AAXJ Options History — March 2012

In March 2012, AAXJ traded between $55.52 and $58.44. ATM implied volatility averaged 23.7%, placing in the 24.3% IV rank vs the trailing year. The 30-day expected move averaged 6.5%. IV traded above realized volatility by 4.2% (HV 20d: 19.6%). Max pain ranged from $55.00 to $56.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 16 of 22 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-03-06: Highest Volume — 10 contracts
  • 2012-03-12: Largest IV spike — 110.4% change
  • 2012-03-05: Highest IV Rank — 80.6%
  • 2012-03-21: Largest Expected Move — 10.4%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.06$55.52$58.44$58.44$56.44
Max Pain$55.82$55.00$56.00$55.00$56.00
ATM IV23.7%15.2%58.7%15.2%21.0%
Expected Move6.5%4.4%10.4%4.4%6.0%
HV 20d19.6%14.5%21.6%14.5%21.3%
HV 60d19.1%17.7%21.1%19.9%17.7%
IV Rank24.3%10.6%80.6%10.6%19.9%
IV Percentile53.5%16.3%98.2%17.1%53.5%
Term Structure0.4%-10.9%11.4%4.1%1.1%
VWIV21.2%21.2%21.2%21.2%21.2%
Skew 25d8.4%-2.9%36.4%-2.9%5.5%
Skew 10d8.9%-3.4%40.0%-3.4%-1.9%
Call IV 25d19.1%12.5%41.1%17.3%16.6%
Put IV 25d27.4%14.4%66.9%14.4%22.0%
Bid-Ask Spread %94.9955.85175.36103.1787.85
Gamma HHI0.470.410.540.500.47
Net GEX-17.4K-25.1K-6.3K-15.9K-22.4K
Net DEX-118.2K-355.3K169.8K-220.1K-57.6K
Net VEX-4.4K-5.5K-3.7K-4.4K-3.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume2.31801000
Total OI606.455571643610581

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-03-01$58.44$55.0015.2%4.4%14.5%10.6%0.0%-2.9%4.1%-15.9K-220.1K-4.4K0.00103.17N/AN/A00148462
2012-03-02$58.20$55.0028.9%8.3%14.5%32.6%0.0%29.0%11.4%-16.7K-259.5K-3.9K0.00143.59N/AN/A80148462
2012-03-05$57.24$0.0058.7%8.6%14.8%80.6%0.0%1.8%-6.9%-20.0K-128.6K-4.6K0.00171.05N/AN/A00156462
2012-03-06$55.52$0.0024.5%6.6%17.9%25.5%0.0%5.8%2.8%-24.8K169.8K-5.5K0.0055.85N/AN/A100156462
2012-03-07$56.17$0.0021.3%6.7%18.5%20.5%0.0%3.8%1.7%-20.0K-13.3K-5.1K0.0060.67N/AN/A100166462
2012-03-08$57.25$0.0015.2%6.3%19.2%10.6%0.0%4.2%2.9%-14.0K-253.6K-4.6K0.0064.88N/AN/A00176462
2012-03-09$57.45$0.0016.9%6.4%19.2%13.4%0.0%4.7%2.8%-13.5K-263.7K-4.6K0.0068.39N/AN/A00176462
2012-03-12$56.90$0.0035.6%9.5%18.2%43.5%0.0%33.9%-10.9%-6.3K-300.2K-3.7K0.00174.84N/AN/A00176462
2012-03-13$58.35$0.0018.6%6.0%20.0%16.2%0.0%5.7%-0.5%-10.7K-355.3K-4.2K0.0079.06N/AN/A50176462
2012-03-14$57.51$0.0026.0%6.2%20.8%28.0%0.0%5.0%-1.4%-11.5K-328.4K-4.2K0.0072.12N/AN/A00181462
2012-03-15$57.82$0.0020.9%6.0%20.6%19.7%0.0%5.3%-0.8%-11.3K-318.9K-4.4K0.0077.36N/AN/A00181462
2012-03-16$57.88$0.0019.6%5.6%20.5%17.7%0.0%3.9%0.0%-11.0K-325.6K-4.4K0.0078.97N/AN/A80181462
2012-03-19$57.63$0.0019.3%5.5%20.6%17.3%21.2%6.3%1.8%-14.6K-106.8K-4.3K0.0072.14N/AN/A05147424
2012-03-20$56.70$56.0020.4%5.8%21.3%18.9%0.0%5.5%2.3%-20.7K21.5K-4.7K0.0075.01N/AN/A02147429
2012-03-21$56.83$56.0036.3%10.4%21.3%44.6%0.0%36.4%-10.2%-21.4K51.1K-4.7K0.00175.36N/AN/A00147431
2012-03-22$56.22$56.0022.3%6.4%21.6%22.1%0.0%5.1%0.9%-23.0K72.2K-4.6K0.0071.26N/AN/A00147431
2012-03-23$56.54$56.0019.5%5.6%21.6%17.5%0.0%4.6%1.7%-21.4K14.9K-4.4K0.0085.48N/AN/A00147431
2012-03-26$57.03$56.0019.8%5.7%21.4%17.9%0.0%4.8%1.5%-17.6K-39.0K-4.3K0.0086.97N/AN/A00147431
2012-03-27$56.91$56.0020.4%5.8%20.8%18.9%0.0%4.8%1.0%-18.5K-47.6K-4.0K0.0089.59N/AN/A00147431
2012-03-28$56.36$56.0021.3%6.1%20.9%20.5%0.0%6.1%1.2%-21.7K18.6K-4.2K0.0097.79N/AN/A03147431
2012-03-29$55.90$56.0020.5%5.9%20.9%19.1%0.0%4.6%2.1%-25.1K70.1K-4.2K0.0098.30N/AN/A00147434
2012-03-30$56.44$56.0021.0%6.0%21.3%19.9%0.0%5.5%1.1%-22.4K-57.6K-3.9K0.0087.85N/AN/A00147434