AAXJ Options History — June 2014

In June 2014, AAXJ traded between $62.08 and $63.26. ATM implied volatility averaged 11.8%, placing in the 8.7% IV rank vs the trailing year. The 30-day expected move averaged 3.4%. IV traded above realized volatility by 3.2% (HV 20d: 8.7%). Max pain ranged from $54.00 to $64.00. Net GEX was positive for 17 of 21 trading days. Term structure was in contango for 20 of 21 days. Put/call ratio averaged 5.00.

Notable Days

  • 2014-06-04: Highest Volume — 170 contracts
  • 2014-06-26: Largest IV drop — 14.0% change
  • 2014-06-03: Highest IV Rank — 18.7%
  • 2014-06-03: Largest Expected Move — 3.9%

Monthly Statistics

MetricAvgMinMaxOpenClose
Price$62.62$62.08$63.26$62.08$62.69
Max Pain$59.62$54.00$64.00$54.00$64.00
ATM IV11.8%9.8%13.6%13.3%10.0%
Expected Move3.4%2.8%3.9%3.8%2.9%
HV 20d8.7%6.9%10.5%10.1%6.9%
HV 60d10.1%9.2%11.4%11.4%9.2%
IV Rank8.7%0.0%18.7%16.5%1.2%
IV Percentile3.1%0.0%8.7%6.0%0.4%
Term Structure1.4%-0.1%2.8%0.0%1.4%
VWIV9.1%5.5%12.5%12.3%9.0%
Skew 25d3.2%1.9%4.5%2.4%3.8%
Skew 10d5.5%2.2%9.6%6.4%4.0%
Call IV 25d11.0%7.7%12.6%12.6%8.0%
Put IV 25d14.2%11.6%15.8%15.1%11.8%
Bid-Ask Spread %54.4726.8393.4880.8584.29
Gamma HHI0.220.170.290.240.27
Net GEX25.4K-19.3K71.4K13.1K-5.9K
Net DEX-439.1K-607.3K-34.7K-347.4K-208.3K
Net VEX-3.9K-4.7K-2.9K-4.3K-2.9K
Div Yield0.0%0.0%0.0%0.0%0.0%
P/C Ratio5.000.0025.000.0025.00
Total Volume19.71401701252
Total OI757.619619847619705

Daily Data (21 trading days)

DatePriceMax PainATM IVExp MoveHV 20dIV RankVWIVSkew 25dTerm StrGEXDEXVEXP/CSpread %Call WallPut WallCall VolPut VolCall OIPut OI
2014-06-02$62.08$54.0013.3%3.8%10.1%16.5%0.0%2.4%0.0%13.1K-347.4K-4.3K0.0080.85N/AN/A012164455
2014-06-03$62.48$54.0013.6%3.9%10.1%18.7%0.0%3.0%-0.1%10.1K-368.6K-4.3K0.0079.67N/AN/A100164467
2014-06-04$62.18$54.0012.5%3.6%10.4%12.2%12.3%2.8%0.5%11.8K-356.5K-4.7K0.0080.61N/AN/A0170174467
2014-06-05$62.67$58.0012.1%3.5%10.5%9.6%0.0%3.0%0.9%-7.0K-423.6K-4.4K0.0093.48N/AN/A00174637
2014-06-06$62.74$60.0011.6%3.6%10.3%6.7%0.0%3.4%1.5%12.2K-473.6K-4.3K0.0026.83N/AN/A00174637
2014-06-09$62.94$60.0011.4%3.6%10.3%5.2%0.0%3.2%1.2%19.1K-500.0K-4.0K0.0028.51N/AN/A00174637
2014-06-10$63.26$60.0012.1%3.6%9.1%9.5%0.0%3.2%1.2%20.8K-559.3K-3.7K0.0031.77N/AN/A00174637
2014-06-11$62.93$60.0011.9%3.6%9.5%8.8%12.5%3.4%1.4%20.2K-511.9K-3.9K0.0032.01N/AN/A350174637
2014-06-12$62.64$60.0012.8%3.7%9.7%13.9%0.0%3.5%1.7%39.4K-556.5K-4.3K0.0029.98N/AN/A00209637
2014-06-13$62.74$60.0012.7%3.6%9.6%13.3%0.0%3.0%2.1%40.9K-562.1K-4.2K0.0033.20N/AN/A00209637
2014-06-16$62.64$60.0012.8%3.7%8.1%14.1%0.0%3.6%1.7%42.5K-547.6K-4.1K0.0031.64N/AN/A10209637
2014-06-17$62.72$60.0013.0%3.7%8.1%14.9%0.0%3.4%1.8%45.8K-553.9K-4.1K0.0030.94N/AN/A00210637
2014-06-18$63.07$60.0012.0%3.4%7.7%9.0%0.0%2.6%2.3%65.7K-601.2K-4.2K0.0050.75N/AN/A00208637
2014-06-19$62.87$60.0011.7%3.3%7.5%7.1%0.0%3.3%2.0%71.4K-607.3K-3.8K0.0039.49N/AN/A03208637
2014-06-20$62.51$60.0011.3%3.2%7.6%4.8%0.0%3.4%2.8%49.4K-490.2K-3.8K0.0049.55N/AN/A00200640
2014-06-23$62.32$60.0011.5%3.3%7.7%6.0%0.0%3.5%1.7%30.5K-442.1K-3.9K0.0047.83N/AN/A10188446
2014-06-24$62.34$60.0010.8%3.1%7.3%1.6%0.0%1.9%1.7%48.0K-515.7K-3.5K0.0055.85N/AN/A00189446
2014-06-25$62.11$60.0011.4%3.3%7.1%5.7%5.5%3.2%1.1%37.8K-498.2K-3.1K0.0074.28N/AN/A0100179446
2014-06-26$62.51$64.009.8%2.8%7.4%0.0%0.0%3.1%1.6%-13.9K-34.7K-3.2K0.0082.62N/AN/A00179546
2014-06-27$62.64$64.0010.2%2.9%7.0%3.0%6.0%4.5%1.1%-19.3K-62.0K-3.2K0.0079.70N/AN/A030179546
2014-06-30$62.69$64.0010.0%2.9%6.9%1.2%9.0%3.8%1.4%-5.9K-208.3K-2.9K25.0084.29N/AN/A250179526