AAXJ Options History — December 2023

In December 2023, AAXJ traded between $64.10 and $66.59. ATM implied volatility averaged 15.6%, placing in the 9.8% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 1.1% (HV 20d: 14.5%). Max pain ranged from $62.00 to $64.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.00.

Notable Days

2023-12-18: Highest Volume — 312 contracts
2023-12-20: Largest IV spike — 20.4% change
2023-12-11: Highest IV Rank — 15.9%
2023-12-01: Largest Expected Move — 4.7%

Monthly Statistics

Metric	Avg	Min	Max	Open	Close
Price	$65.29	$64.10	$66.59	$65.59	$66.59
Max Pain	$62.89	$62.00	$64.00	$63.79	$64.00
ATM IV	15.6%	13.3%	18.7%	16.4%	14.6%
Expected Move	4.2%	3.8%	4.7%	4.7%	4.2%
HV 20d	14.5%	10.6%	18.0%	15.5%	18.0%
HV 60d	15.8%	15.0%	16.9%	15.2%	16.8%
IV Rank	9.8%	5.1%	15.9%	11.4%	7.8%
IV Percentile	19.7%	3.6%	52.0%	23.4%	11.9%
Term Structure	1.3%	-1.1%	3.2%	-1.1%	1.7%
VWIV	15.0%	12.7%	18.6%	18.6%	14.9%
Skew 25d	1.4%	-0.8%	2.8%	1.9%	2.4%
Skew 10d	3.0%	-3.1%	8.0%	3.1%	5.3%
Call IV 25d	14.3%	12.0%	16.3%	15.5%	12.0%
Put IV 25d	15.8%	14.4%	17.8%	17.4%	14.4%
Bid-Ask Spread %	93.86	81.27	107.06	97.67	103.74
Gamma HHI	0.49	0.38	0.58	0.42	0.57
Net GEX	490.3K	324.5K	745.0K	364.4K	662.6K
Net DEX	-4.0M	-7.0M	-2.5M	-3.3M	-7.0M
Net VEX	-13.3K	-17.5K	-10.7K	-12.2K	-15.4K
Div Yield	0.0%	0.0%	0.0%	0.0%	0.0%
P/C Ratio	0.00	0.00	0.02	0.00	0.00
Total Volume	16.35	0	312	8	2
Total OI	1,590.25	955	1,631	1,618	1,631

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
2023-12-01	$65.59	$63.79	16.4%	4.7%	15.5%	11.4%	18.6%	1.9%	-1.1%	364.4K	-3.3M	-12.2K	0.00	97.67	N/A	N/A	0	8	1,613	5
2023-12-04	$64.78	$62.00	17.4%	4.5%	14.2%	13.3%	0.0%	2.8%	1.6%	336.4K	-2.8M	-11.7K	0.00	84.26	N/A	N/A	0	0	1,613	6
2023-12-05	$64.41	$62.00	17.8%	4.5%	14.1%	14.2%	0.0%	2.1%	1.5%	324.5K	-2.6M	-11.3K	0.00	85.88	N/A	N/A	0	0	1,613	6
2023-12-06	$64.34	$62.00	17.4%	4.4%	14.0%	13.4%	0.0%	2.3%	1.4%	329.3K	-2.5M	-11.3K	0.00	83.12	N/A	N/A	0	0	1,613	6
2023-12-07	$64.63	$62.00	17.2%	4.4%	13.9%	13.0%	0.0%	2.3%	1.4%	349.5K	-2.7M	-11.4K	0.00	87.03	N/A	N/A	0	0	1,613	6
2023-12-08	$64.38	$62.00	16.2%	4.2%	13.4%	11.0%	0.0%	2.2%	0.7%	336.5K	-2.5M	-11.0K	0.00	93.10	N/A	N/A	2	0	1,613	6
2023-12-11	$64.81	$62.00	18.7%	4.2%	13.4%	15.9%	0.0%	1.1%	1.9%	371.5K	-2.7M	-11.1K	0.00	96.10	N/A	N/A	0	0	1,611	6
2023-12-12	$64.84	$62.00	16.4%	3.8%	13.4%	11.3%	0.0%	1.4%	3.2%	378.4K	-2.7M	-10.9K	0.00	97.27	N/A	N/A	0	0	1,611	6
2023-12-13	$65.28	$62.00	13.8%	4.0%	10.9%	6.1%	12.7%	2.5%	2.1%	413.7K	-3.0M	-11.1K	0.00	96.14	N/A	N/A	2	0	1,611	6
2023-12-14	$66.31	$62.00	13.5%	3.9%	11.8%	5.6%	0.0%	1.1%	3.0%	429.0K	-3.7M	-11.0K	0.00	96.84	N/A	N/A	0	0	1,613	6
2023-12-15	$65.97	$62.00	13.9%	4.0%	11.2%	6.2%	0.0%	2.0%	2.8%	456.5K	-3.5M	-11.0K	0.00	102.32	N/A	N/A	0	0	1,613	6
2023-12-18	$65.78	$62.00	13.6%	3.9%	11.3%	5.8%	13.9%	0.8%	1.5%	404.7K	-3.2M	-10.7K	0.02	107.06	N/A	N/A	305	7	951	4
2023-12-19	$66.34	$64.00	13.3%	3.8%	10.6%	5.1%	0.0%	1.3%	1.3%	745.0K	-5.9M	-17.5K	0.00	98.68	N/A	N/A	0	0	1,620	11
2023-12-20	$64.10	$64.00	16.0%	4.6%	16.0%	10.6%	0.0%	-0.8%	-0.9%	580.6K	-4.3M	-16.7K	0.00	93.43	N/A	N/A	0	0	1,620	11
2023-12-21	$65.22	$64.00	15.6%	4.5%	17.3%	9.8%	0.0%	0.9%	0.1%	638.6K	-5.3M	-17.2K	0.00	91.65	N/A	N/A	0	0	1,620	11
2023-12-22	$64.90	$64.00	15.8%	4.5%	17.4%	10.0%	0.0%	2.0%	2.0%	632.0K	-5.0M	-16.8K	0.00	88.57	N/A	N/A	0	0	1,620	11
2023-12-26	$65.41	$64.00	15.6%	4.5%	17.6%	9.6%	0.0%	-0.5%	-0.1%	678.7K	-5.5M	-16.3K	0.00	97.01	N/A	N/A	0	0	1,620	11
2023-12-27	$65.60	$64.00	14.2%	4.1%	17.5%	7.0%	0.0%	0.7%	1.6%	690.1K	-5.8M	-16.1K	0.00	96.00	N/A	N/A	0	0	1,620	11
2023-12-28	$66.53	$64.00	14.7%	4.2%	18.0%	7.8%	14.9%	0.4%	0.5%	683.4K	-6.9M	-15.6K	0.00	81.27	N/A	N/A	1	0	1,620	11
2023-12-29	$66.59	$64.00	14.6%	4.2%	18.0%	7.8%	0.0%	2.4%	1.7%	662.6K	-7.0M	-15.4K	0.00	103.74	N/A	N/A	2	0	1,620	11