.6%	114.6K	-436.4K	-4.4K	0.00	89.24	N/A	N/A	0	0	610	30
2023-09-11	$65.56	$65.00	17.9%	4.5%	13.7%	14.3%	16.3%	2.4%	1.0%	103.9K	-543.7K	-4.8K	1.00	69.77	N/A	N/A	1	1	610	30
2023-09-12	$65.52	$65.00	17.3%	4.5%	13.6%	13.2%	0.0%	2.3%	2.2%	98.5K	-510.7K	-4.6K	0.00	72.28	N/A	N/A	0	0	610	30
2023-09-13	$65.34	$65.00	10.9%	3.1%	12.7%	0.4%	0.0%	3.3%	4.2%	98.0K	-470.4K	-4.3K	0.00	106.82	N/A	N/A	0	0	610	30
2023-09-14	$65.82	$65.00	12.9%	3.7%	12.4%	4.3%	0.0%	-0.8%	7.0%	106.8K	-553.9K	-4.5K	0.00	98.80	N/A	N/A	0	0	610	30
2023-09-15	$65.44	$65.00	14.2%	4.1%	12.6%	7.0%	0.0%	-0.5%	8.3%	96.7K	-403.9K	-3.9K	0.00	116.46	N/A	N/A	0	0	610	30
2023-09-18	$65.38	$65.00	14.1%	4.0%	12.2%	6.8%	0.0%	1.3%	-6.3%	108.3K	-518.8K	-4.1K	0.00	116.05	N/A	N/A	0	0	607	25
2023-09-19	$65.00	$65.00	12.2%	3.5%	12.5%	2.9%	0.0%	-3.0%	6.9%	69.6K	-277.3K	-2.7K	0.00	120.29	N/A	N/A	0	0	607	25
2023-09-20	$64.70	$65.00	14.6%	4.2%	12.5%	7.8%	0.0%	1.8%	2.0%	78.5K	-338.8K	-3.2K	0.00	82.58	N/A	N/A	80	0	607	25
2023-09-21	$63.55	$65.00	16.4%	4.7%	12.9%	11.3%	0.0%	2.7%	1.0%	70.7K	-430.3K	-4.0K	0.00	83.73	N/A	N/A	0	0	687	25
2023-09-22	$64.41	$65.00	12.0%	3.4%	13.9%	2.5%	0.0%	16.8%	4.3%	89.3K	-481.2K	-4.0K	0.00	131.96	N/A	N/A	0	0	687	25
2023-09-25	$64.06	$65.00	16.5%	4.7%	14.0%	11.5%	0.0%	-1.5%	2.3%	66.1K	-379.1K	-3.4K	0.00	116.51	N/A	N/A	0	0	687	25
2023-09-26	$63.14	$65.00	14.4%	4.1%	14.3%	7.4%	16.0%	-5.9%	2.1%	56.7K	-320.9K	-3.1K	0.00	130.24	N/A	N/A	0	1	687	25
2023-09-27	$63.30	$65.00	22.8%	6.5%	12.9%	24.1%	0.0%	4.2%	-4.6%	67.1K	-415.8K	-3.6K	0.00	127.60	N/A	N/A	0	0	687	26
2023-09-28	$63.41	$65.00	16.0%	4.6%	12.9%	10.6%	0.0%	0.1%	3.4%	27.3K	-195.9K	-2.0K	0.00	112.78	N/A	N/A	0	0	687	26
2023-09-29	$63.48	$65.00	20.2%	5.8%	12.9%	18.9%	0.0%	-9.5%	0.5%	66.1K	-405.3K	-3.5K	0.00	130.92	N/A	N/A	0	0	687	26