AAXJ Options History — May 2013

In May 2013, AAXJ traded between $58.14 and $61.55. ATM implied volatility averaged 13.6%, placing in the 13.8% IV rank vs the trailing year. The 30-day expected move averaged 4.0%. IV traded below realized volatility by 0.2% (HV 20d: 13.8%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 20 of 22 days. Put/call ratio averaged 0.91.

Notable Days

  • 2013-05-31: Highest Volume — 314 contracts
  • 2013-05-13: Largest IV spike — 26.1% change
  • 2013-05-31: Highest IV Rank — 23.5%
  • 2013-05-31: Largest Expected Move — 5.3%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.31$58.14$61.55$59.74$58.14
Max Pain$58.45$55.00$59.00$55.00$59.00
ATM IV13.6%11.3%18.3%13.6%18.3%
Expected Move4.0%3.6%5.3%3.9%5.3%
HV 20d13.8%10.9%16.9%16.9%13.0%
HV 60d13.7%13.4%14.2%13.6%14.2%
IV Rank13.8%9.2%23.5%13.8%23.5%
IV Percentile18.0%1.2%65.1%15.1%65.1%
Term Structure0.6%-1.2%1.4%0.6%-1.2%
VWIV13.3%12.1%14.0%13.9%14.0%
Skew 25d3.0%1.7%10.3%2.5%10.3%
Skew 10d6.7%0.4%9.3%8.6%3.5%
Call IV 25d12.7%11.5%14.0%13.1%12.4%
Put IV 25d15.6%13.9%22.7%15.6%22.7%
Bid-Ask Spread %57.3226.3896.4835.6596.48
Gamma HHI0.490.410.600.600.48
Net GEX117.0K55.4K148.1K88.1K55.4K
Net DEX-694.4K-1.0M-48.5K-529.9K-48.5K
Net VEX-2.4K-2.9K-1.7K-2.5K-1.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.910.0010.0010.000.01
Total Volume22.727031455314
Total OI409.455307436307436

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-05-01$59.74$55.0013.6%3.9%16.9%13.8%13.9%2.5%0.6%88.1K-529.9K-2.5K10.0035.65N/AN/A55024562
2013-05-02$60.15$55.0012.9%3.7%16.9%12.3%0.0%3.0%0.6%92.8K-596.1K-2.7K0.0035.00N/AN/A00249112
2013-05-03$60.43$55.0012.5%3.6%16.4%11.6%0.0%1.7%1.4%92.1K-680.8K-2.6K0.0026.38N/AN/A00249112
2013-05-06$60.65$59.0012.7%3.9%16.2%11.8%0.0%2.5%0.7%96.3K-723.8K-2.5K0.0064.66N/AN/A00249112
2013-05-07$61.11$59.0012.4%3.8%16.2%11.2%0.0%3.1%0.8%97.3K-832.8K-2.4K0.0071.99N/AN/A00249112
2013-05-08$61.55$59.0011.3%3.7%16.1%9.2%12.1%2.5%0.9%99.0K-929.1K-2.2K0.0071.24N/AN/A640249112
2013-05-09$61.22$59.0012.2%3.8%16.3%10.9%0.0%2.6%1.1%131.8K-943.4K-2.7K0.0072.13N/AN/A90313112
2013-05-10$60.91$59.0011.6%3.8%15.5%9.7%0.0%2.6%0.9%129.2K-908.3K-2.9K0.0073.07N/AN/A00322112
2013-05-13$60.24$59.0014.6%4.0%14.7%15.9%0.0%2.8%0.4%127.0K-717.1K-2.8K0.0069.95N/AN/A00322112
2013-05-14$60.63$59.0013.4%3.9%13.1%13.4%0.0%3.0%0.8%132.8K-828.1K-2.7K0.0073.07N/AN/A00322112
2013-05-15$60.71$59.0013.1%3.8%12.0%12.8%0.0%2.7%1.0%135.7K-863.8K-2.7K0.0062.34N/AN/A00322112
2013-05-16$60.59$59.0013.4%3.8%12.2%13.3%0.0%2.7%0.8%137.8K-822.6K-2.6K0.0072.31N/AN/A00322112
2013-05-17$60.86$59.0013.2%3.8%10.9%13.0%0.0%2.4%1.0%144.8K-897.1K-2.6K0.0070.51N/AN/A20322112
2013-05-20$61.28$59.0013.4%3.8%11.0%13.3%13.0%2.6%0.9%139.6K-1.0M-2.4K0.0075.90N/AN/A10317105
2013-05-21$61.18$59.0013.3%3.8%11.0%13.1%0.0%2.0%0.9%148.1K-996.8K-2.4K0.0032.90N/AN/A07318105
2013-05-22$60.41$59.0014.1%4.0%12.1%14.8%14.0%2.5%1.0%135.4K-745.8K-2.4K0.0036.85N/AN/A100318112
2013-05-23$59.74$59.0013.7%3.9%12.5%14.1%12.5%2.6%0.8%123.8K-540.1K-2.3K0.0039.84N/AN/A100318112
2013-05-24$59.19$59.0014.6%4.2%12.8%15.9%14.0%2.5%0.6%107.5K-380.6K-2.2K0.0048.51N/AN/A200317112
2013-05-28$59.75$59.0014.5%4.2%12.7%15.6%0.0%2.6%-0.1%130.6K-545.1K-2.1K0.0044.68N/AN/A04317112
2013-05-29$59.14$59.0015.2%4.4%12.4%17.2%0.0%3.2%0.1%112.7K-361.3K-2.0K0.0039.88N/AN/A30317116
2013-05-30$59.21$59.0015.1%4.3%11.8%16.9%0.0%2.8%0.2%116.5K-381.0K-2.0K0.0047.63N/AN/A10319116
2013-05-31$58.14$59.0018.3%5.3%13.0%23.5%0.0%10.3%-1.2%55.4K-48.5K-1.7K0.0196.48N/AN/A3104320116