AAXJ Options History — August 2013

In August 2013, AAXJ traded between $53.37 and $57.09. ATM implied volatility averaged 20.5%, placing in the 28.0% IV rank vs the trailing year. The 30-day expected move averaged 5.9%. IV traded above realized volatility by 3.2% (HV 20d: 17.3%). Max pain ranged from $54.00 to $57.00. Net GEX was positive for 13 of 22 trading days. Term structure was in contango for 17 of 22 days. Put/call ratio averaged 85.70.

Notable Days

  • 2013-08-15: Highest Volume — 6,330 contracts
  • 2013-08-15: Largest IV spike — 27.9% change
  • 2013-08-27: Highest IV Rank — 32.7%
  • 2013-08-27: Largest Expected Move — 6.5%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$55.41$53.37$57.09$56.78$54.65
Max Pain$56.73$54.00$57.00$54.00$57.00
ATM IV20.5%16.2%22.8%20.6%21.0%
Expected Move5.9%5.0%6.5%5.9%6.0%
HV 20d17.3%14.1%21.8%20.6%18.5%
HV 60d21.9%21.3%22.4%21.4%22.1%
IV Rank28.0%19.1%32.7%28.2%29.0%
IV Percentile81.5%46.0%92.5%84.5%84.9%
Term Structure0.3%-1.5%1.4%0.7%0.5%
VWIV21.7%20.2%24.6%20.2%24.6%
Skew 25d5.0%4.0%6.2%4.6%6.2%
Skew 10d12.4%8.0%17.1%13.6%11.7%
Call IV 25d18.7%15.6%20.7%18.8%19.4%
Put IV 25d23.7%20.1%26.1%23.3%25.6%
Bid-Ask Spread %59.2831.5499.0447.4231.54
Gamma HHI0.340.180.530.210.43
Net GEX197.2K-470.5K1.0M26.8K621.2K
Net DEX-1.5M-12.5M4.4M-961.0K-4.9M
Net VEX-59.7K-123.8K-9.7K-9.7K-98.4K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio85.700.00685.00685.000.00
Total Volume679.09106,3301,37210
Total OI7,237.4551,40413,3431,40411,653

Daily Data (22 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-08-01$56.78$54.0020.6%5.9%20.6%28.2%0.0%4.6%0.7%26.8K-961.0K-9.7K685.0047.42N/AN/A21,370654750
2013-08-02$56.77$54.0019.6%5.6%20.6%26.1%20.2%5.1%0.5%-291.3K1.7M-19.1K0.0039.84N/AN/A39006551,963
2013-08-05$56.39$57.0021.8%6.2%20.8%30.6%0.0%5.7%0.9%-324.0K2.4M-17.2K0.0059.80N/AN/A01105351,932
2013-08-06$55.77$57.0021.4%6.2%21.1%29.8%0.0%5.4%0.9%-431.4K3.5M-17.1K0.0060.12N/AN/A034552,042
2013-08-07$54.99$57.0022.7%6.5%21.8%32.4%21.5%5.2%0.7%-469.1K4.4M-16.5K0.0063.32N/AN/A024552,045
2013-08-08$55.84$57.0020.6%6.1%14.9%28.1%20.6%5.6%1.1%-439.0K3.4M-16.5K0.4564.04N/AN/A1154552,047
2013-08-09$55.73$57.0020.2%6.1%14.1%27.3%0.0%5.6%0.9%-446.7K3.4M-16.4K0.0062.24N/AN/A054652,052
2013-08-12$56.33$57.0019.4%5.4%14.4%25.7%0.0%4.4%-0.6%-470.5K2.7M-14.7K0.0081.82N/AN/A0504652,057
2013-08-13$56.93$57.0017.2%5.1%14.9%21.2%0.0%4.7%0.5%-367.1K1.9M-15.0K0.0082.40N/AN/A004652,107
2013-08-14$57.09$57.0016.2%5.0%14.9%19.1%0.0%4.5%1.4%-316.9K1.7M-14.5K0.0084.58N/AN/A3,15004652,107
2013-08-15$56.38$57.0020.7%5.9%15.1%28.3%21.6%5.0%0.2%189.8K-3.5M-54.1K0.1360.31N/AN/A5,5807503,5962,107
2013-08-16$56.24$57.0020.0%5.7%15.1%26.9%0.0%4.0%0.1%1.0M-12.5M-123.8K0.0056.50N/AN/A009,1762,768
2013-08-19$55.40$57.0020.1%5.7%15.8%27.0%0.0%5.0%0.6%824.5K-8.2M-113.3K0.0065.08N/AN/A1009,1332,408
2013-08-20$54.91$57.0020.8%6.0%15.2%28.5%24.6%5.8%0.0%789.7K-6.2M-107.7K0.0094.12N/AN/A029,1432,408
2013-08-21$53.78$57.0020.7%5.9%16.6%28.3%0.0%5.9%0.5%574.1K-1.9M-89.7K0.0035.42N/AN/A009,1432,410
2013-08-22$54.51$57.0019.8%5.7%17.3%26.5%0.0%4.7%1.0%655.1K-3.7M-97.5K0.0099.04N/AN/A009,1432,410
2013-08-23$54.79$57.0020.4%5.8%17.5%27.7%0.0%4.4%0.0%705.3K-5.2M-99.8K0.0039.54N/AN/A009,1432,410
2013-08-26$54.51$57.0021.1%6.1%17.1%29.3%0.0%4.0%-1.1%655.6K-3.9M-95.5K0.0034.42N/AN/A009,1432,410
2013-08-27$53.37$57.0022.8%6.5%18.5%32.7%0.0%5.4%-0.0%486.0K-49.3K-83.9K0.0036.57N/AN/A009,1432,410
2013-08-28$53.60$57.0021.8%6.3%18.6%30.6%0.0%4.5%-1.1%487.9K-659.9K-83.9K0.0032.60N/AN/A3,48009,1432,410
2013-08-29$54.26$57.0022.7%6.5%18.2%32.5%0.0%4.5%-1.5%846.6K-5.8M-108.4K0.0073.41N/AN/A01010,9332,410
2013-08-30$54.65$57.0021.0%6.0%18.5%29.0%0.0%6.2%0.5%621.2K-4.9M-98.4K0.0031.54N/AN/A1009,2332,420