AAXJ Options History — October 2013

In October 2013, AAXJ traded between $59.17 and $61.47. ATM implied volatility averaged 18.4%, placing in the 23.7% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 1.0% (HV 20d: 17.5%). Max pain ranged from $55.00 to $59.00. Net GEX was positive for 23 of 23 trading days. Term structure was in contango for 22 of 23 days. Put/call ratio averaged 0.51.

Notable Days

  • 2013-10-24: Highest Volume — 11,520 contracts
  • 2013-10-07: Largest IV spike — 12.6% change
  • 2013-10-08: Highest IV Rank — 29.6%
  • 2013-10-08: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$60.35$59.17$61.47$59.27$60.21
Max Pain$58.48$55.00$59.00$55.00$59.00
ATM IV18.4%15.9%21.3%19.4%17.5%
Expected Move5.3%4.6%6.1%5.6%5.0%
HV 20d17.5%14.1%21.0%21.0%14.4%
HV 60d18.3%17.7%20.1%20.1%17.8%
IV Rank23.7%18.5%29.6%25.8%21.8%
IV Percentile61.8%42.5%85.3%69.8%54.8%
Term Structure1.0%-0.0%2.1%0.2%1.3%
VWIV18.8%16.8%20.3%19.3%18.6%
Skew 25d4.0%1.7%5.7%5.5%1.7%
Skew 10d10.4%6.4%15.5%15.5%11.7%
Call IV 25d16.8%14.6%19.1%16.9%16.4%
Put IV 25d20.8%17.2%24.1%22.4%18.1%
Bid-Ask Spread %35.6826.4246.2246.2234.87
Gamma HHI0.420.390.590.590.45
Net GEX5.2M2.7M6.8M2.7M5.2M
Net DEX-60.2M-81.3M-27.9M-27.9M-50.3M
Net VEX-187.3K-224.2K-120.3K-120.3K-141.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.510.004.360.001.20
Total Volume1,022.739011,5206,0000
Total OI20,063.95712,35523,64512,35517,593

Daily Data (23 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-10-01$59.27$55.0019.4%5.6%21.0%25.8%0.0%5.5%0.2%2.7M-27.9M-120.3K0.0046.22N/AN/A6,000012,094261
2013-10-02$59.41$55.0019.9%5.7%20.4%26.6%0.0%4.5%-0.0%4.2M-45.7M-189.0K0.0041.04N/AN/A2018,094261
2013-10-03$59.40$55.0019.2%5.5%20.3%25.2%19.3%3.8%0.7%4.3M-46.1M-185.1K0.0038.03N/AN/A03018,096261
2013-10-04$60.04$59.0017.7%5.3%20.4%22.3%18.5%3.9%0.9%4.5M-50.9M-188.5K0.0035.43N/AN/A3018,096291
2013-10-07$59.48$59.0020.0%5.8%19.5%26.8%0.0%4.3%0.8%4.4M-47.5M-182.1K0.0036.14N/AN/A0018,099291
2013-10-08$59.17$59.0021.3%6.1%19.4%29.6%0.0%5.0%0.2%4.2M-44.6M-179.2K0.0027.52N/AN/A3,270018,099291
2013-10-09$59.61$59.0019.5%5.7%19.6%25.9%0.0%5.3%0.8%5.3M-56.2M-211.9K0.0033.14N/AN/A0021,180291
2013-10-10$60.76$59.0019.4%5.6%20.0%25.8%19.5%5.7%1.3%5.1M-67.5M-215.4K0.0028.82N/AN/A968021,180291
2013-10-11$60.98$59.0019.4%5.6%20.0%25.7%20.3%5.2%1.1%5.3M-72.4M-224.2K2.0027.32N/AN/A1221,959291
2013-10-14$61.22$59.0019.7%5.7%19.6%26.3%0.0%5.4%0.6%5.5M-76.0M-218.4K0.0726.42N/AN/A40321,960289
2013-10-15$60.42$59.0020.8%6.0%20.2%28.5%0.0%5.5%0.2%5.6M-69.6M-216.1K4.3637.60N/AN/A5021822,000288
2013-10-16$61.00$59.0018.6%5.3%16.2%24.1%0.0%4.5%1.5%5.8M-73.4M-216.0K0.0036.21N/AN/A0022,050506
2013-10-17$61.20$59.0017.6%5.1%16.2%22.1%16.8%5.6%1.2%5.9M-76.4M-209.6K0.0029.41N/AN/A3022,050506
2013-10-18$61.47$59.0017.0%4.9%14.3%20.8%0.0%3.7%1.4%6.0M-80.7M-209.4K0.0037.59N/AN/A0022,053506
2013-10-21$61.15$59.0015.9%4.6%14.5%18.5%0.0%2.9%2.1%6.3M-76.2M-201.7K0.0040.66N/AN/A10021,822476
2013-10-22$61.45$59.0016.2%4.6%14.2%19.1%0.0%2.1%1.7%6.2M-81.3M-193.0K0.0036.57N/AN/A1,384021,830476
2013-10-23$60.16$59.0017.6%5.1%16.1%22.0%0.0%3.3%1.3%6.8M-68.9M-213.5K0.0040.68N/AN/A6023,164476
2013-10-24$60.00$59.0018.3%5.2%16.1%23.4%0.0%3.2%0.6%6.8M-67.1M-209.4K0.0036.39N/AN/A11,520023,169476
2013-10-25$60.21$59.0017.8%5.1%15.8%22.3%18.6%3.4%1.5%4.9M-48.7M-149.9K0.0038.32N/AN/A2017,109476
2013-10-28$60.24$59.0017.7%5.1%15.1%22.2%0.0%3.2%1.1%5.0M-49.8M-148.0K1.2036.12N/AN/A5617,108476
2013-10-29$60.56$59.0016.8%4.8%14.1%20.3%0.0%1.9%1.4%5.1M-52.7M-144.0K0.0037.68N/AN/A0017,113480
2013-10-30$60.61$59.0016.9%4.9%14.1%20.6%0.0%2.2%1.3%5.1M-53.9M-143.0K0.0038.55N/AN/A0017,113480
2013-10-31$60.21$59.0017.5%5.0%14.4%21.8%0.0%1.7%1.3%5.2M-50.3M-141.1K0.0034.87N/AN/A0017,113480