AAXJ Options History — March 2014

In March 2014, AAXJ traded between $56.45 and $59.09. ATM implied volatility averaged 18.6%, placing in the 46.3% IV rank vs the trailing year. The 30-day expected move averaged 5.3%. IV traded above realized volatility by 4.0% (HV 20d: 14.6%). Max pain ranged from $50.00 to $65.00. Net GEX was positive for 0 of 21 trading days. Term structure was in contango for 18 of 21 days. Put/call ratio averaged 0.00.

Notable Days

  • 2014-03-19: Highest Volume — 1,937 contracts
  • 2014-03-18: Largest IV drop — 14.2% change
  • 2014-03-12: Highest IV Rank — 64.0%
  • 2014-03-03: Largest Expected Move — 5.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$57.71$56.45$59.09$57.63$59.09
Max Pain$56.00$50.00$65.00$65.00$57.00
ATM IV18.6%15.8%21.5%20.6%16.0%
Expected Move5.3%4.5%5.9%5.9%4.6%
HV 20d14.6%12.2%17.4%17.4%14.2%
HV 60d17.0%15.7%17.4%17.2%15.7%
IV Rank46.3%27.7%64.0%60.0%28.9%
IV Percentile51.4%19.8%87.7%78.2%21.0%
Term Structure0.6%-1.1%1.5%-1.1%1.4%
VWIV20.2%16.1%29.7%17.1%17.7%
Skew 25d4.4%2.8%5.5%5.2%3.3%
Skew 10d11.5%6.2%15.6%10.7%10.5%
Call IV 25d16.8%14.8%19.2%19.2%14.8%
Put IV 25d21.2%18.1%24.5%24.5%18.1%
Bid-Ask Spread %54.6927.8079.8931.6779.89
Gamma HHI0.820.640.990.640.71
Net GEX-2.9M-10.0M-31.1K-2.7M-31.1K
Net DEX9.7M333.8K29.1M14.1M333.8K
Net VEX-16.3K-37.0K-3.8K-37.0K-3.8K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio0.000.000.000.000.00
Total Volume93.76201,937102
Total OI7,134.09537611,1539,812378

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-03-03$57.63$65.0020.6%5.9%17.4%60.0%17.1%5.2%-1.1%-2.7M14.1M-37.0K0.0031.67N/AN/A1001289,684
2014-03-04$58.24$65.0019.5%5.6%15.4%53.7%0.0%4.4%-0.3%-2.3M10.9M-30.7K0.0032.69N/AN/A001189,684
2014-03-05$58.21$65.0018.4%5.3%15.0%46.9%0.0%4.6%0.2%-2.5M10.5M-28.2K0.0027.80N/AN/A001189,684
2014-03-06$58.93$65.0017.7%5.1%14.9%42.7%0.0%3.5%0.1%-1.8M7.3M-21.7K0.0076.01N/AN/A101189,684
2014-03-07$58.37$0.0019.4%5.5%14.5%52.9%0.0%5.1%1.2%-2.2M9.2M-23.2K0.0029.78N/AN/A001179,684
2014-03-10$57.97$0.0021.1%5.8%14.8%63.1%0.0%5.2%0.2%-2.7M10.5M-23.1K0.0033.34N/AN/A001179,684
2014-03-11$57.52$0.0020.4%5.7%14.6%56.7%0.0%4.1%0.9%-2.9M12.1M-23.2K0.0028.33N/AN/A001179,684
2014-03-12$57.48$0.0021.5%5.7%12.2%64.0%29.7%4.6%0.8%-3.1M12.3M-22.8K0.0034.52N/AN/A0121179,684
2014-03-13$56.59$50.0020.3%5.8%13.4%56.2%0.0%5.5%0.6%-3.5M17.4M-24.1K0.0041.19N/AN/A001179,696
2014-03-14$56.73$50.0019.6%5.6%13.4%51.7%0.0%5.5%1.2%-3.7M16.3M-21.9K0.0050.65N/AN/A001179,696
2014-03-17$57.32$50.0020.3%5.8%13.2%56.5%0.0%4.8%-0.1%-4.0M12.2M-16.4K0.0052.74N/AN/A001179,696
2014-03-18$57.72$50.0017.4%5.0%13.3%38.3%16.1%5.2%1.1%-4.0M8.2M-13.5K0.0067.59N/AN/A101179,696
2014-03-19$56.72$50.0018.6%5.3%14.7%45.6%0.0%5.2%0.5%-5.8M17.2M-13.9K0.0061.67N/AN/A01,9371189,696
2014-03-20$56.45$50.0018.7%5.3%14.8%46.0%0.0%4.7%1.2%-8.4M29.1M-11.0K0.0062.75N/AN/A0011811,035
2014-03-21$56.85$50.0017.7%5.1%15.0%40.0%17.7%4.6%1.1%-10.0M14.6M-8.5K0.0063.48N/AN/A041158,798
2014-03-24$57.35$57.0017.7%5.1%15.4%40.1%0.0%4.0%0.5%-38.7K463.1K-4.4K0.0068.24N/AN/A0012364
2014-03-25$57.80$57.0016.5%4.7%15.3%32.3%0.0%4.0%0.7%-36.8K428.8K-4.1K0.0073.06N/AN/A0012364
2014-03-26$57.83$57.0016.8%4.8%15.3%34.3%0.0%3.0%1.5%-36.4K409.0K-4.0K0.0077.46N/AN/A2012364
2014-03-27$58.32$57.0016.8%4.8%14.3%34.4%0.0%2.8%1.0%-34.4K391.5K-4.1K0.0077.11N/AN/A0014364
2014-03-28$58.89$57.0015.8%4.5%14.7%27.7%0.0%3.3%0.9%-31.5K340.8K-3.8K0.0078.44N/AN/A0014364
2014-03-31$59.09$57.0016.0%4.6%14.2%28.9%0.0%3.3%1.4%-31.1K333.8K-3.8K0.0079.89N/AN/A2014364