AAXJ Options History — March 2011

In March 2011, AAXJ traded between $58.77 and $62.22. ATM implied volatility averaged 19.4%. The 30-day expected move averaged 5.8%. IV traded below realized volatility by 1.1% (HV 20d: 20.6%). Max pain ranged from $55.00 to $65.00. Net GEX was positive for 0 of 18 trading days. Term structure was in contango for 15 of 18 days. Put/call ratio averaged 12.50.

Notable Days

  • 2011-03-16: Highest Volume — 52 contracts
  • 2011-03-10: Largest IV spike — 51.5% change
  • 2011-03-16: Largest Expected Move — 7.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.80$58.77$62.22$60.06$61.81
Max Pain$58.89$55.00$65.00$65.00$60.00
ATM IV19.4%13.9%26.5%18.8%19.3%
Expected Move5.8%5.1%7.6%5.4%5.5%
HV 20d20.6%17.5%24.6%17.5%21.2%
HV 60d16.8%15.3%18.2%16.2%18.2%
Term Structure-0.4%-23.6%2.4%0.9%1.2%
VWIV29.8%20.6%46.7%20.6%22.1%
Skew 25d5.3%-0.5%9.2%8.1%6.9%
Skew 10d6.6%1.4%12.8%10.6%8.3%
Call IV 25d16.7%11.1%49.3%13.8%12.2%
Put IV 25d22.0%17.6%48.8%22.0%19.1%
Bid-Ask Spread %59.5333.27149.1852.4844.01
Gamma HHI0.590.480.880.510.84
Net GEX-71.8K-109.3K-44.1K-77.0K-44.1K
Net DEX803.0K523.6K1.2M923.7K523.6K
Net VEX-5.8K-6.3K-5.0K-6.3K-5.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio12.500.0025.000.0025.00
Total Volume4.27805200
Total OI506.111459554508477

Daily Data (18 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-03-01$60.06$65.0018.8%5.4%17.5%0.0%0.0%8.1%0.9%-77.0K923.7K-6.3K0.0052.48N/AN/A0028480
2011-03-02$60.50$65.0018.4%5.3%17.6%0.0%0.0%8.7%1.8%-75.7K895.8K-6.3K0.0052.01N/AN/A0028480
2011-03-03$61.50$65.0017.7%5.1%17.9%0.0%0.0%1.5%2.0%-69.7K755.1K-6.0K0.0033.27N/AN/A0028480
2011-03-04$61.69$55.0017.9%5.6%18.0%0.0%0.0%2.6%-0.3%-69.8K700.5K-5.6K0.0084.57N/AN/A0028480
2011-03-07$60.86$55.0019.7%6.0%18.5%0.0%0.0%4.6%0.7%-75.7K834.1K-5.9K0.0051.32N/AN/A0028480
2011-03-08$62.14$55.0013.9%6.0%20.1%0.0%0.0%2.9%0.5%-59.8K663.8K-5.5K0.0051.87N/AN/A1028480
2011-03-09$62.22$55.0014.2%6.1%20.1%0.0%0.0%3.1%0.2%-57.2K655.5K-5.5K0.0054.08N/AN/A0029480
2011-03-10$60.69$55.0021.6%6.2%21.9%0.0%0.0%9.2%0.3%-78.1K852.3K-6.1K0.0052.16N/AN/A0029480
2011-03-11$60.91$55.0021.8%6.3%20.5%0.0%0.0%4.9%-0.2%-82.2K820.6K-5.8K0.0059.12N/AN/A0029480
2011-03-14$61.06$55.0020.6%5.9%20.1%0.0%20.6%5.6%1.2%-85.0K788.1K-5.7K0.0062.32N/AN/A0529480
2011-03-15$59.92$60.0021.1%6.1%21.2%0.0%0.0%8.0%1.1%-101.5K972.8K-5.9K0.0054.39N/AN/A0029485
2011-03-16$58.77$60.0026.5%7.6%22.2%0.0%46.7%-0.5%-23.6%-63.2K1.1M-6.2K25.00149.18N/AN/A25029485
2011-03-17$59.10$60.0022.1%6.3%22.3%0.0%22.1%6.9%0.9%-103.2K1.2M-6.2K0.0055.23N/AN/A0130524
2011-03-18$59.16$60.0020.4%5.9%22.1%0.0%0.0%5.2%0.7%-109.3K1.1M-6.1K0.0094.48N/AN/A0030524
2011-03-21$60.45$60.0019.5%5.6%23.5%0.0%0.0%4.0%1.3%-50.0K654.8K-5.8K0.0036.98N/AN/A01815444
2011-03-24$61.68$60.0018.3%5.2%24.6%0.0%0.0%6.9%2.0%-46.3K524.6K-5.2K0.0041.79N/AN/A0015462
2011-03-25$61.82$60.0018.3%5.2%21.2%0.0%0.0%7.1%2.4%-44.9K531.0K-5.1K0.0042.33N/AN/A0015462
2011-03-29$61.81$60.0019.3%5.5%21.2%0.0%0.0%6.9%1.2%-44.1K523.6K-5.0K0.0044.01N/AN/A0015462