AAXJ Options History — January 2013

In January 2013, AAXJ traded between $59.90 and $61.76. ATM implied volatility averaged 16.4%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 4.4%. IV traded above realized volatility by 4.2% (HV 20d: 12.1%). Max pain ranged from $58.00 to $62.00. Net GEX was positive for 18 of 21 trading days. Term structure was in contango for 19 of 21 days. Put/call ratio averaged 0.25.

Notable Days

  • 2013-01-30: Highest Volume — 80 contracts
  • 2013-01-07: Largest IV spike — 322.2% change
  • 2013-01-07: Highest IV Rank — 93.4%
  • 2013-01-11: Largest Expected Move — 9.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.82$59.90$61.76$61.76$60.47
Max Pain$61.62$58.00$62.00$58.00$62.00
ATM IV16.4%12.2%55.6%14.2%13.4%
Expected Move4.4%3.6%9.1%4.1%3.8%
HV 20d12.1%9.1%13.0%11.1%9.1%
HV 60d13.3%11.8%14.1%14.0%11.8%
IV Rank8.7%0.0%93.4%2.9%2.6%
IV Percentile11.5%0.0%99.6%2.4%4.8%
Term Structure0.5%-7.2%1.8%1.5%1.0%
VWIV16.3%13.3%19.4%19.4%13.3%
Skew 25d1.5%-10.1%8.5%3.0%1.1%
Skew 10d5.2%-3.0%12.9%2.6%0.4%
Call IV 25d15.5%5.6%43.2%12.4%12.9%
Put IV 25d16.9%9.9%43.7%15.5%14.0%
Bid-Ask Spread %66.6232.65158.9046.0245.05
Gamma HHI0.640.400.760.400.71
Net GEX25.9K-100.5K77.2K-44677.2K
Net DEX-293.2K-610.0K597.5K-377.1K-610.0K
Net VEX-1.6K-3.8K-1.2K-1.6K-2.0K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.250.001.500.000.00
Total Volume5.33308010
Total OI598.238118880875217

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-01-02$61.76$58.0014.2%4.1%11.1%2.9%0.0%3.0%1.5%-446-377.1K-1.6K0.0046.02N/AN/A10113762
2013-01-03$61.29$58.0014.4%4.1%11.7%3.5%19.4%-0.3%1.2%32.6K-407.6K-1.4K1.50115.10N/AN/A23114762
2013-01-04$61.29$62.0013.2%4.4%11.2%0.8%0.0%3.5%1.2%33.2K-404.4K-1.4K0.0065.41N/AN/A00115765
2013-01-07$60.81$62.0055.6%8.7%11.7%93.4%0.0%1.6%-7.2%-90.1K597.3K-3.8K0.00158.90N/AN/A00115765
2013-01-08$60.30$62.0012.8%4.5%12.1%0.0%0.0%2.5%1.1%38.6K-334.9K-1.4K0.0059.92N/AN/A00115765
2013-01-09$60.76$62.0012.2%4.3%12.4%0.0%0.0%2.8%1.1%39.3K-371.5K-1.3K0.0053.92N/AN/A00115765
2013-01-10$61.23$62.0014.8%4.2%12.5%5.5%0.0%2.3%1.4%36.1K-408.3K-1.3K0.0054.91N/AN/A00115765
2013-01-11$60.81$62.0031.8%9.1%12.9%42.2%0.0%-10.1%-3.7%-100.5K597.5K-3.3K0.00137.57N/AN/A00115765
2013-01-14$60.95$62.0013.6%3.9%12.8%3.1%0.0%2.9%1.6%41.5K-395.0K-1.3K0.0056.90N/AN/A00115765
2013-01-15$60.81$62.0014.3%4.1%12.7%4.4%0.0%-3.5%0.9%43.5K-384.9K-1.3K0.00100.62N/AN/A00115765
2013-01-16$60.69$62.0013.6%3.9%12.8%3.1%13.3%2.2%1.8%46.2K-381.9K-1.3K0.0053.31N/AN/A20115765
2013-01-17$61.06$62.0015.0%4.3%12.7%6.0%0.0%2.2%0.9%36.7K-409.3K-1.2K0.0085.38N/AN/A00115765
2013-01-18$61.06$62.0013.8%4.0%12.7%3.5%0.0%1.8%0.5%33.0K-413.0K-1.2K0.0090.41N/AN/A40114765
2013-01-22$61.11$62.0013.1%3.7%12.6%1.9%0.0%8.5%0.9%37.1K-374.2K-1.2K0.0040.07N/AN/A10010810
2013-01-23$60.84$62.0012.5%3.6%11.9%0.6%0.0%2.1%0.7%40.7K-380.2K-1.3K0.0039.80N/AN/A0011810
2013-01-24$60.66$62.0013.0%3.7%12.0%1.7%0.0%1.1%1.1%40.7K-368.5K-1.3K0.0037.30N/AN/A0011810
2013-01-25$60.25$62.0012.8%3.7%12.3%1.4%0.0%2.3%1.2%42.6K-335.8K-1.3K0.0032.65N/AN/A01011810
2013-01-28$59.90$62.0013.4%3.8%12.5%2.6%0.0%0.9%1.3%38.9K-289.5K-1.3K0.0037.91N/AN/A0011820
2013-01-29$60.56$62.0013.0%3.7%13.0%1.8%0.0%1.8%0.9%38.6K-347.6K-1.3K0.0033.48N/AN/A0011820
2013-01-30$60.63$62.0012.8%3.7%11.8%1.3%0.0%1.8%0.6%38.4K-357.2K-1.3K0.0054.34N/AN/A80011820
2013-01-31$60.47$62.0013.4%3.8%9.1%2.6%0.0%1.1%1.0%77.2K-610.0K-2.0K0.0045.05N/AN/A0019720