AAXJ Options History — December 2013

In December 2013, AAXJ traded between $58.69 and $61.24. ATM implied volatility averaged 18.0%, placing in the 22.8% IV rank vs the trailing year. The 30-day expected move averaged 5.0%. IV traded above realized volatility by 2.3% (HV 20d: 15.7%). Max pain ranged from $59.00 to $60.00. Net GEX was positive for 15 of 21 trading days. Term structure was in contango for 17 of 21 days. Put/call ratio averaged 0.18.

Notable Days

  • 2013-12-04: Highest Volume — 181 contracts
  • 2013-12-12: Largest IV drop — 16.1% change
  • 2013-12-11: Highest IV Rank — 31.4%
  • 2013-12-03: Largest Expected Move — 6.1%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$59.77$58.69$61.24$60.14$60.31
Max Pain$59.81$59.00$60.00$59.00$60.00
ATM IV18.0%14.3%22.2%21.1%15.8%
Expected Move5.0%4.1%6.1%6.1%4.5%
HV 20d15.7%14.8%17.3%15.6%15.0%
HV 60d15.3%14.5%16.7%16.7%14.6%
IV Rank22.8%15.3%31.4%29.2%18.3%
IV Percentile57.0%27.0%91.3%85.3%39.7%
Term Structure0.5%-2.2%2.4%-1.9%0.6%
VWIV22.7%21.1%25.2%25.2%21.1%
Skew 25d2.9%1.6%4.3%4.1%1.6%
Skew 10d4.9%1.3%9.7%8.8%5.2%
Call IV 25d16.6%13.6%19.8%18.7%15.6%
Put IV 25d19.5%15.8%23.8%22.9%17.2%
Bid-Ask Spread %29.8919.2344.3329.4033.03
Gamma HHI0.490.230.990.490.24
Net GEX7.5M-67.5K27.4M6.9M-63.0K
Net DEX-30.6M-61.4M1.2M-49.7M947.6K
Net VEX-39.0K-81.7K-2.9K-81.7K-3.2K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.180.001.000.000.00
Total Volume32.09501813810
Total OI12,988.61941218,26717,778432

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2013-12-02$60.14$59.0021.1%6.1%15.6%29.2%25.2%4.1%-1.9%6.9M-49.7M-81.7K0.0029.40N/AN/A38017,125653
2013-12-03$60.30$59.0021.4%6.1%15.6%29.8%0.0%4.2%-2.1%6.9M-49.1M-80.1K0.0025.08N/AN/A1017,126653
2013-12-04$60.19$59.0021.4%6.1%15.0%29.8%21.7%4.3%-1.9%7.0M-50.0M-76.4K0.0031.85N/AN/A018117,125653
2013-12-05$59.92$59.0021.2%6.1%15.1%29.4%0.0%3.9%-2.2%7.2M-45.5M-75.7K0.0026.41N/AN/A0017,125826
2013-12-06$60.84$60.0019.6%5.2%14.8%26.2%0.0%3.5%0.7%7.0M-57.0M-70.1K0.0026.70N/AN/A0017,125826
2013-12-09$61.24$60.0019.9%5.2%14.9%26.6%0.0%3.0%0.9%7.3M-61.4M-55.9K0.0019.23N/AN/A0017,125826
2013-12-10$60.98$60.0019.6%5.2%15.0%26.0%0.0%3.6%0.9%7.5M-60.2M-54.0K0.0019.75N/AN/A17017,125826
2013-12-11$59.71$60.0022.2%5.3%17.0%31.4%21.1%3.2%0.8%8.4M-42.0M-58.8K0.8320.81N/AN/A645317,142826
2013-12-12$59.22$60.0018.6%5.3%17.3%24.1%0.0%2.5%0.6%8.8M-35.3M-54.6K0.0020.40N/AN/A0017,142875
2013-12-13$59.44$60.0018.6%5.3%17.0%24.0%0.0%3.4%0.8%9.2M-37.9M-51.9K0.0024.99N/AN/A015017,142875
2013-12-16$59.81$60.0018.4%5.3%15.3%23.7%0.0%3.4%0.9%9.5M-41.9M-41.9K0.0021.87N/AN/A100017,1421,025
2013-12-17$59.35$60.0018.4%5.3%14.8%23.5%0.0%3.7%1.4%11.1M-37.9M-37.1K0.0023.88N/AN/A0017,2421,025
2013-12-18$59.83$60.0016.2%4.7%15.1%19.2%0.0%1.8%1.0%13.9M-52.6M-29.4K0.0027.58N/AN/A15017,1891,025
2013-12-19$58.69$60.0016.2%4.7%16.1%19.2%0.0%2.2%2.0%20.4M-19.2M-21.2K0.0032.52N/AN/A0417,2041,025
2013-12-20$58.70$60.0015.2%4.3%16.1%17.0%0.0%1.9%2.4%27.4M-8.9M-11.8K1.0034.26N/AN/A101017,2041,027
2013-12-23$58.93$60.0015.1%4.3%16.1%16.8%0.0%1.9%1.2%-67.5K1.2M-3.0K0.0042.50N/AN/A0046366
2013-12-24$59.34$60.0014.8%4.2%15.9%16.3%0.0%2.5%1.1%-67.0K1.1M-2.9K0.0044.33N/AN/A0046366
2013-12-26$58.88$60.0014.3%4.1%15.9%15.3%0.0%1.7%1.4%-66.4K1.2M-2.9K0.0044.31N/AN/A1046366
2013-12-27$59.45$60.0015.2%4.4%15.9%17.0%0.0%2.1%1.0%-65.3K1.1M-2.9K0.0039.28N/AN/A20046366
2013-12-30$59.84$60.0014.8%4.2%15.8%16.3%0.0%1.8%0.6%-63.1K1.0M-3.1K0.0039.41N/AN/A0066366
2013-12-31$60.31$60.0015.8%4.5%15.0%18.3%0.0%1.6%0.6%-63.0K947.6K-3.2K0.0033.03N/AN/A10066366