AAXJ Options History — November 2010

In November 2010, AAXJ traded between $60.88 and $65.56. ATM implied volatility averaged 25.4%. The 30-day expected move averaged 7.3%. Max pain ranged from $60.00 to $60.00. Net GEX was positive for 3 of 6 trading days. Term structure was in contango for 3 of 6 days. Put/call ratio averaged 0.00.

Notable Days

  • 2010-11-26: Highest Volume — 6 contracts
  • 2010-11-29: Largest IV spike — 136.4% change
  • 2010-11-29: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.43$60.88$65.56$65.56$60.88
Max Pain$60.00$60.00$60.00$60.00$60.00
ATM IV25.4%17.4%46.3%17.4%19.1%
Expected Move7.3%5.1%13.3%5.2%5.5%
Term Structure-7.2%-28.6%1.2%1.2%0.1%
Skew 25d-1.3%-2.3%0.7%-2.3%-2.3%
Skew 10d0.5%-3.1%7.2%-2.7%-3.1%
Call IV 25d24.9%18.1%38.5%18.1%18.1%
Put IV 25d23.6%15.8%39.2%15.8%15.8%
Bid-Ask Spread %100.6070.24159.8270.2493.10
Gamma HHI1.001.001.001.001.00
Net GEX-365-1.5K235235-1.5K
Net DEX-2.3K-9.9K8.6K-9.9K8.6K
Net VEX-65-132-17-25-130
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume1.50600
Total OI5.333210310

Daily Data (6 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2010-11-05$65.56$60.0017.4%5.2%0.0%0.0%0.0%0.0%1.2%235-9.9K-250.0070.24N/AN/A0021
2010-11-15$63.16$60.0017.9%5.1%0.0%0.0%0.0%0.0%1.1%142-7.5K-300.0072.82N/AN/A1021
2010-11-22$62.78$60.0031.9%9.2%0.0%0.0%0.0%0.0%-28.6%-134-3.3K-170.00115.68N/AN/A2011
2010-11-26$60.90$60.0019.6%5.6%0.0%0.0%0.0%-2.3%-0.2%101-7.9K-540.0091.96N/AN/A0631
2010-11-29$61.31$60.0046.3%13.3%0.0%0.0%0.0%0.7%-16.8%-1.0K6.2K-1320.00159.82N/AN/A0037
2010-11-30$60.88$60.0019.1%5.5%0.0%0.0%0.0%-2.3%0.1%-1.5K8.6K-1300.0093.10N/AN/A0037