AAXJ Options History — April 2013

In April 2013, AAXJ traded between $56.62 and $60.42. ATM implied volatility averaged 14.6%, placing in the 15.9% IV rank vs the trailing year. The 30-day expected move averaged 4.2%. IV traded above realized volatility by 0.2% (HV 20d: 14.5%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 11 of 22 trading days. Term structure was in contango for 18 of 22 days. Put/call ratio averaged 0.09.

Notable Days

  • 2013-04-22: Highest Volume — 16 contracts
  • 2013-04-11: Largest IV spike — 15.6% change
  • 2013-04-18: Highest IV Rank — 21.0%
  • 2013-04-18: Largest Expected Move — 4.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.29$56.62$60.42$58.54$60.42
Max Pain$55.73$55.00$59.00$59.00$55.00
ATM IV14.6%13.1%17.1%13.9%13.3%
Expected Move4.2%3.8%4.9%4.0%3.8%
HV 20d14.5%12.2%16.7%12.6%16.7%
HV 60d12.3%11.0%13.7%11.1%13.7%
IV Rank15.9%12.8%21.0%14.5%13.1%
IV Percentile21.6%7.5%41.7%15.1%8.7%
Term Structure0.3%-0.4%1.0%0.6%0.1%
VWIV15.5%15.5%15.5%15.5%15.5%
Skew 25d3.5%1.4%5.4%3.2%2.4%
Skew 10d8.6%2.3%15.2%6.6%5.2%
Call IV 25d13.1%10.7%14.9%12.7%11.9%
Put IV 25d16.7%14.4%19.9%15.9%14.4%
Bid-Ask Spread %49.2528.5577.6338.3530.18
Gamma HHI0.450.290.610.360.60
Net GEX-11.1K-205.8K93.4K-44.3K93.4K
Net DEX-129.2K-664.2K467.7K-109.8K-664.2K
Net VEX-2.8K-3.8K-2.2K-3.8K-2.5K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.090.000.750.000.00
Total Volume3.09101622
Total OI1,003.6362981,3401,326305

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-04-01$58.54$59.0013.9%4.0%12.6%14.5%0.0%3.2%0.6%-44.3K-109.8K-3.8K0.0038.35N/AN/A02744582
2013-04-02$58.81$59.0013.5%3.9%12.6%13.6%0.0%3.2%0.5%-25.0K-248.6K-3.6K0.0039.92N/AN/A00744584
2013-04-03$58.28$59.0014.5%4.2%12.4%15.7%0.0%5.4%0.3%-50.6K-31.6K-3.6K0.0041.86N/AN/A00744584
2013-04-04$58.03$59.0014.7%4.2%12.3%16.0%0.0%4.2%0.6%-77.8K26.6K-3.6K0.0034.78N/AN/A01744584
2013-04-05$57.49$55.0014.0%4.5%12.5%14.5%0.0%4.6%0.6%-112.7K173.9K-3.3K0.0049.19N/AN/A02744584
2013-04-08$57.27$55.0015.5%4.4%12.2%17.6%0.0%4.1%0.4%-134.0K349.2K-3.3K0.0046.79N/AN/A00744585
2013-04-09$57.69$55.0014.3%4.2%12.7%15.2%0.0%3.2%0.5%-62.0K45.1K-3.0K0.0049.62N/AN/A00744585
2013-04-10$58.31$55.0014.0%4.2%13.1%14.5%0.0%3.2%0.7%11.3K-183.8K-2.9K0.0059.24N/AN/A10744585
2013-04-11$58.34$55.0016.1%4.6%12.7%19.0%0.0%2.8%1.0%33.5K-211.9K-2.7K0.0075.71N/AN/A00745585
2013-04-12$57.58$55.0014.5%4.1%13.1%15.6%0.0%4.0%0.6%-97.5K21.6K-2.5K0.0053.27N/AN/A00745585
2013-04-15$56.62$55.0016.5%4.7%13.8%19.8%0.0%4.5%-0.2%-205.8K467.7K-2.6K0.0055.37N/AN/A00745585
2013-04-16$57.84$55.0015.1%4.3%15.5%16.8%0.0%4.3%0.2%-9.8K-56.7K-2.4K0.0052.33N/AN/A00745585
2013-04-17$57.18$55.0016.9%4.8%15.9%20.5%0.0%5.2%-0.4%-70.8K135.5K-2.3K0.0047.85N/AN/A100745585
2013-04-18$57.31$55.0017.1%4.9%15.6%21.0%0.0%4.9%-0.1%31.4K-18.5K-2.2K0.0052.31N/AN/A00755585
2013-04-19$58.33$55.0015.5%4.5%16.6%17.8%15.5%3.8%0.1%15.5K-269.4K-2.5K0.7564.39N/AN/A43755585
2013-04-22$58.59$55.0014.2%4.1%16.6%14.9%0.0%2.7%0.5%65.1K-282.1K-2.4K0.0054.67N/AN/A16023662
2013-04-23$58.55$55.0013.4%3.8%16.6%13.4%0.0%3.5%0.5%70.1K-270.0K-2.4K0.0052.17N/AN/A16024262
2013-04-24$58.93$55.0014.0%4.0%15.9%14.6%0.0%1.7%0.3%75.5K-353.2K-2.5K0.0039.89N/AN/A10024262
2013-04-25$59.45$55.0014.0%4.0%16.2%14.7%0.0%1.4%-0.2%82.1K-459.8K-2.6K0.0077.63N/AN/A1024262
2013-04-26$59.11$55.0014.0%4.0%16.3%14.6%0.0%3.1%0.2%79.7K-387.7K-2.6K0.0039.45N/AN/A0024362
2013-04-29$59.68$55.0013.1%3.8%16.3%12.8%0.0%2.4%0.2%88.0K-514.1K-2.5K0.0028.55N/AN/A0024362
2013-04-30$60.42$55.0013.3%3.8%16.7%13.1%0.0%2.4%0.1%93.4K-664.2K-2.5K0.0030.18N/AN/A2024362