AAXJ Options History — September 2013

In September 2013, AAXJ traded between $55.21 and $61.19. ATM implied volatility averaged 19.8%, placing in the 26.5% IV rank vs the trailing year. The 30-day expected move averaged 5.7%. IV traded above realized volatility by 0.0% (HV 20d: 19.8%). Max pain ranged from $55.00 to $57.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 17 of 20 days. Put/call ratio averaged 0.22.

Notable Days

  • 2013-09-10: Highest Volume — 10,450 contracts
  • 2013-09-24: Largest IV spike — 6.3% change
  • 2013-09-03: Highest IV Rank — 33.0%
  • 2013-09-03: Largest Expected Move — 6.6%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$58.64$55.21$61.19$55.21$58.28
Max Pain$55.30$55.00$57.00$57.00$55.00
ATM IV19.8%17.6%22.9%22.9%19.2%
Expected Move5.7%5.0%6.6%6.6%5.5%
HV 20d19.8%18.4%21.3%18.8%20.6%
HV 60d20.8%19.3%22.5%22.2%19.9%
IV Rank26.5%22.0%33.0%33.0%25.3%
IV Percentile73.7%58.7%92.5%92.5%68.7%
Term Structure0.5%-0.8%1.6%-0.8%0.7%
VWIV21.5%18.7%23.2%22.0%23.2%
Skew 25d4.0%1.6%5.9%5.9%4.3%
Skew 10d8.9%5.2%13.9%13.7%9.2%
Call IV 25d18.5%16.1%20.6%20.6%17.7%
Put IV 25d22.5%20.1%26.5%26.5%22.0%
Bid-Ask Spread %41.3122.8284.2082.8642.88
Gamma HHI0.520.420.670.440.63
Net GEX2.4M676.9K4.6M676.9K2.6M
Net DEX-28.4M-48.6M-8.1M-8.1M-23.1M
Net VEX-138.4K-205.3K-105.1K-105.1K-113.7K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.220.002.000.002.00
Total Volume1,173.6010,450680
Total OI14,762.811,65321,99711,65312,355

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-09-03$55.21$57.0022.9%6.6%18.8%33.0%0.0%5.9%-0.8%676.9K-8.1M-105.1K0.0082.86N/AN/A6809,2332,420
2013-09-04$56.17$57.0021.7%6.2%19.5%30.3%0.0%5.3%0.0%885.8K-11.9M-109.0K0.0025.35N/AN/A009,2972,420
2013-09-05$56.60$57.0021.1%6.0%18.9%29.1%0.0%4.6%0.3%999.2K-14.5M-113.7K0.0084.20N/AN/A009,2972,420
2013-09-06$57.12$55.0021.3%6.3%18.4%29.7%22.0%5.0%-0.0%1.1M-17.4M-116.7K0.0022.82N/AN/A309,2972,420
2013-09-09$58.36$55.0021.0%6.0%19.7%29.0%23.1%4.6%0.4%1.4M-23.5M-118.1K0.5027.56N/AN/A429,3002,420
2013-09-10$58.80$55.0019.7%5.8%19.6%26.4%22.0%3.5%1.6%1.5M-25.7M-116.0K0.0028.58N/AN/A10,45009,3012,419
2013-09-11$58.80$55.0019.5%5.8%19.3%25.8%0.0%4.8%0.6%2.3M-29.8M-149.7K0.0026.32N/AN/A22013,9312,419
2013-09-12$58.09$55.0020.5%5.9%19.9%27.9%0.0%3.9%0.7%2.1M-25.8M-140.0K0.0026.91N/AN/A1013,9532,419
2013-09-13$58.48$55.0020.6%5.9%19.4%28.0%0.0%4.9%1.1%2.2M-27.7M-144.3K1.0028.65N/AN/A2213,9532,419
2013-09-16$59.25$55.0020.4%5.8%19.7%27.7%0.0%3.7%0.6%2.6M-32.6M-145.7K0.0039.22N/AN/A3013,9552,417
2013-09-17$59.09$55.0019.5%5.6%18.7%25.9%20.4%3.9%0.8%2.7M-31.7M-144.1K0.0035.87N/AN/A2013,9582,417
2013-09-18$61.19$55.0019.9%5.7%21.2%26.6%20.8%1.6%-0.8%3.1M-43.6M-152.5K0.0156.87N/AN/A3,5083013,9592,417
2013-09-19$61.00$55.0018.7%5.4%19.2%24.2%18.7%1.7%0.7%3.8M-48.6M-186.7K0.0049.91N/AN/A309017,4202,447
2013-09-20$59.78$55.0018.7%5.4%21.1%24.2%23.2%3.1%1.3%3.6M-41.0M-177.7K0.0046.18N/AN/A1,748017,6762,447
2013-09-23$59.87$55.0017.6%5.0%21.1%22.0%0.0%4.0%0.6%3.4M-37.8M-160.5K0.0042.53N/AN/A6,960015,63197
2013-09-24$59.45$55.0018.7%5.4%21.3%24.2%0.0%3.8%0.7%4.6M-41.4M-205.3K0.0032.68N/AN/A190021,90097
2013-09-25$59.02$55.0018.4%5.3%19.6%23.7%0.0%3.6%0.9%2.7M-28.3M-123.7K0.0052.92N/AN/A2012,09097
2013-09-26$59.39$55.0018.4%5.3%19.6%23.6%0.0%4.4%0.5%2.8M-29.5M-123.4K0.0035.13N/AN/A016012,09297
2013-09-27$58.90$55.0018.1%5.2%19.9%23.0%0.0%4.3%0.6%2.7M-26.5M-120.9K2.0038.77N/AN/A2412,092257
2013-09-30$58.28$55.0019.2%5.5%20.6%25.3%0.0%4.3%0.7%2.6M-23.1M-113.7K0.0042.88N/AN/A0012,094261