AAXJ Options History — June 2012

In June 2012, AAXJ traded between $49.39 and $53.23. ATM implied volatility averaged 27.0%, placing in the 29.6% IV rank vs the trailing year. The 30-day expected move averaged 8.0%. IV traded above realized volatility by 2.1% (HV 20d: 24.9%). Max pain ranged from $51.00 to $55.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 15 of 21 days. Put/call ratio averaged 0.08.

Notable Days

  • 2012-06-11: Highest Volume — 589 contracts
  • 2012-06-29: Largest IV spike — 86.1% change
  • 2012-06-29: Highest IV Rank — 60.8%
  • 2012-06-29: Largest Expected Move — 13.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$51.23$49.39$53.23$49.46$52.61
Max Pain$51.19$51.00$55.00$55.00$51.00
ATM IV27.0%21.4%46.4%29.0%46.4%
Expected Move8.0%6.2%13.3%8.3%13.3%
HV 20d24.9%20.3%29.4%20.5%28.5%
HV 60d20.2%18.5%23.0%19.0%23.0%
IV Rank29.6%20.6%60.8%32.8%60.8%
IV Percentile63.8%43.3%93.3%73.8%93.3%
Term Structure-0.5%-16.3%1.9%1.7%-16.3%
VWIV31.5%30.3%32.8%31.3%30.3%
Skew 25d6.5%-3.4%9.4%9.4%-3.4%
Skew 10d13.7%-3.6%19.9%19.4%19.9%
Call IV 25d25.9%18.8%59.9%25.0%59.9%
Put IV 25d32.4%25.0%56.6%34.4%56.6%
Bid-Ask Spread %75.7747.62175.4995.70175.49
Gamma HHI0.610.380.800.740.49
Net GEX-94.2K-164.5K-14.4K-118.1K-50.2K
Net DEX564.9K-20.1K1.2M1.2M298.2K
Net VEX-3.5K-4.8K-1.6K-2.5K-4.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.080.000.310.310.00
Total Volume57.238058901
Total OI7934031,009693885

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-06-01$49.46$55.0029.0%8.3%20.5%32.8%0.0%9.4%1.7%-118.1K1.2M-2.5K0.0095.70N/AN/A00230463
2012-06-04$49.39$51.0028.4%8.7%20.3%31.8%0.0%8.0%0.3%-136.4K1.2M-2.3K0.0067.46N/AN/A010230463
2012-06-05$49.63$51.0026.0%7.7%20.6%28.0%0.0%7.5%0.9%-164.5K1.2M-2.2K0.3158.12N/AN/A3210230473
2012-06-06$51.13$51.0025.7%7.7%23.9%27.4%0.0%6.0%-0.2%-147.9K589.9K-2.6K0.0050.46N/AN/A00262483
2012-06-07$51.56$51.0021.4%7.5%24.0%20.6%0.0%8.5%0.9%-135.0K397.5K-2.4K0.0048.41N/AN/A0379262483
2012-06-08$50.95$51.0024.3%7.8%24.2%25.3%31.3%7.4%0.6%-14.4K96.5K-1.6K0.0054.96N/AN/A040262141
2012-06-11$50.46$51.0027.0%8.1%24.0%29.5%31.3%7.3%-0.2%-21.5K163.2K-1.6K0.0055.31N/AN/A0589262158
2012-06-12$51.65$51.0022.5%7.8%25.1%22.4%0.0%7.5%0.8%-100.5K789.5K-4.7K0.0047.62N/AN/A015262747
2012-06-13$51.37$51.0027.3%8.4%25.2%30.1%0.0%8.3%-0.2%-103.9K862.0K-4.8K0.0050.87N/AN/A00262740
2012-06-14$51.55$51.0027.6%7.9%24.0%30.6%32.8%7.7%-0.0%-98.6K793.1K-4.7K0.0050.46N/AN/A020262740
2012-06-15$52.43$51.0026.8%7.7%24.3%29.3%31.8%7.9%1.1%-80.0K575.5K-4.3K0.1766.55N/AN/A122262740
2012-06-18$52.46$51.0024.4%7.0%24.0%25.4%30.3%7.0%0.9%-77.2K347.3K-4.0K0.0064.44N/AN/A02120674
2012-06-19$53.19$51.0038.5%11.0%23.6%48.0%0.0%1.8%-10.7%-63.9K175.4K-3.5K0.00169.78N/AN/A270120676
2012-06-20$53.23$51.0021.6%6.2%23.5%20.8%0.0%6.2%1.9%-42.7K-20.1K-3.3K0.0072.75N/AN/A10147676
2012-06-21$50.93$51.0024.6%7.1%28.5%25.8%0.0%8.2%1.8%-96.8K518.3K-4.2K0.0079.37N/AN/A00147676
2012-06-22$51.23$51.0024.5%7.0%28.4%25.6%0.0%6.1%1.3%-93.2K421.3K-4.0K0.0073.03N/AN/A00147676
2012-06-25$50.15$51.0026.4%7.6%29.4%28.7%0.0%6.0%1.0%-119.4K716.6K-4.2K0.0073.25N/AN/A00147676
2012-06-26$50.58$51.0024.7%7.1%27.4%25.9%0.0%5.7%1.1%-112.8K582.1K-3.9K0.0078.32N/AN/A00147676
2012-06-27$51.18$51.0025.3%7.3%27.1%26.8%0.0%8.1%1.2%-95.7K397.2K-3.7K0.0078.40N/AN/A00147676
2012-06-28$50.75$51.0024.9%7.1%27.3%26.3%0.0%4.9%1.3%-106.4K488.1K-3.7K0.0080.44N/AN/A620147676
2012-06-29$52.61$51.0046.4%13.3%28.5%60.8%0.0%-3.4%-16.3%-50.2K298.2K-4.5K0.00175.49N/AN/A10209676