AAXJ Options History — April 2011

In April 2011, AAXJ traded between $64.17 and $64.86. ATM implied volatility averaged 15.8%. The 30-day expected move averaged 4.9%. IV traded below realized volatility by 10.8% (HV 20d: 26.7%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 1 of 4 trading days. Term structure was in contango for 3 of 4 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-04-29: Highest Volume — 3 contracts
  • 2011-04-14: Largest IV spike — 16.5% change
  • 2011-04-07: Largest Expected Move — 5.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$64.63$64.17$64.86$64.86$64.84
Max Pain$53.75$50.00$65.00$50.00$65.00
ATM IV15.8%14.9%17.4%15.7%15.4%
Expected Move4.9%4.4%5.1%4.9%4.4%
HV 20d26.7%26.5%26.8%26.7%26.8%
HV 60d20.8%20.7%20.9%20.8%20.9%
Term Structure2.2%2.0%2.4%2.4%2.2%
VWIV16.4%15.4%17.4%17.4%15.4%
Skew 25d6.7%4.6%8.1%7.5%4.6%
Skew 10d8.8%6.1%10.4%10.4%6.1%
Call IV 25d14.7%12.4%18.6%12.4%18.6%
Put IV 25d21.4%19.9%23.2%19.9%23.2%
Bid-Ask Spread %54.3033.3362.6662.2333.33
Gamma HHI0.790.651.000.751.00
Net GEX-25.4K-36.3K4.8K-34.9K4.8K
Net DEX242.0K-21.9K339.7K319.3K-21.9K
Net VEX-3.0K-4.0K-45-4.0K-45
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume21323
Total OI370.575024867

Daily Data (4 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-04-06$64.86$50.0015.7%4.9%26.7%0.0%0.0%7.5%2.4%-34.9K319.3K-4.0K0.0062.23N/AN/A2018468
2011-04-07$64.67$50.0014.9%5.1%26.5%0.0%0.0%8.1%2.0%-35.1K330.9K-4.0K0.0058.98N/AN/A0119468
2011-04-14$64.17$50.0017.4%5.0%26.8%0.0%17.4%4.6%2.2%-36.3K339.7K-4.0K0.0062.66N/AN/A2023479
2011-04-29$64.84$65.0015.4%4.4%26.8%0.0%15.4%0.0%0.0%4.8K-21.9K-450.0033.33N/AN/A3070