AAXJ Options History — July 2013

In July 2013, AAXJ traded between $53.70 and $57.01. ATM implied volatility averaged 22.2%, placing in the 31.5% IV rank vs the trailing year. The 30-day expected move averaged 6.4%. IV traded below realized volatility by 3.2% (HV 20d: 25.4%). Max pain ranged from $51.00 to $54.00. Net GEX was positive for 22 of 22 trading days. Term structure was in contango for 13 of 22 days. Put/call ratio averaged 1.80.

Notable Days

  • 2013-07-11: Highest Volume — 120 contracts
  • 2013-07-11: Largest IV drop — 14.6% change
  • 2013-07-05: Highest IV Rank — 36.9%
  • 2013-07-02: Largest Expected Move — 7.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.69$53.70$57.01$54.83$55.89
Max Pain$53.45$51.00$54.00$51.00$54.00
ATM IV22.2%19.9%24.9%23.4%21.5%
Expected Move6.4%5.7%7.1%6.7%6.2%
HV 20d25.4%20.0%31.1%27.1%20.4%
HV 60d21.0%19.8%21.6%20.1%21.2%
IV Rank31.5%26.7%36.9%33.9%30.0%
IV Percentile87.7%79.0%95.6%91.7%87.3%
Term Structure0.2%-1.1%1.3%-0.3%0.6%
VWIV24.5%20.4%29.5%29.5%20.4%
Skew 25d5.6%3.7%6.8%5.3%6.0%
Skew 10d12.5%7.8%17.3%11.7%17.3%
Call IV 25d20.1%17.8%22.8%21.6%19.5%
Put IV 25d25.6%23.4%29.0%26.8%25.4%
Bid-Ask Spread %51.6223.2399.5264.0499.52
Gamma HHI0.260.180.670.250.20
Net GEX180.2K6.7K602.3K221.3K6.7K
Net DEX-2.2M-4.7M-434.7K-2.7M-434.7K
Net VEX-12.1K-14.3K-10.1K-14.3K-10.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.800.007.000.000.00
Total Volume24.1820120205
Total OI2,024.3641,3462,5532,1191,409

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-07-01$54.83$51.0023.4%6.7%27.1%33.9%0.0%5.3%-0.3%221.3K-2.7M-14.3K0.0064.04N/AN/A0201,344775
2013-07-02$54.33$51.0024.8%7.1%27.0%36.8%0.0%5.6%-1.1%215.7K-2.2M-14.3K0.0040.22N/AN/A0301,344795
2013-07-03$53.84$51.0024.7%7.1%26.7%36.5%0.0%6.0%-0.5%205.2K-1.7M-14.2K0.0034.74N/AN/A001,344825
2013-07-05$53.77$53.0024.9%7.1%26.4%36.9%29.5%6.8%-0.4%210.8K-1.6M-13.8K0.0027.66N/AN/A0751,344825
2013-07-08$53.70$53.0024.5%7.0%26.4%36.1%0.0%6.6%-0.5%215.7K-1.5M-13.1K0.0023.23N/AN/A01001,344892
2013-07-09$54.29$53.0024.1%6.8%26.7%35.4%23.7%6.3%-0.3%204.6K-2.0M-13.3K0.0031.25N/AN/A0871,344992
2013-07-10$54.17$54.0024.0%6.8%26.1%35.2%0.0%6.1%-0.3%184.9K-1.7M-13.6K0.0032.47N/AN/A2001,3441,079
2013-07-11$56.73$54.0020.5%5.9%31.1%28.0%0.0%3.7%0.7%174.6K-4.4M-12.7K0.2054.99N/AN/A100201,3641,079
2013-07-12$55.94$54.0021.7%6.2%31.1%30.5%0.0%4.5%0.3%265.7K-3.8M-13.4K0.0049.70N/AN/A021,4541,099
2013-07-15$56.30$54.0022.2%6.4%30.8%31.4%0.0%5.1%0.2%284.5K-4.3M-12.4K0.0062.91N/AN/A011,4541,099
2013-07-16$56.39$54.0022.3%6.4%30.5%31.6%0.0%5.7%0.2%307.1K-4.4M-12.1K7.0062.41N/AN/A171,4541,098
2013-07-17$56.58$54.0020.8%6.0%30.6%28.6%0.0%5.6%0.8%341.4K-4.7M-11.7K0.0062.58N/AN/A001,4551,091
2013-07-18$56.00$54.0021.7%6.2%29.3%30.3%0.0%5.5%0.2%388.1K-4.1M-11.6K0.0063.99N/AN/A001,4551,091
2013-07-19$55.87$54.0021.2%6.1%23.5%29.4%0.0%5.2%0.8%602.3K-3.8M-11.3K0.0066.05N/AN/A001,4551,091
2013-07-22$56.29$54.0021.9%6.3%23.0%30.7%24.5%5.3%0.1%24.5K-693.5K-10.8K0.0050.44N/AN/A060651695
2013-07-23$57.00$54.0020.4%5.8%21.1%27.7%20.4%5.4%0.9%20.3K-994.1K-10.8K0.0055.03N/AN/A30651755
2013-07-24$56.66$54.0020.2%5.8%20.5%27.4%0.0%5.8%1.0%16.6K-814.5K-10.7K0.0052.30N/AN/A00654755
2013-07-25$56.99$54.0020.1%5.8%20.0%27.2%0.0%5.2%1.1%23.3K-1.0M-10.5K0.0052.30N/AN/A00654755
2013-07-26$57.01$54.0019.9%5.7%20.0%26.7%0.0%5.5%1.3%25.1K-1.0M-10.3K0.0051.79N/AN/A00654755
2013-07-29$56.32$54.0022.1%6.3%20.5%31.2%0.0%5.8%-0.1%13.9K-677.8K-10.3K0.0050.36N/AN/A00654755
2013-07-30$56.24$54.0022.0%6.3%20.6%31.1%0.0%5.5%-0.1%11.3K-624.1K-10.2K0.0047.61N/AN/A01654755
2013-07-31$55.89$54.0021.5%6.2%20.4%30.0%0.0%6.0%0.6%6.7K-434.7K-10.1K0.0099.52N/AN/A05654755