AAXJ Options History — May 2012

In May 2012, AAXJ traded between $49.90 and $56.72. ATM implied volatility averaged 26.2%, placing in the 28.4% IV rank vs the trailing year. The 30-day expected move averaged 7.6%. IV traded above realized volatility by 10.3% (HV 20d: 16.0%). Max pain ranged from $55.00 to $55.00. Net GEX was positive for 0 of 22 trading days. Term structure was in contango for 10 of 22 days. Put/call ratio averaged 0.64.

Notable Days

  • 2012-05-29: Highest Volume — 85 contracts
  • 2012-05-03: Largest IV spike — 208.6% change
  • 2012-05-03: Highest IV Rank — 68.4%
  • 2012-05-03: Largest Expected Move — 14.7%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.76$49.90$56.72$56.54$50.71
Max Pain$55.00$55.00$55.00$55.00$55.00
ATM IV26.2%16.6%51.1%18.0%26.9%
Expected Move7.6%4.8%14.7%5.2%7.7%
HV 20d16.0%12.8%19.4%17.9%19.3%
HV 60d18.2%17.5%19.5%17.8%18.6%
IV Rank28.4%12.8%68.4%15.1%29.4%
IV Percentile63.0%19.0%95.2%26.2%67.9%
Term Structure-2.0%-22.7%6.3%3.9%-0.7%
VWIV28.0%18.9%49.1%22.3%21.5%
Skew 25d8.3%0.0%13.8%4.2%8.9%
Skew 10d11.7%-7.2%19.8%4.8%18.8%
Call IV 25d21.3%10.9%69.7%16.1%22.9%
Put IV 25d29.6%19.4%69.8%20.2%31.8%
Bid-Ask Spread %109.8881.32177.1997.4393.71
Gamma HHI0.640.370.860.390.70
Net GEX-62.2K-118.7K-3.6K-7.0K-118.7K
Net DEX509.7K-216.3K1.1M-164.0K819.8K
Net VEX-2.8K-3.1K-2.2K-2.7K-2.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.640.003.000.000.00
Total Volume6.54508505
Total OI605.818583693583693

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-05-01$56.54$55.0018.0%5.2%17.9%15.1%0.0%4.2%3.9%-7.0K-164.0K-2.7K0.0097.43N/AN/A00159424
2012-05-02$56.72$55.0016.6%4.8%18.0%12.8%0.0%3.4%6.3%-3.6K-216.3K-2.5K0.00100.53N/AN/A010159424
2012-05-03$56.40$55.0051.1%14.7%16.9%68.4%0.0%0.0%-22.7%-14.6K-97.1K-2.9K0.00177.19N/AN/A00159434
2012-05-04$55.54$55.0019.7%6.4%17.5%17.9%0.0%3.5%0.6%-19.9K5.7K-2.8K0.0081.32N/AN/A00159434
2012-05-07$55.55$55.0019.8%6.4%16.8%18.0%0.0%8.9%0.5%-18.8K-2.6K-2.7K0.0087.58N/AN/A00159434
2012-05-08$54.83$55.0021.9%6.4%16.2%21.3%22.3%8.5%1.5%-29.0K125.9K-2.9K0.0086.47N/AN/A50159434
2012-05-09$54.14$55.0024.0%6.4%16.2%24.8%0.0%8.0%2.5%-36.7K227.2K-3.0K0.0082.92N/AN/A00164434
2012-05-10$54.19$55.0021.8%6.3%13.2%21.3%0.0%4.3%3.0%-35.7K205.5K-2.8K0.0082.60N/AN/A00164434
2012-05-11$53.53$55.0021.3%6.1%12.8%20.4%0.0%4.8%3.0%-45.9K323.9K-2.8K0.0086.10N/AN/A00164434
2012-05-14$52.61$55.0028.5%8.2%13.9%32.0%18.9%12.8%-0.3%-55.0K522.6K-3.0K0.00154.39N/AN/A01164434
2012-05-15$52.40$55.0026.8%7.7%13.0%29.3%0.0%13.2%-8.2%-56.7K563.1K-3.1K0.00152.89N/AN/A00164433
2012-05-16$51.28$55.0027.2%7.8%14.5%30.0%0.0%11.2%-6.5%-66.7K776.0K-3.0K0.00155.96N/AN/A00164433
2012-05-17$50.74$55.0029.2%8.4%14.6%33.1%0.0%13.8%-9.4%-70.4K880.0K-2.9K0.00155.02N/AN/A00164433
2012-05-18$50.31$55.0031.0%8.9%14.4%36.1%49.1%10.9%-11.8%-70.4K959.2K-2.8K0.00153.66N/AN/A06164433
2012-05-21$51.27$55.0028.0%8.0%16.2%31.1%21.5%10.3%-1.4%-86.4K766.3K-2.5K3.0089.40N/AN/A721161427
2012-05-22$51.11$55.0028.3%8.1%16.0%31.8%0.0%9.1%-1.1%-91.9K835.1K-2.7K0.0098.83N/AN/A40156448
2012-05-23$50.60$55.0027.4%7.9%15.3%30.3%0.0%9.2%-1.2%-102.0K939.5K-2.7K0.0095.36N/AN/A00160448
2012-05-24$50.28$55.0027.3%7.8%14.8%30.0%0.0%9.7%0.7%-107.7K1.0M-2.6K0.0089.45N/AN/A00160448
2012-05-25$49.90$55.0026.3%7.5%14.7%28.4%0.0%9.3%0.7%-117.6K1.1M-2.4K0.0099.26N/AN/A00160448
2012-05-29$51.41$55.0027.7%8.0%19.3%30.8%0.0%8.8%-1.1%-104.3K734.3K-2.2K0.21102.85N/AN/A7015160448
2012-05-30$50.58$55.0028.2%8.1%19.4%31.6%0.0%8.8%-1.6%-109.3K863.0K-2.8K0.0094.35N/AN/A00230463
2012-05-31$50.71$55.0026.9%7.7%19.3%29.4%0.0%8.9%-0.7%-118.7K819.8K-2.7K0.0093.71N/AN/A50230463