AAXJ Options History — October 2011

In October 2011, AAXJ traded between $45.36 and $56.23. ATM implied volatility averaged 37.0%, placing in the 44.2% IV rank vs the trailing year. The 30-day expected move averaged 10.5%. IV traded below realized volatility by 15.2% (HV 20d: 52.3%). Max pain ranged from $40.00 to $50.00. Net GEX was positive for 3 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2011-10-31: Highest Volume — 158 contracts
  • 2011-10-11: Largest IV spike — 109.8% change
  • 2011-10-31: Highest IV Rank — 55.6%
  • 2011-10-04: Largest Expected Move — 15.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.85$45.36$56.23$45.36$53.56
Max Pain$48.57$40.00$50.00$45.00$50.00
ATM IV37.0%24.7%57.6%48.6%40.1%
Expected Move10.5%7.1%15.9%13.9%11.5%
HV 20d52.3%38.1%60.7%55.9%40.3%
HV 60d42.6%40.3%45.9%40.3%45.9%
IV Rank44.2%28.4%55.6%34.4%55.6%
IV Percentile84.7%76.1%90.6%84.1%90.6%
Term Structure-1.4%-17.3%17.0%-0.1%-17.3%
VWIV31.0%24.9%38.2%36.4%38.2%
Skew 25d9.1%-1.6%32.1%-1.6%1.5%
Skew 10d13.2%3.6%24.1%5.3%12.8%
Call IV 25d35.6%19.8%57.5%41.9%57.5%
Put IV 25d44.8%24.8%71.6%40.4%59.0%
Bid-Ask Spread %100.8420.23143.97126.67143.97
Gamma HHI0.580.280.990.280.45
Net GEX-10.2K-23.1K18.6K-1.5K2.6K
Net DEX154.4K-223.8K318.3K91.0K-21.0K
Net VEX-797-1.2K-296-312-1.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.500.000.03
Total Volume24.09501580158
Total OI148.2866124461244

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-10-03$45.36$45.0048.6%13.9%55.9%0.0%0.0%-1.6%-0.1%-1.5K91.0K-3120.00126.67N/AN/A002635
2011-10-04$46.20$45.0055.5%15.9%56.1%0.0%0.0%32.1%-2.3%-1.4K93.5K-3060.00136.35N/AN/A102635
2011-10-05$47.02$45.0049.4%14.2%57.0%0.0%0.0%0.0%-11.1%-1.9K86.4K-2960.0080.92N/AN/A002735
2011-10-06$48.22$45.0034.0%9.7%58.8%0.0%0.0%28.0%17.0%-1.3K85.7K-3150.00137.38N/AN/A002735
2011-10-07$47.89$40.0034.7%10.6%58.8%0.0%36.4%1.4%-8.3%-1.4K85.6K-3220.00130.86N/AN/A01002735
2011-10-10$50.09$50.0027.5%10.0%60.0%0.0%0.0%0.0%0.0%-17.3K235.7K-6610.0020.23N/AN/A009100
2011-10-11$50.21$50.0057.6%8.8%60.0%0.0%0.0%1.7%5.2%-18.5K299.1K-1.0K0.00142.30N/AN/A0028135
2011-10-12$51.66$50.0028.1%10.0%60.7%34.4%0.0%10.9%-0.6%-17.1K253.6K-9970.0069.82N/AN/A0028135
2011-10-13$51.23$50.0034.8%10.0%60.7%46.4%0.0%2.2%5.2%-16.7K255.5K-1.0K0.00137.13N/AN/A0028135
2011-10-14$52.15$50.0033.3%9.6%59.1%43.7%0.0%9.5%-0.3%-18.4K226.3K-9290.0076.02N/AN/A0028135
2011-10-17$50.54$50.0036.1%10.3%54.6%48.5%0.0%11.6%-1.0%-19.2K298.0K-9030.0074.09N/AN/A0028135
2011-10-18$51.48$50.0033.9%9.7%54.8%44.7%0.0%11.3%-0.5%-21.5K260.2K-8920.0074.33N/AN/A0028135
2011-10-19$50.94$50.0039.7%11.4%54.1%55.0%0.0%2.4%-11.4%-17.4K281.9K-8990.00137.13N/AN/A0028135
2011-10-20$50.02$50.0035.4%10.1%54.3%47.3%0.0%11.2%0.4%-20.5K318.3K-8640.0078.07N/AN/A1028135
2011-10-21$51.25$50.0033.3%9.5%49.4%43.6%0.0%9.2%0.5%-23.1K274.1K-8540.0079.56N/AN/A0027135
2011-10-24$52.96$50.0024.7%7.1%43.4%28.4%24.9%9.5%4.2%-21.1K190.4K-7930.5084.34N/AN/A2118129
2011-10-25$52.21$50.0038.6%11.1%39.7%53.1%28.9%12.3%-2.0%-20.9K235.1K-8110.0074.98N/AN/A75020130
2011-10-26$52.90$50.0029.4%8.4%38.1%36.8%0.0%12.0%-1.1%-1.4K76.9K-1.1K0.0076.99N/AN/A0093130
2011-10-27$56.23$50.0035.6%10.2%43.0%47.8%30.1%3.5%-3.8%4.6K-159.0K-1.1K0.00142.80N/AN/A93093130
2011-10-28$55.64$50.0027.5%7.9%38.9%33.4%27.5%5.0%0.2%18.6K-223.8K-1.1K0.0093.64N/AN/A750114130
2011-10-31$53.56$50.0040.1%11.5%40.3%55.6%38.2%1.5%-17.3%2.6K-21.0K-1.2K0.03143.97N/AN/A1535114130