AAXJ Options History — October 2012

In October 2012, AAXJ traded between $55.81 and $57.39. ATM implied volatility averaged 19.1%, placing in the 10.4% IV rank vs the trailing year. The 30-day expected move averaged 5.6%. IV traded above realized volatility by 4.3% (HV 20d: 14.8%). Max pain ranged from $50.00 to $59.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 25.00.

Notable Days

  • 2012-10-24: Highest Volume — 1,014 contracts
  • 2012-10-31: Largest IV spike — 180.9% change
  • 2012-10-31: Highest IV Rank — 67.0%
  • 2012-10-31: Largest Expected Move — 14.8%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.61$55.81$57.39$56.80$56.30
Max Pain$55.86$50.00$59.00$50.00$53.00
ATM IV19.1%15.2%51.7%17.5%51.7%
Expected Move5.6%4.8%14.8%5.0%14.8%
HV 20d14.8%12.3%17.0%17.0%14.8%
HV 60d15.1%14.2%16.3%16.3%14.6%
IV Rank10.4%3.6%67.0%7.6%67.0%
IV Percentile15.7%2.4%97.6%7.9%97.6%
Term Structure0.5%-20.1%2.1%1.6%-20.1%
VWIV19.8%16.0%23.6%16.0%23.6%
Skew 25d3.9%1.5%5.3%5.3%2.8%
Skew 10d9.9%-0.1%13.8%7.1%9.9%
Call IV 25d18.4%12.5%70.4%14.4%70.4%
Put IV 25d22.4%17.7%73.2%19.7%73.2%
Bid-Ask Spread %70.7759.20160.1669.75160.16
Gamma HHI0.650.580.730.630.58
Net GEX-127.9K-290.4K-87.8K-100.1K-241.7K
Net DEX912.2K480.6K2.5M772.5K2.5M
Net VEX-7.6K-13.3K-5.9K-7.4K-13.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio25.000.0075.000.0075.00
Total Volume55.14301,014100
Total OI1,153.818411,9601,0411,960

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-10-01$56.80$50.0017.5%5.0%17.0%7.6%0.0%5.3%1.6%-100.1K772.5K-7.4K0.0069.75N/AN/A100123918
2012-10-02$56.79$50.0016.7%4.8%16.9%6.2%0.0%4.0%1.7%-96.8K748.0K-7.4K0.0063.84N/AN/A013131918
2012-10-03$56.79$50.0016.7%4.8%16.6%6.2%0.0%1.5%1.7%-94.3K728.0K-7.3K0.0070.54N/AN/A00131905
2012-10-04$57.22$50.0016.9%4.9%16.1%6.6%0.0%5.3%1.3%-88.0K610.8K-7.2K0.0059.38N/AN/A00131905
2012-10-05$57.27$59.0015.2%5.1%15.5%3.6%16.0%4.1%2.0%-87.8K605.5K-7.1K0.0078.35N/AN/A50131905
2012-10-08$56.67$59.0016.3%5.0%15.1%5.4%0.0%3.4%1.7%-97.5K723.6K-7.0K0.0065.35N/AN/A00131905
2012-10-09$56.17$59.0017.3%5.4%15.1%7.2%0.0%4.1%1.4%-104.6K854.8K-7.2K0.0061.44N/AN/A011131905
2012-10-10$55.81$59.0017.3%5.5%15.0%7.3%0.0%4.2%1.1%-113.1K967.6K-7.4K0.0066.12N/AN/A00131916
2012-10-11$56.27$59.0018.2%5.2%15.0%8.7%0.0%3.6%1.7%-108.8K821.3K-7.1K0.0070.22N/AN/A00131916
2012-10-12$56.05$59.0018.1%5.2%13.1%8.7%0.0%3.7%2.1%-110.5K882.4K-7.1K0.0072.35N/AN/A00131916
2012-10-15$56.48$59.0018.1%5.2%12.3%8.7%0.0%4.4%1.7%-105.0K775.1K-6.7K0.0060.83N/AN/A00131916
2012-10-16$57.01$59.0017.2%4.9%12.4%7.1%0.0%3.7%2.0%-105.3K572.2K-6.1K0.0072.03N/AN/A00131916
2012-10-17$57.39$59.0017.3%5.0%12.6%7.3%0.0%3.5%1.7%-89.3K480.6K-5.9K0.0059.20N/AN/A00131916
2012-10-18$57.23$59.0017.2%4.9%12.6%7.0%0.0%4.1%1.8%-93.9K511.9K-5.9K0.0066.07N/AN/A00131916
2012-10-19$56.19$59.0017.8%5.1%14.0%8.1%0.0%3.9%1.1%-118.3K771.1K-6.4K0.0068.03N/AN/A00131916
2012-10-22$56.90$59.0017.1%4.9%14.7%6.8%23.6%5.1%1.8%-103.0K619.6K-6.0K75.0062.07N/AN/A175125716
2012-10-23$55.87$53.0018.8%5.4%16.1%9.8%0.0%4.0%1.4%-138.8K984.7K-6.7K0.0064.41N/AN/A029126791
2012-10-24$56.33$53.0019.7%5.6%15.6%11.3%0.0%3.5%0.9%-140.2K885.7K-6.7K0.0059.89N/AN/A01,014126820
2012-10-25$56.90$53.0018.4%5.3%15.8%9.1%0.0%4.7%1.2%-258.2K1.5M-11.3K0.0067.01N/AN/A001261,834
2012-10-26$56.39$53.0018.4%5.3%15.2%9.2%0.0%4.0%1.5%-290.4K1.8M-11.4K0.0069.24N/AN/A001261,834
2012-10-31$56.30$53.0051.7%14.8%14.8%67.0%0.0%2.8%-20.1%-241.7K2.5M-13.3K0.00160.16N/AN/A001261,834