AAXJ Options History — December 2011

In December 2011, AAXJ traded between $48.45 and $52.81. ATM implied volatility averaged 33.4%, placing in the 41.6% IV rank vs the trailing year. The 30-day expected move averaged 8.7%. IV traded below realized volatility by 0.4% (HV 20d: 33.9%). Max pain ranged from $45.00 to $50.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 14 of 21 days. Put/call ratio averaged 0.13.

Notable Days

  • 2011-12-30: Highest Volume — 50 contracts
  • 2011-12-12: Largest IV spike — 137.8% change
  • 2011-12-12: Highest IV Rank — 100.0%
  • 2011-12-01: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$50.53$48.45$52.81$52.49$49.90
Max Pain$48.33$45.00$50.00$50.00$45.00
ATM IV33.4%23.1%70.8%51.3%23.7%
Expected Move8.7%6.6%14.7%14.7%6.8%
HV 20d33.9%24.7%37.9%37.9%24.7%
HV 60d42.2%35.5%47.6%47.6%35.5%
IV Rank41.6%23.3%100.0%74.9%24.3%
IV Percentile70.8%57.8%100.0%96.3%58.0%
Term Structure-0.2%-13.3%3.9%-4.3%2.7%
VWIV24.9%23.6%27.4%23.6%23.7%
Skew 25d6.9%-26.4%15.6%3.1%15.4%
Skew 10d17.0%3.2%53.0%10.0%9.2%
Call IV 25d30.6%16.0%79.8%64.9%16.0%
Put IV 25d37.5%31.1%68.0%68.0%31.4%
Bid-Ask Spread %96.1442.82160.84129.98107.21
Gamma HHI0.590.380.970.380.40
Net GEX-16.9K-86.8K-2.1K-8.0K-2.2K
Net DEX140.7K27.2K494.9K58.1K49.8K
Net VEX-681-1.2K-411-1.2K-440
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.130.000.670.000.00
Total Volume3.238050050
Total OI178.3814827527060

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2011-12-01$52.49$50.0051.3%14.7%37.9%74.9%0.0%3.1%-4.3%-8.0K58.1K-1.2K0.00129.98N/AN/A00123147
2011-12-02$52.38$50.0032.6%9.3%37.7%42.1%0.0%6.0%1.6%-18.5K38.4K-9910.0098.40N/AN/A00123147
2011-12-05$52.81$0.0063.1%10.2%37.9%95.7%0.0%-14.6%-13.3%-8.5K36.3K-1.1K0.00154.74N/AN/A00123147
2011-12-06$52.29$0.0030.2%9.5%37.8%37.9%0.0%13.9%-0.2%-18.9K27.2K-8940.0042.82N/AN/A00123147
2011-12-07$52.37$0.0047.0%11.0%37.8%67.4%0.0%-26.4%-4.9%-11.1K60.4K-1.0K0.00154.98N/AN/A00123147
2011-12-08$50.83$0.0038.4%9.7%34.2%52.3%0.0%8.3%-0.0%-21.0K171.7K-9160.0045.04N/AN/A00123147
2011-12-09$51.68$0.0029.8%9.2%34.7%37.1%0.0%10.9%0.1%-21.9K59.8K-8210.0050.84N/AN/A50123147
2011-12-12$50.00$0.0070.8%10.9%35.8%100.0%0.0%10.0%-6.8%-28.3K254.2K-8240.00160.84N/AN/A01128147
2011-12-13$49.74$0.0031.2%8.4%35.8%36.3%0.0%8.7%2.2%-33.3K313.4K-7400.0068.49N/AN/A00128147
2011-12-14$49.16$0.0023.9%8.2%35.7%24.7%0.0%9.3%3.2%-36.1K468.4K-6310.0067.38N/AN/A00128147
2011-12-15$49.20$0.0027.5%7.9%34.4%30.3%0.0%9.0%3.3%-39.8K494.9K-5740.0068.16N/AN/A00128147
2011-12-16$49.79$0.0026.4%7.6%34.1%28.5%0.0%8.6%3.9%-86.8K378.6K-5700.0074.07N/AN/A00128147
2011-12-19$48.45$0.0037.8%10.8%35.3%46.9%0.0%15.6%-10.6%-2.4K80.5K-4110.00148.41N/AN/A001533
2011-12-20$49.69$0.0025.2%7.2%34.1%26.6%0.0%8.4%2.4%-3.0K74.4K-4230.0076.26N/AN/A301533
2011-12-21$50.01$0.0024.9%7.1%34.0%26.2%0.0%7.7%2.6%-2.6K68.3K-4500.0086.60N/AN/A001833
2011-12-22$50.35$0.0023.1%6.6%32.5%23.3%0.0%7.8%3.4%-2.8K65.2K-4500.0087.52N/AN/A001833
2011-12-23$50.54$0.0023.6%6.8%32.4%24.1%23.6%7.7%2.9%-2.9K64.5K-4480.6786.59N/AN/A321833
2011-12-27$50.00$50.0024.4%7.0%29.9%25.4%0.0%10.1%2.5%-2.4K66.4K-4460.0094.13N/AN/A002135
2011-12-28$49.34$50.0024.0%6.9%30.2%24.7%27.4%14.6%2.8%-2.4K74.6K-4300.00108.70N/AN/A402135
2011-12-29$50.03$45.0023.6%6.8%24.7%24.2%0.0%10.1%2.9%-2.1K48.6K-4420.00107.84N/AN/A002535
2011-12-30$49.90$45.0023.7%6.8%24.7%24.3%23.7%15.4%2.7%-2.2K49.8K-4400.00107.21N/AN/A5002535