AAXJ Options History — January 2014

In January 2014, AAXJ traded between $55.55 and $58.66. ATM implied volatility averaged 17.7%, placing in the 45.4% IV rank vs the trailing year. The 30-day expected move averaged 5.2%. IV traded below realized volatility by 0.2% (HV 20d: 17.9%). Max pain ranged from $55.00 to $60.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 13 of 21 days. Put/call ratio averaged 143.93.

Notable Days

  • 2014-01-09: Highest Volume — 3,805 contracts
  • 2014-01-24: Largest IV spike — 17.1% change
  • 2014-01-29: Highest IV Rank — 69.6%
  • 2014-01-29: Largest Expected Move — 6.0%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.46$55.55$58.66$58.36$55.93
Max Pain$56.65$55.00$60.00$60.00$57.00
ATM IV17.7%14.7%21.1%19.2%20.5%
Expected Move5.2%4.2%6.0%5.5%5.9%
HV 20d17.9%15.4%19.3%19.0%15.4%
HV 60d15.8%14.8%16.5%16.0%16.5%
IV Rank45.4%19.6%69.6%25.3%66.7%
IV Percentile52.5%27.8%83.7%63.1%77.0%
Term Structure0.1%-1.1%0.8%-1.1%0.3%
VWIV18.9%17.5%20.6%20.2%20.6%
Skew 25d4.0%2.6%6.4%2.9%4.9%
Skew 10d8.7%4.3%16.5%5.1%11.9%
Call IV 25d16.3%13.6%19.0%17.7%18.6%
Put IV 25d20.3%17.6%25.3%20.6%23.5%
Bid-Ask Spread %28.2822.8235.0034.8329.24
Gamma HHI0.460.250.570.260.51
Net GEX-1.0M-2.5M-62.4K-62.4K-2.5M
Net DEX9.8M1.2M24.9M1.2M24.9M
Net VEX-33.7K-77.5K-2.8K-3.1K-76.3K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio143.930.00908.000.000.00
Total Volume572.47603,805204
Total OI4,908.90544211,04544211,045

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-01-02$58.36$60.0019.2%5.5%19.0%25.3%0.0%2.9%-1.1%-62.4K1.2M-3.1K0.0034.83N/AN/A02076366
2014-01-03$58.03$60.0018.0%5.2%19.1%22.8%0.0%2.6%-0.0%-68.0K1.3M-3.1K0.0029.04N/AN/A0076386
2014-01-06$57.64$0.0017.6%5.0%19.1%22.0%20.2%4.1%0.5%-73.4K1.3M-2.9K0.0030.83N/AN/A6076386
2014-01-07$57.91$55.0016.4%5.0%18.2%19.6%19.9%3.4%0.2%-73.0K1.3M-2.9K0.0033.07N/AN/A1081386
2014-01-08$57.92$55.0016.5%5.0%17.9%38.8%0.0%4.3%0.2%-72.3K1.3M-2.9K0.0035.00N/AN/A0081386
2014-01-09$57.71$55.0015.7%5.0%17.9%35.2%18.9%3.6%-0.2%-79.3K1.3M-2.8K760.0027.16N/AN/A53,80081386
2014-01-10$58.41$57.0015.6%4.8%17.3%34.8%18.7%3.5%0.4%-797.4K6.4M-30.0K0.0024.07N/AN/A250774,136
2014-01-13$57.90$56.0016.8%4.8%17.3%39.9%17.5%3.5%0.5%-849.9K7.0M-29.8K0.0024.74N/AN/A301024,136
2014-01-14$58.43$56.0015.5%4.9%17.6%42.2%0.0%3.3%0.3%-798.3K6.2M-28.1K0.0025.91N/AN/A00994,136
2014-01-15$58.44$56.0016.2%4.9%17.4%45.8%17.7%4.0%0.2%-799.4K6.3M-28.9K0.0025.79N/AN/A20994,136
2014-01-16$58.28$56.0016.7%4.8%17.3%48.2%0.0%3.7%0.4%-807.2K6.4M-29.1K0.0030.43N/AN/A00994,136
2014-01-17$58.18$56.0016.1%4.6%16.9%45.3%0.0%3.5%0.7%-811.7K6.4M-27.7K0.0022.82N/AN/A010994,136
2014-01-21$58.03$56.0015.8%4.5%15.6%44.0%18.4%3.9%0.4%-834.5K6.4M-26.8K162.7328.64N/AN/A111,790984,076
2014-01-22$58.66$56.0014.7%4.2%16.1%38.4%17.8%4.0%0.8%-938.0K6.5M-28.3K0.0024.94N/AN/A740874,676
2014-01-23$57.30$57.0017.1%4.9%18.0%50.3%19.3%3.9%0.5%-1.0M8.5M-31.7K0.0034.57N/AN/A03,5841414,676
2014-01-24$56.00$57.0020.1%5.7%19.3%64.7%0.0%2.6%-0.7%-1.9M18.5M-59.9K908.0030.54N/AN/A21,8161418,260
2014-01-27$55.76$57.0020.5%5.9%19.2%67.0%0.0%4.8%-0.7%-2.3M23.4M-72.1K0.0025.41N/AN/A0013910,076
2014-01-28$56.13$57.0020.4%5.9%19.0%66.6%0.0%5.6%-0.3%-2.3M22.4M-72.9K0.0024.84N/AN/A40013910,076
2014-01-29$55.55$57.0021.1%6.0%18.8%69.6%0.0%6.4%-0.3%-2.3M24.4M-70.6K40.4026.41N/AN/A2080817910,076
2014-01-30$56.02$57.0020.3%5.8%18.8%65.7%0.0%5.1%-0.1%-2.5M24.2M-77.5K0.0025.51N/AN/A1016210,882
2014-01-31$55.93$57.0020.5%5.9%15.4%66.7%20.6%4.9%0.3%-2.5M24.9M-76.3K0.0029.24N/AN/A4016310,882