AAXJ Options History — July 2012

In July 2012, AAXJ traded between $50.77 and $53.64. ATM implied volatility averaged 23.4%, placing in the 23.8% IV rank vs the trailing year. The 30-day expected move averaged 6.8%. IV traded below realized volatility by 2.4% (HV 20d: 25.8%). Max pain ranged from $51.00 to $51.00. Net GEX was positive for 10 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 54.03.

Notable Days

  • 2012-07-25: Highest Volume — 652 contracts
  • 2012-07-20: Largest IV spike — 111.6% change
  • 2012-07-20: Highest IV Rank — 55.1%
  • 2012-07-20: Largest Expected Move — 12.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$52.10$50.77$53.64$52.58$52.98
Max Pain$51.00$51.00$51.00$51.00$51.00
ATM IV23.4%20.2%42.9%21.1%21.5%
Expected Move6.8%5.8%12.3%6.1%6.2%
HV 20d25.8%20.5%29.1%28.4%20.6%
HV 60d23.0%22.3%24.0%23.0%23.8%
IV Rank23.8%18.6%55.1%20.1%20.8%
IV Percentile45.1%27.8%91.3%36.9%34.5%
Term Structure0.2%-14.1%2.0%1.9%1.0%
Skew 25d5.5%1.8%7.6%1.8%7.3%
Skew 10d5.1%2.8%13.0%3.6%2.9%
Call IV 25d20.9%14.8%56.5%18.3%15.6%
Put IV 25d26.4%20.2%61.1%20.2%22.9%
Bid-Ask Spread %89.4765.78178.25105.5795.57
Gamma HHI0.410.220.630.380.44
Net GEX2.8K-64.6K98.2K-25.0K-35.7K
Net DEX-169.5K-530.4K422.4K-225.4K92.8K
Net VEX-2.4K-4.9K-1.2K-2.8K-4.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio54.030.00162.000.000.10
Total Volume33.238065200
Total OI776.095170886886850

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-07-02$52.58$51.0021.1%6.1%28.4%20.1%0.0%1.8%1.9%-25.0K-225.4K-2.8K0.00105.57N/AN/A00210676
2012-07-03$53.64$51.0020.2%5.8%29.1%18.6%0.0%3.7%2.0%21.5K-530.4K-2.2K0.0098.91N/AN/A00210676
2012-07-05$53.25$51.0022.6%6.5%27.6%22.6%0.0%4.4%0.9%9.2K-447.1K-2.3K0.0097.65N/AN/A00210676
2012-07-06$52.46$0.0022.6%7.0%28.2%22.4%0.0%5.8%0.6%-9.7K-297.5K-2.4K0.0071.23N/AN/A00210676
2012-07-09$52.16$0.0022.8%7.1%27.9%22.8%0.0%6.1%0.4%-5.7K-273.6K-2.3K0.0065.78N/AN/A00210676
2012-07-10$51.74$0.0022.3%6.9%27.8%22.1%0.0%6.0%0.7%-34.3K-127.0K-2.4K0.0066.49N/AN/A00210676
2012-07-11$52.00$0.0022.6%6.7%26.6%22.4%0.0%5.4%1.7%-5.6K-239.3K-2.2K0.0085.01N/AN/A00210676
2012-07-12$51.09$0.0024.4%7.0%27.3%25.5%0.0%5.7%1.1%-52.7K-13.5K-2.3K0.0072.35N/AN/A00210676
2012-07-13$51.97$0.0022.8%6.5%28.0%22.9%0.0%7.0%1.4%30.2K-338.4K-1.7K0.0086.64N/AN/A00210676
2012-07-16$51.59$0.0022.6%6.5%27.4%22.5%0.0%5.8%0.7%62.2K-277.1K-1.6K0.0091.33N/AN/A00210676
2012-07-17$52.39$0.0022.1%6.3%28.0%21.8%0.0%5.0%1.2%88.8K-450.3K-1.5K0.0081.65N/AN/A00210676
2012-07-18$52.10$0.0021.9%6.3%27.5%21.3%0.0%6.2%0.8%98.2K-387.8K-1.5K0.0085.34N/AN/A40210676
2012-07-19$52.54$0.0020.3%5.8%27.7%18.7%0.0%7.6%1.3%91.6K-489.2K-1.4K0.0091.20N/AN/A00210676
2012-07-20$51.94$0.0042.9%12.3%23.0%55.1%0.0%4.6%-14.1%-63.5K19.3K-1.9K0.00178.25N/AN/A00210676
2012-07-23$50.87$0.0024.2%6.9%24.1%25.0%0.0%5.0%0.4%14.0K-121.9K-1.2K0.0082.08N/AN/A0013733
2012-07-24$50.77$0.0025.6%7.3%22.8%27.3%0.0%5.2%-0.5%13.4K-119.1K-1.2K0.0066.96N/AN/A02013733
2012-07-25$50.85$0.0024.7%7.1%22.7%25.8%0.0%4.7%0.7%12.0K-87.0K-1.4K162.0087.26N/AN/A464813753
2012-07-26$51.58$0.0022.2%6.4%22.8%21.8%0.0%3.9%0.8%-64.6K422.4K-4.9K0.0073.61N/AN/A00141691
2012-07-27$52.85$0.0020.7%5.9%24.1%19.4%0.0%7.0%1.0%-43.3K158.4K-4.1K0.10102.55N/AN/A202141691
2012-07-30$52.69$0.0022.2%6.4%20.5%21.8%0.0%6.2%0.7%-42.0K171.0K-4.2K0.0093.46N/AN/A00161689
2012-07-31$52.98$0.0021.5%6.2%20.6%20.8%0.0%7.3%1.0%-35.7K92.8K-4.1K0.0095.57N/AN/A00161689