AAXJ Options History — November 2012

In November 2012, AAXJ traded between $55.59 and $58.20. ATM implied volatility averaged 21.0%, placing in the 13.6% IV rank vs the trailing year. The 30-day expected move averaged 6.2%. IV traded above realized volatility by 4.4% (HV 20d: 16.6%). Max pain ranged from $53.00 to $53.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 10 of 21 days. Put/call ratio averaged 0.21.

Notable Days

  • 2012-11-30: Highest Volume — 26 contracts
  • 2012-11-05: Largest IV drop — 65.3% change
  • 2012-11-02: Highest IV Rank — 71.5%
  • 2012-11-02: Largest Expected Move — 15.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$56.84$55.59$58.20$57.32$58.20
Max Pain$53.00$53.00$53.00$53.00$53.00
ATM IV21.0%14.1%54.4%52.4%17.8%
Expected Move6.2%4.7%15.6%15.0%5.1%
HV 20d16.6%14.5%18.2%16.2%14.5%
HV 60d15.3%14.4%16.1%14.4%15.7%
IV Rank13.6%1.8%71.5%68.1%8.1%
IV Percentile23.3%0.8%98.0%98.0%19.4%
Term Structure-2.0%-23.4%1.1%-20.9%-0.5%
VWIV19.1%16.5%21.3%21.3%16.5%
Skew 25d3.3%2.2%4.2%2.8%2.7%
Skew 10d9.7%5.4%13.1%13.0%10.4%
Call IV 25d22.1%14.4%74.2%71.3%16.0%
Put IV 25d25.4%18.2%76.9%74.1%18.7%
Bid-Ask Spread %70.1950.50159.76159.7650.50
Gamma HHI0.690.590.780.590.63
Net GEX-245.8K-352.0K-109.6K-223.3K-109.6K
Net DEX1.1M119.8K2.2M2.0M119.8K
Net VEX-7.2K-12.5K-2.9K-12.4K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.210.000.630.000.63
Total Volume2.238026026
Total OI1,929.7621,8761,9621,9601,890

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2012-11-01$57.32$53.0052.4%15.0%16.2%68.1%0.0%2.8%-20.9%-223.3K2.0M-12.4K0.00159.76N/AN/A001261,834
2012-11-02$56.94$53.0054.4%15.6%16.3%71.5%0.0%2.8%-23.4%-231.1K2.2M-12.5K0.00159.11N/AN/A011261,834
2012-11-05$57.29$53.0018.9%5.6%16.3%9.9%0.0%3.6%-0.4%-228.8K1.0M-8.4K0.0061.23N/AN/A501261,835
2012-11-06$57.71$53.0018.3%5.3%16.5%9.0%0.0%4.0%0.3%-211.8K878.8K-7.9K0.0062.27N/AN/A001261,835
2012-11-07$56.75$53.0014.1%5.4%17.2%1.8%0.0%3.9%0.7%-255.5K1.3M-8.8K0.0065.96N/AN/A001261,835
2012-11-08$56.17$53.0018.7%5.8%17.3%9.7%0.0%3.8%0.6%-299.2K1.6M-9.3K0.0059.87N/AN/A001261,835
2012-11-09$56.52$53.0017.0%5.6%17.2%6.8%0.0%3.6%1.1%-292.9K1.5M-8.9K0.0069.06N/AN/A001261,835
2012-11-12$56.73$53.0017.2%5.4%17.0%7.1%0.0%3.5%0.8%-257.7K1.2M-8.1K0.0062.85N/AN/A001261,835
2012-11-13$56.09$53.0019.1%5.4%17.5%10.3%21.3%3.2%0.7%-309.4K1.4M-8.3K0.0063.19N/AN/A011261,835
2012-11-14$55.63$53.0019.9%5.6%17.5%11.7%0.0%3.8%0.6%-352.0K1.8M-9.2K0.0054.09N/AN/A001261,836
2012-11-15$55.68$53.0019.4%5.6%17.1%10.9%0.0%4.2%1.1%-340.2K1.8M-9.1K0.0062.25N/AN/A001261,836
2012-11-16$55.59$53.0017.7%5.1%16.8%7.9%0.0%3.4%1.0%-349.5K1.6M-8.4K0.0066.74N/AN/A001261,836
2012-11-19$56.59$53.0016.6%4.8%18.2%6.0%0.0%3.8%-0.2%-287.2K1.1M-6.3K0.0056.30N/AN/A1001151,761
2012-11-20$56.34$53.0016.6%4.8%17.0%6.0%19.4%3.5%0.1%-290.5K1.0M-6.4K0.0058.09N/AN/A041251,761
2012-11-21$56.42$53.0017.3%4.9%16.4%7.1%0.0%2.7%-0.7%-283.0K901.8K-5.8K0.0054.35N/AN/A001251,765
2012-11-23$57.46$53.0017.3%5.0%16.2%7.3%0.0%2.6%-0.4%-186.8K413.7K-4.1K0.0059.18N/AN/A001251,765
2012-11-26$57.45$53.0017.3%5.0%16.0%7.2%0.0%2.2%-1.0%-145.5K292.7K-3.5K0.0057.24N/AN/A001251,765
2012-11-27$57.18$53.0017.6%5.1%15.8%7.8%0.0%3.2%-0.8%-209.8K491.2K-4.2K0.0059.59N/AN/A001251,765
2012-11-28$57.60$53.0016.5%4.7%15.6%5.8%0.0%3.0%-0.5%-154.6K241.9K-3.4K0.0065.42N/AN/A001251,765
2012-11-29$58.05$53.0016.9%4.8%15.7%6.5%0.0%4.0%-0.7%-142.9K272.0K-3.4K0.0066.94N/AN/A001251,765
2012-11-30$58.20$53.0017.8%5.1%14.5%8.1%16.5%2.7%-0.5%-109.6K119.8K-2.9K0.6350.50N/AN/A16101251,765