AAXJ Options History — June 2011 In June 2011, AAXJ traded between $59.98 and $63.00. ATM implied volatility averaged 19.7%. The 30-day expected move averaged 5.6%. IV traded below realized volatility by 6.9% (HV 20d: 26.6%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 4 trading days. Term structure was in contango for 4 of 4 days.
Notable Days 2011-06-06 : Largest IV spike — 29.0% change2011-06-17 : Largest Expected Move — 6.2%Monthly Statistics Metric Avg Min Max Open Close Price $61.53 $59.98 $63.00 $63.00 $59.98 Max Pain $58.75 $55.00 $60.00 $60.00 $55.00 ATM IV 19.7% 16.4% 21.5% 16.4% 21.5% Expected Move 5.6% 4.7% 6.2% 4.7% 6.2% HV 20d 26.6% 26.4% 27.0% 26.4% 27.0% HV 60d 21.3% 21.1% 21.6% 21.1% 21.6% Term Structure 0.3% 0.0% 0.5% 0.5% 0.2% Skew 25d 5.9% 2.1% 9.0% 4.6% 9.0% Skew 10d 8.1% 2.0% 14.4% 4.2% 14.4% Call IV 25d 15.6% 13.7% 17.4% 15.9% 15.5% Put IV 25d 21.5% 19.5% 24.5% 20.5% 24.5% Bid-Ask Spread % 52.71 44.03 59.44 50.24 57.15 Gamma HHI 0.63 0.52 0.71 0.62 0.52 Net GEX -58.9K -99.5K -35.9K -35.9K -99.5K Net DEX 383.5K 251.6K 568.4K 251.6K 568.4K Net VEX -3.2K -3.5K -2.9K -3.1K -3.5K Div Yield 0.0% 0.0% 0.0% 0.0% 0.0% Total Volume 0 0 0 0 0 Total OI 466.75 455 501 455 501
Daily Data (4 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 2011-06-01 $63.00 $60.00 16.4% 4.7% 26.4% 0.0% 0.0% 4.6% 0.5% -35.9K 251.6K -3.1K 0.00 50.24 N/A N/A 0 0 32 423 2011-06-06 $62.27 $60.00 21.2% 5.8% 26.7% 0.0% 0.0% 2.1% 0.3% -42.8K 290.9K -2.9K 0.00 44.03 N/A N/A 0 0 32 423 2011-06-10 $60.88 $60.00 19.8% 5.7% 26.5% 0.0% 0.0% 7.8% 0.0% -57.4K 423.2K -3.3K 0.00 59.44 N/A N/A 0 0 33 423 2011-06-17 $59.98 $55.00 21.5% 6.2% 27.0% 0.0% 0.0% 9.0% 0.2% -99.5K 568.4K -3.5K 0.00 57.15 N/A N/A 0 0 33 468
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