AAXJ Options History — February 2011

In February 2011, AAXJ traded between $59.25 and $62.66. ATM implied volatility averaged 17.5%. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 0.5% (HV 20d: 17.0%). Max pain ranged from $60.00 to $65.00. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 18 of 18 days. Put/call ratio averaged 0.15.

Notable Days

  • 2011-02-02: Highest Volume — 50 contracts
  • 2011-02-09: Largest IV spike — 42.0% change
  • 2011-02-23: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$61.13$59.25$62.66$62.36$60.13
Max Pain$64.17$60.00$65.00$60.00$65.00
ATM IV17.5%11.8%20.8%18.6%18.5%
Expected Move5.3%4.7%6.0%5.3%5.3%
HV 20d17.0%15.7%20.1%16.7%20.1%
HV 60d20.5%17.1%22.0%22.0%17.3%
Term Structure2.1%0.3%7.0%1.4%1.4%
VWIV14.6%8.7%24.0%12.6%24.0%
Skew 25d6.3%-0.6%13.4%6.6%8.6%
Skew 10d7.8%-0.1%15.5%6.5%10.3%
Call IV 25d14.9%10.9%18.9%11.6%13.6%
Put IV 25d21.1%12.0%26.3%18.2%22.2%
Bid-Ask Spread %58.2440.7090.9554.7450.26
Gamma HHI0.570.510.710.710.51
Net GEX-62.1K-74.3K-45.0K-45.6K-74.3K
Net DEX796.3K587.8K1.0M587.8K936.4K
Net VEX-6.4K-6.7K-5.8K-5.8K-6.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.150.000.600.600.00
Total Volume5.66705000
Total OI487.611434508434508

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-02-01$62.36$60.0018.6%5.3%16.7%0.0%0.0%6.6%1.4%-45.6K587.8K-5.8K0.0054.74N/AN/A0024410
2011-02-02$62.46$60.0016.3%4.7%16.5%0.0%0.0%7.6%7.0%-45.0K591.3K-5.8K0.0053.98N/AN/A05024410
2011-02-03$62.49$60.0018.0%5.2%16.5%0.0%0.0%5.7%2.1%-56.0K663.5K-6.2K0.6058.03N/AN/A5324460
2011-02-04$62.66$65.0012.0%5.0%16.5%0.0%0.0%-0.6%0.3%-55.4K631.4K-6.3K0.0077.66N/AN/A0029463
2011-02-07$62.64$65.0011.8%5.0%16.3%0.0%0.0%0.3%0.8%-56.0K633.1K-6.3K0.0056.84N/AN/A1029463
2011-02-08$62.27$65.0013.3%5.5%15.7%0.0%0.0%0.1%2.1%-58.6K674.6K-6.3K0.0058.03N/AN/A0029463
2011-02-09$60.92$65.0018.9%5.7%17.1%0.0%0.0%5.9%1.4%-62.4K815.1K-6.5K0.0068.38N/AN/A0029463
2011-02-10$60.22$65.0018.6%5.3%16.0%0.0%12.6%8.3%3.0%-65.5K897.2K-6.7K0.0050.49N/AN/A02129463
2011-02-11$60.44$65.0018.4%5.3%16.1%0.0%0.0%7.0%3.2%-65.6K873.8K-6.7K0.0050.47N/AN/A0029464
2011-02-14$60.64$65.0018.8%5.4%16.1%0.0%0.0%9.4%1.8%-63.4K869.4K-6.6K0.0072.80N/AN/A0029464
2011-02-15$60.67$65.0018.4%5.3%16.1%0.0%0.0%4.8%3.1%-66.3K841.1K-6.3K0.0050.94N/AN/A4029464
2011-02-16$61.05$65.0018.3%5.2%16.4%0.0%0.0%4.8%3.0%-65.5K788.9K-6.3K0.0051.99N/AN/A0029464
2011-02-17$61.44$65.0018.7%5.4%16.3%0.0%8.7%5.1%2.7%-64.5K751.9K-6.3K0.0052.54N/AN/A2029464
2011-02-18$61.59$65.0018.3%5.2%15.8%0.0%0.0%13.4%2.3%-61.6K756.8K-6.3K0.0090.95N/AN/A0029464
2011-02-22$59.57$65.0018.1%5.2%19.5%0.0%13.2%7.7%1.2%-72.4K974.9K-6.5K0.0058.18N/AN/A0728464
2011-02-23$59.46$65.0020.8%6.0%19.5%0.0%24.0%9.3%0.3%-68.5K995.8K-6.6K0.0040.70N/AN/A0928471
2011-02-24$59.25$65.0019.8%5.7%19.1%0.0%0.0%8.5%1.0%-70.8K1.0M-6.7K0.0051.31N/AN/A0028480
2011-02-28$60.13$65.0018.5%5.3%20.1%0.0%0.0%8.6%1.4%-74.3K936.4K-6.3K0.0050.26N/AN/A0028480