AAXJ Options History — November 2013

In November 2013, AAXJ traded between $58.51 and $61.13. ATM implied volatility averaged 18.3%, placing in the 23.5% IV rank vs the trailing year. The 30-day expected move averaged 5.5%. IV traded above realized volatility by 4.8% (HV 20d: 13.5%). Max pain ranged from $58.00 to $59.00. Net GEX was positive for 20 of 20 trading days. Term structure was in contango for 5 of 20 days. Put/call ratio averaged 1.99.

Notable Days

  • 2013-11-18: Highest Volume — 102 contracts
  • 2013-11-08: Largest IV drop — 10.8% change
  • 2013-11-20: Highest IV Rank — 27.2%
  • 2013-11-07: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.88$58.51$61.13$60.48$61.13
Max Pain$58.45$58.00$59.00$59.00$59.00
ATM IV18.3%16.9%20.2%17.8%18.5%
Expected Move5.5%5.0%5.9%5.1%5.3%
HV 20d13.5%11.4%14.9%14.0%14.4%
HV 60d17.1%16.4%17.8%17.5%16.4%
IV Rank23.5%20.6%27.2%22.4%23.9%
IV Percentile61.3%49.6%76.2%59.1%61.9%
Term Structure-0.3%-1.1%1.2%0.8%-0.8%
VWIV21.2%17.2%31.4%20.3%22.0%
Skew 25d4.2%3.0%5.0%3.7%3.3%
Skew 10d10.1%4.5%13.4%12.2%13.1%
Call IV 25d17.3%14.9%18.2%14.9%16.9%
Put IV 25d21.5%18.6%23.2%18.6%20.2%
Bid-Ask Spread %36.8825.1752.5733.5629.62
Gamma HHI0.480.430.560.440.43
Net GEX5.8M5.1M6.7M5.2M6.6M
Net DEX-45.9M-60.8M-29.0M-51.5M-60.8M
Net VEX-112.1K-140.5K-83.1K-140.5K-83.1K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio1.990.008.273.000.00
Total Volume16.05010200
Total OI17,653.117,58617,77817,59317,778

Daily Data (20 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-11-01$60.48$59.0017.8%5.1%14.0%22.4%0.0%3.7%0.8%5.2M-51.5M-140.5K0.0033.56N/AN/A0017,113480
2013-11-04$60.48$58.0016.9%5.4%13.5%20.6%0.0%4.4%-0.2%5.4M-51.9M-134.0K0.0052.57N/AN/A0017,113480
2013-11-05$59.77$58.0018.3%5.7%14.1%23.3%0.0%4.4%-0.7%5.2M-45.5M-133.3K0.0049.27N/AN/A0017,113480
2013-11-06$59.90$58.0017.6%5.6%13.8%22.0%0.0%4.6%-0.4%5.2M-46.3M-131.5K0.0043.68N/AN/A0017,113480
2013-11-07$58.97$58.0019.2%5.9%13.0%25.3%0.0%5.0%-0.8%5.1M-37.5M-125.7K3.0039.53N/AN/A1317,113480
2013-11-08$59.00$58.0017.2%5.8%12.9%21.1%20.3%5.0%-0.9%5.1M-36.4M-123.7K0.0041.97N/AN/A5017,113483
2013-11-11$58.85$58.0017.1%5.5%12.8%21.0%0.0%4.2%0.0%5.4M-35.9M-117.8K0.0045.64N/AN/A0017,113483
2013-11-12$58.61$58.0017.4%5.5%12.1%21.6%28.8%4.8%-0.1%5.2M-31.5M-110.3K0.0031.59N/AN/A0517,113483
2013-11-13$58.51$58.0017.6%5.3%11.4%22.0%31.4%4.9%0.1%5.5M-29.0M-105.8K1.6735.80N/AN/A3517,113488
2013-11-14$59.01$58.0017.6%5.0%11.8%22.0%18.0%4.7%1.2%6.0M-35.2M-109.8K0.0027.43N/AN/A80017,110493
2013-11-15$60.29$58.0018.4%5.3%14.3%23.6%17.2%3.4%0.6%6.1M-50.3M-115.1K0.0033.66N/AN/A1017,096493
2013-11-18$61.02$58.0019.0%5.5%14.9%24.9%19.0%3.3%-0.7%5.9M-59.6M-107.2K8.2733.70N/AN/A119117,093493
2013-11-19$60.84$59.0018.9%5.4%14.8%24.7%19.2%3.1%-0.1%5.9M-57.2M-109.2K0.0035.89N/AN/A04617,104584
2013-11-20$60.17$59.0020.2%5.8%13.3%27.2%0.0%3.9%-0.9%5.7M-49.2M-107.9K0.0039.99N/AN/A0017,104630
2013-11-21$59.98$59.0019.6%5.6%13.3%26.0%19.7%4.0%-0.8%5.9M-46.8M-105.0K0.0030.29N/AN/A4017,104630
2013-11-22$60.25$59.0019.2%5.5%13.4%25.3%19.1%4.9%-0.6%6.3M-49.2M-101.9K4.0035.44N/AN/A31217,104630
2013-11-25$59.64$59.0019.1%5.5%13.8%25.2%20.3%3.0%-0.7%6.5M-43.1M-96.5K3.0036.90N/AN/A1317,107642
2013-11-26$60.04$59.0019.0%5.4%13.9%24.9%19.1%4.7%-1.1%6.7M-48.0M-93.9K0.0025.17N/AN/A02017,108644
2013-11-27$60.62$59.0018.1%5.2%14.4%23.0%22.0%4.1%-0.4%6.6M-53.8M-90.8K0.0035.91N/AN/A27017,108653
2013-11-29$61.13$59.0018.5%5.3%14.4%23.9%0.0%3.3%-0.8%6.6M-60.8M-83.1K0.0029.62N/AN/A0017,125653