AAXJ Options History — November 2011

In November 2011, AAXJ traded between $48.07 and $55.00. ATM implied volatility averaged 36.6%, placing in the 49.1% IV rank vs the trailing year. The 30-day expected move averaged 10.2%. IV traded below realized volatility by 3.5% (HV 20d: 40.1%). Max pain ranged from $50.00 to $55.00. Net GEX was positive for 12 of 21 trading days. Term structure was in contango for 7 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2011-11-02: Highest Volume — 100 contracts
  • 2011-11-09: Largest IV spike — 127.5% change
  • 2011-11-09: Highest IV Rank — 100.0%
  • 2011-11-01: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.92$48.07$55.00$52.80$52.47
Max Pain$50.71$50.00$55.00$55.00$50.00
ATM IV36.6%28.8%65.6%46.2%32.4%
Expected Move10.2%8.7%13.3%13.3%9.3%
HV 20d40.1%33.4%42.5%40.9%39.4%
HV 60d46.1%44.8%47.6%45.7%47.6%
IV Rank49.1%35.7%100.0%66.5%41.7%
IV Percentile82.0%74.4%100.0%93.6%74.4%
Term Structure-3.1%-19.7%8.8%-19.7%0.8%
VWIV34.9%34.9%34.9%34.9%34.9%
Skew 25d9.1%-0.7%14.5%3.4%4.7%
Skew 10d15.7%-0.6%26.6%12.6%4.7%
Call IV 25d33.6%24.4%64.6%61.3%27.9%
Put IV 25d42.6%24.8%65.3%64.7%32.6%
Bid-Ask Spread %97.6878.81136.87136.8795.86
Gamma HHI0.550.340.860.340.53
Net GEX19-67.4K41.0K15.3K-17.3K
Net DEX-40.9K-436.5K383.1K-187.6K32.5K
Net VEX-1.3K-1.9K-687-1.9K-1.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume10.905010030
Total OI326.429164386383270

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-11-01$52.80$55.0046.2%13.3%40.9%66.5%0.0%3.4%-19.7%15.3K-187.6K-1.9K0.00136.87N/AN/A30248135
2011-11-02$54.33$55.0031.9%9.1%41.5%41.1%0.0%13.7%-0.4%29.6K-368.4K-1.8K0.0082.91N/AN/A1000251135
2011-11-03$54.74$55.0031.2%9.0%40.9%40.0%0.0%12.2%0.5%28.0K-387.9K-1.6K0.0088.19N/AN/A010213135
2011-11-04$54.35$50.0030.5%9.1%41.0%38.7%0.0%10.6%-1.9%26.5K-325.2K-1.7K0.0078.81N/AN/A00213145
2011-11-07$54.75$50.0031.6%9.2%38.3%40.7%0.0%10.4%-2.1%31.8K-380.7K-1.5K0.0079.49N/AN/A00213145
2011-11-08$55.00$50.0028.8%8.9%38.3%35.7%0.0%9.9%-1.1%41.0K-436.5K-1.4K0.0085.36N/AN/A00213145
2011-11-09$52.11$50.0065.6%10.8%42.5%100.0%0.0%2.7%-3.4%8.5K-81.8K-1.5K0.00125.00N/AN/A00213145
2011-11-10$52.47$50.0039.2%11.2%42.4%53.7%0.0%14.4%-4.2%8.8K-61.5K-1.3K0.0080.08N/AN/A00213145
2011-11-11$53.38$50.0031.5%9.0%42.4%40.2%0.0%14.2%-0.9%30.4K-184.6K-1.2K0.0089.78N/AN/A00213145
2011-11-14$52.95$50.0030.5%8.7%40.8%38.3%0.0%12.5%0.3%18.2K-113.5K-1.0K0.0089.86N/AN/A010213145
2011-11-15$53.27$50.0030.6%8.8%40.4%38.7%0.0%7.9%8.8%10.7K-185.4K-1.4K0.00124.57N/AN/A00213155
2011-11-16$51.68$50.0037.3%10.7%41.7%50.3%0.0%11.3%-2.9%-28.9K26.4K-9420.0089.96N/AN/A00213155
2011-11-17$50.66$50.0039.0%11.2%41.8%53.3%0.0%12.7%-3.2%-67.4K140.8K-9430.0090.73N/AN/A00213155
2011-11-18$50.84$50.0035.6%10.2%40.9%47.3%0.0%10.4%-0.8%-66.7K82.4K-8550.0094.13N/AN/A00213155
2011-11-21$49.01$50.0035.0%10.0%40.9%46.4%34.9%14.5%0.0%6.7K37.3K-6870.0087.97N/AN/A010011747
2011-11-22$49.47$50.0033.2%9.5%40.9%43.2%0.0%12.8%0.8%-15.2K283.0K-1.2K0.0090.88N/AN/A00117147
2011-11-23$48.14$50.0045.3%13.0%41.4%64.3%0.0%0.7%-19.4%-13.9K383.1K-1.1K0.00124.24N/AN/A00117147
2011-11-25$48.07$50.0046.2%13.2%33.4%66.0%0.0%2.2%-17.4%-9.9K333.8K-1.1K0.00126.90N/AN/A00117147
2011-11-28$49.94$50.0033.3%9.5%37.1%43.3%0.0%9.8%1.4%-17.7K278.3K-1.1K0.0092.57N/AN/A60117147
2011-11-29$49.97$50.0032.7%9.4%35.1%42.3%0.0%-0.7%-0.5%-17.9K257.6K-1.1K0.0097.04N/AN/A00123147
2011-11-30$52.47$50.0032.4%9.3%39.4%41.7%0.0%4.7%0.8%-17.3K32.5K-1.1K0.0095.86N/AN/A00123147