AAXJ Options History — August 2012

In August 2012, AAXJ traded between $52.48 and $54.64. ATM implied volatility averaged 18.7%, placing in the 15.8% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 3.0% (HV 20d: 15.7%). Max pain ranged from $51.00 to $51.00. Net GEX was positive for 16 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.00.

Notable Days

  • 2012-08-02: Highest Volume — 42 contracts
  • 2012-08-16: Largest IV spike — 29.0% change
  • 2012-08-01: Highest IV Rank — 25.2%
  • 2012-08-01: Largest Expected Move — 7.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$53.84$52.48$54.64$53.12$53.10
Max Pain$51.00$51.00$51.00$51.00$51.00
ATM IV18.7%14.1%24.3%24.3%19.9%
Expected Move5.7%4.9%7.0%7.0%5.7%
HV 20d15.7%8.6%20.4%19.3%8.6%
HV 60d22.6%20.3%24.1%23.8%20.3%
IV Rank15.8%8.8%25.2%25.2%13.6%
IV Percentile18.0%2.0%51.6%51.6%23.0%
Term Structure2.5%-0.7%5.5%-0.7%2.0%
VWIV19.5%17.4%21.9%21.9%17.4%
Skew 25d3.3%-0.1%4.7%4.5%3.0%
Skew 10d4.7%0.2%17.4%4.6%2.9%
Call IV 25d17.9%14.7%21.9%21.9%18.3%
Put IV 25d21.2%17.6%26.4%26.4%21.3%
Bid-Ask Spread %95.0175.99110.0491.3296.82
Gamma HHI0.280.220.480.450.23
Net GEX4.4K-45.6K38.5K-36.5K17.7K
Net DEX-198.3K-354.6K235.5K131.8K-211.3K
Net VEX-2.2K-4.3K-1.3K-4.1K-1.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume3.73904200
Total OI883.913850897850897

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-08-01$53.12$0.0024.3%7.0%19.3%25.2%0.0%4.5%-0.7%-36.5K131.8K-4.1K0.0091.32N/AN/A00161689
2012-08-02$52.48$0.0024.2%6.9%19.6%25.0%0.0%3.9%0.3%-45.6K235.5K-4.3K0.00103.11N/AN/A042161689
2012-08-03$53.63$0.0019.2%5.5%20.4%17.0%0.0%2.5%1.2%-30.1K30.9K-3.8K0.00100.73N/AN/A00161731
2012-08-06$53.84$51.0019.4%6.1%20.2%17.4%0.0%4.1%2.5%-26.3K-7.1K-3.6K0.0075.99N/AN/A00161731
2012-08-07$54.12$51.0020.0%6.2%19.9%18.2%0.0%4.7%2.0%-17.1K-130.4K-3.1K0.0086.86N/AN/A00161731
2012-08-08$54.06$51.0018.9%6.1%19.9%16.5%0.0%3.9%2.8%-15.2K-137.1K-3.1K0.0083.24N/AN/A00161731
2012-08-09$54.42$51.0016.4%5.9%18.6%12.6%21.9%3.0%3.0%263-256.4K-2.5K0.0088.78N/AN/A010161731
2012-08-10$54.64$51.0014.1%5.6%17.8%8.8%0.0%3.8%3.0%7.3K-302.8K-2.2K0.0094.30N/AN/A00161721
2012-08-13$54.19$51.0015.8%5.9%17.9%11.5%0.0%3.6%2.9%2.9K-253.1K-2.2K0.0091.13N/AN/A00161721
2012-08-14$54.44$51.0016.1%5.9%17.3%12.0%0.0%3.6%2.9%6.8K-278.4K-2.1K0.0091.17N/AN/A00161721
2012-08-15$54.27$51.0015.0%5.7%17.2%10.3%0.0%3.2%4.0%9.7K-286.5K-2.0K0.0090.43N/AN/A00161721
2012-08-16$54.44$51.0019.4%5.6%17.0%17.4%19.3%3.1%3.6%19.5K-334.5K-1.8K0.0092.65N/AN/A10161721
2012-08-17$54.29$51.0017.4%5.0%16.4%14.2%0.0%1.9%5.5%38.5K-354.6K-1.3K0.00105.71N/AN/A00162721
2012-08-20$54.33$51.0017.9%5.1%14.0%15.0%0.0%4.5%1.6%26.6K-340.7K-1.6K0.0095.48N/AN/A00162721
2012-08-21$54.29$51.0018.5%5.3%13.9%15.9%0.0%3.4%1.8%26.5K-333.7K-1.5K0.0096.45N/AN/A00162721
2012-08-22$54.20$51.0017.2%4.9%14.0%13.9%0.0%3.4%4.5%23.8K-338.5K-1.4K0.0095.34N/AN/A00162721
2012-08-23$53.93$51.0018.0%5.2%13.6%15.1%0.0%2.9%3.6%23.8K-294.0K-1.5K0.0095.53N/AN/A00162721
2012-08-24$53.95$51.0019.6%5.6%10.9%17.6%0.0%2.3%2.4%23.9K-311.1K-1.4K0.0098.18N/AN/A00162721
2012-08-27$53.46$51.0020.0%5.7%11.4%18.3%0.0%2.5%2.3%14.7K-225.1K-1.6K0.00110.04N/AN/A50162721
2012-08-28$53.28$51.0019.9%5.7%11.3%18.2%17.4%3.5%2.3%15.2K-216.6K-1.6K0.0099.01N/AN/A280167721
2012-08-29$53.26$51.0019.6%5.6%11.3%15.9%0.0%-0.1%2.6%21.5K-244.4K-1.4K0.00108.08N/AN/A00176721
2012-08-30$52.64$51.0020.4%5.8%11.2%14.4%0.0%3.5%2.0%-6.2K-103.4K-1.8K0.0094.95N/AN/A00176721
2012-08-31$53.10$51.0019.9%5.7%8.6%13.6%0.0%3.0%2.0%17.7K-211.3K-1.4K0.0096.82N/AN/A00176721